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The financial meltdown: a model with endogenous default probability
Ferrari, Massimo - Volkswirtschaftliche Fakultät, … - 2014
Abstract Starting from some of the most recent literature developed after the world financial crisis, it has been developed a model with heterogeneous agents and an active interbank market, characterized by an endogenous default probability. The key feature of the analysis is that the...
Persistent link: https://www.econbiz.de/10011156994
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Macroeconomic Determinants of the Movement of the Yield Curve
Vargas, Gregorio A. - Volkswirtschaftliche Fakultät, … - 2005
Monetary policy has a significant effect on long-term interest rates and shocks due to inflation and monetary policy have the largest impact on the volatility of long-term interest rates. Long-term interest rates provide significant upward momentum on short-term interest rates and shocks to...
Persistent link: https://www.econbiz.de/10011112367
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Is Monetary Policy a Growth Stimulant in Nigeria? A Vector Autoregressive Approach
Adesoye, A. Bolaji; Maku, Olukayode E.; Atanda, … - Volkswirtschaftliche Fakultät, … - 2012
and real growth of output in formulating Vector Autoregressive (VAR) models which showed interdependence interaction …
Persistent link: https://www.econbiz.de/10009397156
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R&D Spillovers Effects on strategic behaviour of Large International Firms
Aldieri, Luigi; Aprile, Maria Carmela; Vinci, Concetto Paolo - Volkswirtschaftliche Fakultät, … - 2015
This study contributes to existing literature on firms’ innovative activity examining the relationship between the R&D rivalry and spillovers at the firm level. In particular, we present an empirical analysis in United States, Japan and Europe based upon a new dataset composed of 879 worldwide...
Persistent link: https://www.econbiz.de/10011234842
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The Impact of Oil Prices in Turkey on Macroeconomics
Aktas, Erkan; Özenç, Çiğdem; Arıca, Feyza - Volkswirtschaftliche Fakultät, … - 2010
exports to imports. VAR model is used in estimating the macro-economic impact of oil prices. Based on the results of the …
Persistent link: https://www.econbiz.de/10008839207
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Output Fluctuations and Monetary Shocks: Evidence from Colombia
Reinhart, Carmen; Reinhart, Vincent - Volkswirtschaftliche Fakultät, … - 1991
Using annual data for Colombia over the last 30 years, we test competing theories that explain macroeconomic fluctuations: the neoclassical synthesis, which posits that in the presence of temporary price rigidity, an unanticipated monetary expansion produces output gains that erode over time...
Persistent link: https://www.econbiz.de/10005621206
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Interest Rates and Structural Shocks in European Transition Economies
Mirdala, Rajmund - Volkswirtschaftliche Fakultät, … - 2014
European transition economies are still suffering from negative implications of economic crisis. Significant decrease in the key interest rates was followed by reduced maneuverability of central banks in providing incentives into real economies. Low interest rate environment together with...
Persistent link: https://www.econbiz.de/10011166041
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Debt and the U.S. Great Moderation
Bezemer, Dirk; Grydaki, Maria - Volkswirtschaftliche Fakultät, … - 2013
VAR model with excess credit growth and control variables (interest rate and inflation) over two periods, 1954 …
Persistent link: https://www.econbiz.de/10011260475
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Forecasting VARMA processes using VAR models and subspace-based state space models
Izquierdo, Segismundo S.; Hernández, Cesáreo; del … - Volkswirtschaftliche Fakultät, … - 2006
VAR modelling is a frequent technique in econometrics for linear processes. VAR modelling offers some desirable …-order VARMA structure, it cannot be equivalently represented by any finite-order VAR model. On the other hand, a finite … the previous facts, we check in this paper whether subspace-based state space models provide better forecasts than VAR …
Persistent link: https://www.econbiz.de/10005260280
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Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single … single-equation MS models tend to perform slightly better than linear VAR models when no leading information is available … than linear VAR models. …
Persistent link: https://www.econbiz.de/10008541474