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The effect of new housing supply in structural models : a forecasting performance evaluation
Girstmair, Stefan - 2024
This paper investigates the importance of including data on new housing supply in Dynamic Stochastic General … financial sector and real estate sector, they have largely overlooked housing supply. I develop an extended DSGE model that … includes both the financial sector and endogenous housing supply and show that forecasting accuracy significantly improves when …
Persistent link: https://www.econbiz.de/10014484423
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Domestic and external sectoral portfolios : network structure and balance-sheet contagion
Heipertz, Jonas; Rancière, Romain; Valla, Natacha - 2018
This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external...
Persistent link: https://www.econbiz.de/10011959224
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Financial frictions : micro vs macro volatility
Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021
We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...
Persistent link: https://www.econbiz.de/10012705511
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Macroprudential capital requirements with non-bank finance
Dempsey, Kyle P. - 2020
I analyze the impact of raising capital requirements on the quantity, composition, and riskiness of aggregate investment in a model in which firms borrow from both bank and non-bank lenders. The bank funds loans with insured deposits and costly equity, monitors borrowers, and must maintain a...
Persistent link: https://www.econbiz.de/10012224100
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379
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More than a feeling : confidence, uncertainty and macroeconomic fluctuations
Nowzohour, Laura; Stracca, Livio - 2017
Economists, observers and policy-makers often emphasize the role of sentiment as a potential driver of the business cycle. In this paper we provide three contributions to this debate. First, we critically survey the existing literature on sentiment (considering both confidence and uncertainty)...
Persistent link: https://www.econbiz.de/10011719915
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Stock price cycles and business cycles
Adam, Klaus; Merkel, Sebastian - 2019
We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence....
Persistent link: https://www.econbiz.de/10012098187
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Business cycle duration dependence and foreign recessions
Bondt, Gabe J. de; Vermeulen, Philip - 2018
We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With respect to expansions in a G7 country, we find that...
Persistent link: https://www.econbiz.de/10011937263
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Real-time weakness of the global economy : a first assessment of the coronavirus crisis
Leiva-Leon, Danilo; Pérez-Quirós, Gabriel; Rots, Eyno - 2020
We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advanced economies (U.S., Euro Area, Japan, U.K., Canada and...
Persistent link: https://www.econbiz.de/10012181293
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US monetary policy is more powerful in low economic growth regimes
De Santis, Roberto A.; Tornese, Tommaso - 2024
We use nonlinear empirical methods to uncover non-linearities in the propagation of monetary policy shocks. We find that the transmission on output, goods prices and asset prices is stronger in a low growth regime, contrary to the findings of Tenreyro and Thwaites (2016). The impact is stronger...
Persistent link: https://www.econbiz.de/10014507165