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Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques...
Persistent link: https://www.econbiz.de/10012143904
This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped …
Persistent link: https://www.econbiz.de/10012058388
forecasting experiment is based on a novel big macroeconomic dataset (FRED-QD) comprising over 200 quarterly indicators for almost …
Persistent link: https://www.econbiz.de/10012117679
Credit constraints that link a private agent’s debt to market-determined prices embody a credit externality that drives a wedge between competitive and constrained socially optimal equilibria, inducing private agents to overborrow. The externality arises because agents fail to internalize the...
Persistent link: https://www.econbiz.de/10010292300
This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...
Persistent link: https://www.econbiz.de/10010318835
On the basis of data from the Historical Monetary Statistics-project by Norges Bank, the present paper serves a threefold purpose. In the first place it gives an overview of financial crisis in Norway from her independence from Denmark in 1814 till present times. Secondly, historical business...
Persistent link: https://www.econbiz.de/10012143786
This paper analyses the causes of banking crises by the way of a historical comparative case study. Moreover, the analysis draws on theories elaborated by the economist Hyman Minsky. The evidence presented suggests that the fundamental causes of the compared crises are found in the macroeconomic...
Persistent link: https://www.econbiz.de/10012143791
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10010305715
forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …
Persistent link: https://www.econbiz.de/10010263216
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10014480569