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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …
Persistent link: https://www.econbiz.de/10012705396
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Targeting financial stability : macroprudential or monetary policy?
Aikman, David; Giese, Julia; Kapadia, Sujit; McLeay, Michael - 2019
This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital...
Persistent link: https://www.econbiz.de/10012009108
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Cross-country linkages and spill-overs in early warning models for financial crises
Lang, Jan Hannes - 2018
This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...
Persistent link: https://www.econbiz.de/10011864175
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Financial policy in an exuberant world
Walther, Ansgar - 2020
This paper studies optimal financial policy in a world where the financial sector can become excessively optimistic. I decompose the welfare effects of bank capital regulation to demonstrate the effects of exuberance and its interaction with incentive problems in banking. The optimal policy...
Persistent link: https://www.econbiz.de/10012178343
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Latent fragility : conditioning banks' joint probability of default on the financial cycle
Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022
We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...
Persistent link: https://www.econbiz.de/10013332831
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Economic policy uncertainty in the euro area : an unsupervised machine learning approach
Azqueta-Gavaldón, Andrés; Hirschbühl, Dominik; … - 2020
We model economic policy uncertainty (EPU) in the four largest euro area countries by applying machine learning techniques to news articles. The unsupervised machine learning algorithm used makes it possible to retrieve the individual components of overall EPU endogenously for a wide range of...
Persistent link: https://www.econbiz.de/10012139754
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Euro area labour markets : different reaction to shocks?
Brůha, Jan; Pierluigi, Beatrice; Serafini, Roberta - 2011
significantly help delivering a more job-intense recovery. - Labor market ; Forecasting ; Kalman filter …
Persistent link: https://www.econbiz.de/10008901500
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Towards expenditure rules and fiscal sanity in the euro area
Hauptmeier, Sebastian; Fuentes, Jesus Sanchez; … - 2010
The study looks at primary expenditure developments in the euro area, its three largest members and four "macro-imbalances" countries for the period 1999-2009. It compares actual expenditure trends with those that would have prevailed if countries had followed neutral policies based on...
Persistent link: https://www.econbiz.de/10008728760
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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …
Persistent link: https://www.econbiz.de/10003963819
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...
Persistent link: https://www.econbiz.de/10008657123