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Analyzing default risk and liquidity demand during a financial crisis : the case of Canada
Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - 2011
This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...
Persistent link: https://www.econbiz.de/10009260883
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Cross-country estimates of the degree of fiscal dominance and central bank independence
De Resende, Carlos (contributor) - 2007
This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. The government is characterized by a long-run fiscal policy rule whereby a given fraction of the outstanding debt, say , is backed by the present discounted...
Persistent link: https://www.econbiz.de/10003484267
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The welfare implications of fiscal dominance
De Resende, Carlos (contributor); Rebei, Nooman (contributor) - 2008
This paper studies the interdependence between fiscal and monetary policy in a DSGE model with sticky prices and non-zero trend inflation. We characterize the fiscal and monetary policies by a rule whereby a given fraction k of the government debt must be backed by the discounted value of...
Persistent link: https://www.econbiz.de/10003772978
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Housing market dynamics and macroprudential policy
Bruneau, Gabriel; Christensen, Ian; Meh, Césaire Assah - 2016
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation. To this end, we construct a New Keynesian model...
Persistent link: https://www.econbiz.de/10011517031
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Computing the accuracy of complex non-random sampling methods : the case of the Bank of Canada's Business Outlook Survey
De Munnik, Daniel; Dupuis, David; Illing, Mark - 2009
A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these...
Persistent link: https://www.econbiz.de/10003823140
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What do survey data tell us about US businesses?
Bhandari, Anmol; Birinci, Serdar; McGrattan, Ellen R.; … - 2019
This paper examines the reliability of survey data on business incomes, valuations, and rates of return, which are key inputs for studies of wealth inequality and entrepreneurial choice. We compare survey responses of business owners with available data from administrative tax records, brokered...
Persistent link: https://www.econbiz.de/10012132333
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The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model
Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas - 2018
sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in …
Persistent link: https://www.econbiz.de/10011804879
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'Lean' versus 'rich' data sets : forecasting during the great moderation and the great recession
Lombardi, Marco; Maier, Philipp - 2010
We evaluate forecasts for the euro area in data-rich and 'data-lean' environments by comparing three different … approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a … dynamic factor model with data from the euro plus data from national economies (pseudo-real time data). We estimate backcasts …
Persistent link: https://www.econbiz.de/10008771575
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Consumer cash usage : a cross-country comparison with payment diary survey data
Bagnall, John; Bounie, David; Huynh, Kim P.; Kosse, Anneke - 2014
We measure consumers' use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States). Our paper finds cross-country differences -...
Persistent link: https://www.econbiz.de/10010360396
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Household risk management and actual mortgage choice in the euro area
Ehrmann, Michael; Ziegelmeyer, Michael - 2014
the euro area. Our results support the hypothesis of Campbell and Cocco (2003) that the decision is best described as …
Persistent link: https://www.econbiz.de/10010235889