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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …
Persistent link: https://www.econbiz.de/10013059582
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Household Risk Management and Actual Mortgage Choice in the Euro Area
Ehrmann, Michael - 2014
-country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for …
Persistent link: https://www.econbiz.de/10013060536
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How Important is Tourism for the International Transmission of Cyclical Fluctuations? Evidence from the Mediterranean
Canova, Fabio - 2013
We quantify the importance of the tourism channel for the international transmission of cyclical fluctuations to the …. Source country output shocks produce important fluctuations in international tourism flows. Absent the tourism channel, the …
Persistent link: https://www.econbiz.de/10013081634
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Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events
Lo Duca, Marco - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10013128992
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Nowcasting
Banbura, Marta - 2010
We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...
Persistent link: https://www.econbiz.de/10013135504
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Forecasting and Assessing Euro Area House Prices through the Lens of Key Fundamentals
Gattini, Luca - 2010
with the macroeconomy. A quarterly vector error correction model is estimated over 1970-2009 using supply and demand forces …. Second, housing demand and financing cost shocks appear to have contributed strongly to the dynamism in euro area house …
Persistent link: https://www.econbiz.de/10013138013
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Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination
Guerin, Pierre - 2011
The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...
Persistent link: https://www.econbiz.de/10013120226
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Mapping the State of Financial Stability
Sarlin, Peter - 2011
The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...
Persistent link: https://www.econbiz.de/10013120562
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Understanding and Forecasting Aggregate and Disaggregate Price Dynamics
Bermingham, Colin - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...
Persistent link: https://www.econbiz.de/10013122152
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Forecasting Inflation with Gradual Regime Shifts and Exogenous Information
Hubrich, Kirstin - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...
Persistent link: https://www.econbiz.de/10013122536