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The Natural Real Interest Rate and the Output Gap in the Euro Area : A Joint Estimation

Garnier, Julien; Wilhelmsen, Bjorn-Roger - 2021

The notion of a natural real rate of interest, due to Wicksell (1936), is widely used in current central bank research. The idea is that there exists a level at which the real interest rate would be compatible with output being at its potential and stationary inflation. This paper applies the...

Persistent link: https://www.econbiz.de/10013318194

Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area

Lemke, Wolfgang - 2017

We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change...

Persistent link: https://www.econbiz.de/10012963943

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10011604590

Structural Breaks, Cointegration and the Fisher Effect

Beyer, Andreas - 2009

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration …

Persistent link: https://www.econbiz.de/10012765185

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

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

Monetary Policy, Housing Booms and Financial (Im) Balances

Eickmeier, Sandra - 2015

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10013038915

Taylor-Rule Consistent Estimates of the Natural Rate of Interest

Brand, Claus - 2019

We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we model inflation to be stationary, with...

Persistent link: https://www.econbiz.de/10012889739

A Stable Model for Euro Area Money Demand : Revisiting the Role of Wealth

Beyer, Andreas - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10013155103

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181

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