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Lang, Jan Hannes; Welz, Peter - 2018

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...

Persistent link: https://www.econbiz.de/10011928898

Credit, financial conditions and the business cycle in China

Lodge, David; Soudan, Michel - 2019

This paper presents empirical evidence of the role of financial conditions in China's business cycle. We estimate a Bayesian-VAR for the Chinese economy, incorporating a financial conditions index for China that captures movements across a range of financial variables, including interest rates...

Persistent link: https://www.econbiz.de/10011975616

Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012122051

Consumer confidence as a predictor of consumption spending : evidence for the United States and the euro area

Dées, Stéphane; Soares Brinca, Pedro - 2011

For most academics and policy makers, the depth of the 2007-09 financial crisis, its longevity and its impacts on the real economy resulted from an erosion of confidence. This paper proposes to assess empirically the link between consumer sentiment and consumption expenditures for the United...

Persistent link: https://www.econbiz.de/10009160013

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10008657123

Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic

Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao - 2022

We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...

Persistent link: https://www.econbiz.de/10013350551

Underlying inflation and asymmetric risks

Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías - 2023

We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework...

Persistent link: https://www.econbiz.de/10014380740

The effect of new housing supply in structural models : a forecasting performance evaluation

Girstmair, Stefan - 2024

Equilibrium (DSGE) models in forecasting the Great Financial Crisis (GFC), focusing on the U.S. While existing models have added a … includes both the financial sector and endogenous housing supply and show that forecasting accuracy significantly improves when … highlight the necessity of combining model extension and housing supply data for accurate forecasting during economic crises. I …

Persistent link: https://www.econbiz.de/10014484423

Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing mechanism of bond yields. Our key contribution is exploring...

Persistent link: https://www.econbiz.de/10011637545

Super-exponential growth expectations and the global financial crisis

Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014

We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...

Persistent link: https://www.econbiz.de/10010443041