We estimate a small DSGE model by full information Bayesian techniques on the basis of Israeli data from 1995 to 2006. The model was first developed and estimated by means of classical GMM in Argov and Elkayam (2010), and since then it has been used at the Bank of Israel for monetary policy...

In this paper, we investigate the robustness of the relationship between trade openness and long-run economic growth over the sample period 1960–2000, utilising Bayesian model averaging techniques to account for model uncertainty issues in a systematic manner. We find no evidence that trade...

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis. Considering a large database containing national macroeconomic, financial, and trade dynamic variables for 17 OECD countries, we evaluate forecasting accuracy, and perform a...

In this paper, we attempt to analyse the relationship between house price dynamics and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...

We build a model of the euro area incorporating financial market frictions at the level of firms and households. Entrepreneurs borrow from financial intermediaries in order to purchase business capital, in the spirit of the “financial accelerator” literature. We also introduce two types of...

Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas critique and fails to take into account the inherent nonlinearities of the...

The 2007–2008 US subprime mortgage crisis evolved into a financial crisis that negatively affected many economies in the world and was afterwards widely referred to as the global financial crisis. Since the beginning of this financial crisis of 2008–2009, South Africa experienced a...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

This paper proposes a hybrid monetary model of the dollar–yen exchange rate that takes into account factors affecting the conventional monetary model's building blocks. In particular, the hybrid monetary model is based on the incorporation of real stock prices to enhance money demand stability...

In order to cope with daily foreign currency exchange payments or trades and avoid liquidity crisis, central banks need to maintain the liquidity of foreign exchange reserves. In this paper, we develop a Foreign Exchange Reserves Liquidity Management (FERLM) model based on stochastic process by...