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Merging Structural and Reduced-Form Models for Forecasting : Opening the Dsge-Var Box
Martinez-Martin, Jaime - 2019
several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE … that: (i) the DSGE model underestimates growth of real variables due to its mean reverting properties in the context of a …
Persistent link: https://www.econbiz.de/10012858319
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Merging structural and reduced-form models for forecasting: Opening the DSGE-VAR box
Martínez-Martín, Jaime; Morris, Richard; Onorante, Luca; … - 2019
several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE … that: (i) the DSGE model underestimates growth of real variables due to its mean reverting properties in the context of a …
Persistent link: https://www.econbiz.de/10012389538
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Why should the world care? Analysis, mechanisms and spillovers of the destination based border adjusted tax
Baumann, Ursel; Dieppe, Alistair; Dizioli, Allan Gloe - 2017
Members of the US House of Representatives have proposed a major overhaul of the US corporate tax system, the so-called "destination-based border-adjusted cash-flow tax" (DBCFT). The literature on the economic implications and spillovers of such a DBCFT is scarce. This paper aims to provide a...
Persistent link: https://www.econbiz.de/10011804408
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Why Should the World Care? Analysis, Mechanisms and Spillovers of the Destination Based Border Adjusted Tax
Baumann, Ursel - 2017
Members of the US House of Representatives have proposed a major overhaul of the US corporate tax system, the so-called “destination-based border-adjusted cash-flow tax” (DBCFT). The literature on the economic implications and spillovers of such a DBCFT is scarce. This paper aims to provide...
Persistent link: https://www.econbiz.de/10012949917
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Cyclical Systemic Risk and Downside Risks to Bank Profitability
Lang, Jan Hannes - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012834322
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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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International transmission and monetary policy cooperation
Coenen, Günter; Lombardo, Giovanni; Smets, Frank; … - 2008
We use a version of the New Area-Wide Model (NAWM) developed at the ECB in order to quantify the gains from monetary policy cooperation. The model is calibrated in order to match a set of empirical moments. We then derive the cooperative and (open-loop) Nash monetary policies, assuming that the...
Persistent link: https://www.econbiz.de/10011604904
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A note on identification patterns in DSGE models
Andrle, Michal - 2010
This paper comments on selected aspects of identification issues of DSGE models. It suggests the singular value …
Persistent link: https://www.econbiz.de/10011605281
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Macroprudential policy in a monetary union with cross-border banking
Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2019
-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro …
Persistent link: https://www.econbiz.de/10012142104
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A theory of the currency denomination of international trade
Bacchetta, Philippe; Van Wincoop, Eric - 2002
Nominal rigidities due to menu costs have become a standard element in closed economy macroeconomic modelling. The 'New Open Economy Macroeconomics' literature has investigated the implications of nominal rigidities in an open economy context and found that the currency in which prices are set...
Persistent link: https://www.econbiz.de/10011604223