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Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu - 2015

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...

Persistent link: https://www.econbiz.de/10013020665

Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach

Bracke, Thierry - 2008

; hypothesis), (ii) preference shocks (quot;savings glutquot; hypothesis), and (iii) investment shocks (quot;investment droughtquot … part of the variation in imbalances and financial market prices. We find that savings shocks and investment shocks explain … imbalances in the US and emerging Asia than a quot;savings glutquot …

Persistent link: https://www.econbiz.de/10012771616

The Feldstein-Horioka Fact

Giannone, Domenico; Lenza, Michele - 2021

investment rates observed in OECD countries. We find that once controlling for general equilibrium effects the saving …

Persistent link: https://www.econbiz.de/10013316585

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

Cabrero, Alberto; Camba-Méndez, Gonzalo; Hirsch, Astrid; … - 2002

The main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. The series of banknotes in circulation displays very marked seasonal patterns. To the best of our knowledge the empirical performance of two...

Persistent link: https://www.econbiz.de/10011604188

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...

Persistent link: https://www.econbiz.de/10011604258

Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries

Bussière, Matthieu - 2007

A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...

Persistent link: https://www.econbiz.de/10011604868

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10011604869

Exports and capacity constraints - a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2014

This paper argues that, under certain conditions, firms consider export activity as a substitute of serving domestic demand. Our econometric model for six euro area countries suggests domestic demand pressure and capacity constraint restrictions as additional variables of a properly specified...

Persistent link: https://www.econbiz.de/10011605785

A false sense of security in applying handpicked equations for stress test purposes

Gross, Marco; Población, Javier - 2015

The purpose of this paper is to promote the use of Bayesian model averaging for the design of satellite models that financial institutions employ for stress testing. Banks employing ’handpicked’ equations – while meeting standard economic and econometric soundness criteria – risk...

Persistent link: https://www.econbiz.de/10011605890

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

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