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Predicting downside risks to house prices and macro-financial stability

Deghi, Andrea; Katagiri, Mitsuru; Shahid, Sohaib; … - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter...

Persistent link: https://www.econbiz.de/10012252738

The euro-area government spending multiplier at the effective lower bound

Amendola, Adalgiso; Di Serio, Mario; Fragetta, Matteo; … - 2019

We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with …

Persistent link: https://www.econbiz.de/10012102056

The impact of r-g on the Euro-Area government spending multiplier

Di Serio, Mario; Fragetta, Matteo; Melina, Giovanni - 2021

multiplier is inversely correlated with r-g. The calculations are based on the estimates of a factor-augmented interacted panel …

Persistent link: https://www.econbiz.de/10012518304

Autonomous factor forecast quality : the case of the eurosystem

Veyrune, Romain; Guo, Shaoyu - 2019

The publication of liquidity forecasts can be understood as part of central banks' push toward greater transparency regarding monetary policy implementation. However, the advantages of transparency can only be realized if the information provided is accurate and reliable. This paper (1) provides...

Persistent link: https://www.econbiz.de/10012155191

Measures of Underlying Inflation in the Euro Area : Assessment and Role for Informing Monetary Policy

Stavrev, Emil - 2006

The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation … resulting from forecasting of exogenous variables. Also, measures derived using the generalized dynamic factor model (GDFM …, although weaker than GDFM indicators, have good forecasting performance, while indicators by permanent exclusion underperform …

Persistent link: https://www.econbiz.de/10014404254

Commercial real estate and macrofinancial stability during COVID-19

Deghi, Andrea; Mok, Junghwan; Tsuruga, Tomohiro - 2021

The COVID-19 pandemic crisis has severely shocked the commercial real estate (CRE) sector, which could have important implications for macro-financial stability going forward because of the large size of the sector and its strong interconnectedness with the real economy. Using a novel...

Persistent link: https://www.econbiz.de/10012796227

Testing for Purchasing Power Parity in Cointegrated Panels

Lyhagen, Johan - 2007

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …

Persistent link: https://www.econbiz.de/10014401245

Real Exchange Rate Misalignment : A Panel Co-Integration and Common Factor Analysis

Yehoue, Etienne B. - 2005

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of …

Persistent link: https://www.econbiz.de/10014404212

The effects of housing prices and monetary policy in a currency union

Aspachs-Bracons, Oriol; Rabanal, Pau - 2010

Persistent link: https://www.econbiz.de/10009488693

The Effects of Housing Prices and Monetary Policy in a Currency Union

Rabanal, Pau - 2011

The recent boom-and-bust cycle in housing prices has refreshed the debate on the drivers of housing cycles as well as the appropriate policy response. We analyze the case of Spain, where housing prices have soared since it joined the EMU. We present evidence based on a VAR model, and we...

Persistent link: https://www.econbiz.de/10014402908