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Financial stability considerations for monetary policy: Theoretical mechanisms

Ajello, Andrea; Boyarchenko, Nina; Gourio, François; … - 2022

This paper reviews the theoretical literature at the intersection of macroeconomics and finance to draw lessons on the connection between vulnerabilities in the financial system and the macroeconomy, and on how monetary policy affects that connection. This literature finds that financial...

Persistent link: https://www.econbiz.de/10012888656

Predicting crises, part II: Did anything matter (to everybody)?

Rose, Andrew K.; Spiegel, Mark M. - In: FRBSF Economic Letter (2009)

The enormity of the current financial collapse raises the question whether the crisis could have been predicted. This is the second of two Economic Letters on the topic. This Letter examines research suggesting that early warning models would not have accurately predicted the relative severity...

Persistent link: https://www.econbiz.de/10008535568

Location, location, location!: A quality-adjusted rent index for the Oslo office market

Anundsen, André Kallåk; Hagen, Marius - 2020

In this paper, we construct a quality-adjusted rent index for the office market in Oslo. Commonly used rent indices are based on average developments or expert opinions. Such indices often suffer from compositional biases or low data coverage. Using detailed data from more than 16,000 rental...

Persistent link: https://www.econbiz.de/10012661556

Can it be prevented this time? The role of profits in banking regulation

Esposito, Lorenzo; Mastromatteo, Giuseppe - 2023

Since the nineties, crises have punctuated financial markets, shattering the conventional wisdom about how these markets work and how to regulate them, and forcing a deep rethinking of the supervisory framework that, however, did not change much of the banks' behavior and incentives. In...

Persistent link: https://www.econbiz.de/10014474498

The Risk-Taking Channel of Monetary Policy in Norway

Karapetyan, Artashes - 2016

We identify the effects of monetary policy on credit risk-taking using a unique dataset covering the population of corporate borrowers in Norway. We find that a lower benchmark interest rate (interbank rates or overnight rates) induces the average bank to grant more loans to risky firms. We also...

Persistent link: https://www.econbiz.de/10012143883

Leaning Against the Wind When Credit Bites Back

Gerdrup, Karsten R.; Hansen, Frank; Krogh, Tord; Maih, … - 2016

This paper analyzes the cost-benefit trade-off of leaning against the wind (LAW) in monetary policy. Our starting point is a New Keynesian Markov-switching model where the economy can be in a normal state or in a crisis state. The set-up enables us to weigh benefits against costs for different...

Persistent link: https://www.econbiz.de/10012143887

Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10010397390

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - 1998

In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...

Persistent link: https://www.econbiz.de/10010397440

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10010397465

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583