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Is EU support to Malawi agriculture effective?

Zant, Wouter - 2012

Persistent link: https://www.econbiz.de/10009722986

Transmission of government spending shocks in the Euro area : time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10011380027

Convergence in European GDP series

Luginbuhl, Rob; Koopman, Siem Jan - 2003

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate … time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms ….The inclusion of such convergence mechanisms within the formulation ofunobserved components makes the identification of various …

Persistent link: https://www.econbiz.de/10011333256

Measuring synchronisation and convergence of business cycles

Koopman, Siem Jan; Azevedo, João Valle e - 2003

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

Persistent link: https://www.econbiz.de/10011333890

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

Conditional probabilities and contagion measures for Euro area sovereign default risk

Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720702

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area

Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Persistent link: https://www.econbiz.de/10010362975

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

Persistent link: https://www.econbiz.de/10010395082

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