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Is the price cap for gas useful? : evidence from European countries

Ravazzolo, Francesco; Rossini, Luca - 2023

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

Persistent link: https://www.econbiz.de/10014390297

Impulse response estimation via flexible local projections

Mumtaz, Haroon; Piffer, Michele - 2022

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...

Persistent link: https://www.econbiz.de/10013179339

Housing demand shocks, foreign labour inflows and consumption

Gatt, William; Ruisi, Germano - 2020

In this paper we propose a SVAR identification strategy to disentangle two housing demand shocks and their ensuing …

Persistent link: https://www.econbiz.de/10012304191

A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets (Pre-print)

Pircalabu, Anca - 2017

The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...

Persistent link: https://www.econbiz.de/10012963695

Partially identified heteroskedastic SVARs

Bacchiocchi, Emanuele; Bastianin, Andrea; Kitagawa, Toru; … - 2024

This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR …) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected … restrictions can recover point identification in HSVAR models even in the absence of heterogeneous variance shifts. We derive the …

Persistent link: https://www.econbiz.de/10014556642

MEDSEA-FIN : an estimated DSGE model with housing and financial frictions for Malta

Gatt, William - 2022

This paper uses Bayesian techniques and Maltese data over the period 2001-2019 to estimate the parameters of MEDSEA-FIN, one of the Central Bank of Malta's DSGE models. The model captures linkages between the housing sector, banks and the rest of the economy via a borrowing collateral...

Persistent link: https://www.econbiz.de/10013382147

A semi-structural credit gap for Malta : a multivariate filter approach

Gatt, William - 2024

This paper presents a credit gap for Malta derived from a semi-structural multivariate filter. This modelling approach has several advantages over univariate approaches typically used, for example to construct the Basel gap. The multivariate filtering of observed data into trends and cycles is...

Persistent link: https://www.econbiz.de/10014633582

Dynamic effects of persistent shocks

Alloza, Mario; Gonzalo Muñoz, Jesus; Sanz, Carlos - 2019

Persistent link: https://www.econbiz.de/10012158755

Imperfect credibility versus no credibility of optimal monetary policy

Chatelain, Jean-Bernard; Ralf, Kirsten - 2018

Persistent link: https://www.econbiz.de/10011997474

Sequential versus simultaneous market: The relevant antitrust market for salmon

Haldrup, Niels; Møllgaard, Peter; Nielsen, Claus Kastberg - 2005

Delineation of the relevant market forms a pivotal part of most antitrust cases. The standard approach is sequential. First the product market is delineated, then the geographical market is defined. Demand and supply substitution in both the product dimension and the geographical dimension will...

Persistent link: https://www.econbiz.de/10012142296

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