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Liquidity and credit risk premia in government bond yields

Ejsing, Jacob; Grothe, Magdalena; Grothe, Oliver - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...

Persistent link: https://www.econbiz.de/10011605485

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics. In this paper we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market...

Persistent link: https://www.econbiz.de/10011605609

Price dividend ratio and long-run stock returns: A score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012422031

A system approach for measuring the euro area NAIRU

Fabiani, Silvia; Mestre, Ricardo - 2001

This paper addresses the issue of measuring the NAIRU for the euro area and assessing the robustness and precision of … cyclical unemployment and the output gap with a Phillips curve and stochastic laws of motion for the NAIRU and potential output … the systems themselves. The results obtained point to an estimate of the area-wide NAIRU that is robust to changes in the …

Persistent link: https://www.econbiz.de/10011604111

The Phillips curve and long-term unemployment

Llaudes, Ricardo - 2005

propose a new specification of the Phillips Curve that contains different unemployment lengths in a time-varying NAIRU setting … maker: It produces more accurate forecasts of inflation and more precise estimates of the NAIRU. …

Persistent link: https://www.econbiz.de/10011604487

The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty : Evidence from the US and the Euro Area

Altavilla, Carlo; Ciccarelli, Matteo - 2021

This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...

Persistent link: https://www.econbiz.de/10013316324

Joint Estimation of the Natural Rate of Interest, the Natural Rate of Unemployment, Expected Inflation, and Potential Output

Benati, Luca; Vitale, Giovanni - 2021

We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time-variation in (i) the data-generation process for...

Persistent link: https://www.econbiz.de/10013316896

Robust Monetary Policy With Imperfect Knowledge

Orphanides, Athanasios; Williams, John C. - 2021

We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policymakers...

Persistent link: https://www.econbiz.de/10013317050

An Area-Wide Real-Time Database for the Euro Area

Giannone, Domenico - 2010

revisions can contribute to the uncertainty surrounding key macroeconomic ratios and the NAIRU …

Persistent link: https://www.econbiz.de/10013149408

Hysteresis in Unemployment : Evidence from OECD Estimates of the Natural Rate

Ball, Laurence; Onken, Joern - 2021

This paper studies the dynamics of unemployment (u) and its natural rate (u*), with u* measured by real-time estimates for 29 countries from the OECD. We find strong evidence of hysteresis: an innovation in u causes u* to change in the same direction, and therefore has permanent effects. For our...

Persistent link: https://www.econbiz.de/10013312060