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Loan supply shocks and the business cycle
Gambetti, Luca; Musso, Alberto - 2012
Persistent link: https://www.econbiz.de/10009765139
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Demand or supply? : an empirical exploration of the effects of climate change on the macroeconomy
Ciccarelli, Matteo; Marotta, Fulvia - 2021
The macroeconomic effects of climate-related events and climate policies depend on the interaction between demand- and supply-type of shocks that those events and policies imply. Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests...
Persistent link: https://www.econbiz.de/10012648889
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Spillover effects in international business cycles
Camacho, Maximo; Pacce, Matías; Pérez-Quirós, Gabriel - 2020
To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...
Persistent link: https://www.econbiz.de/10012305394
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How does monetary policy affect income and wealth inequality? : evidence from quantitative easing in the euro area
Lenza, Michele; Slacalek, Jirka - 2018
This paper studies the effects of quantitative easing on income and wealth of individual euro area households. The aggregate effects of quantitative easing are estimated in a multi-country VAR model of the four largest euro area countries, in which key variables affecting household income and...
Persistent link: https://www.econbiz.de/10011921470
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The evolving impact of global, region-specific and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - 2018
We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...
Persistent link: https://www.econbiz.de/10011856363
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Cyclical drivers of euro area consumption : what can we learn from durable goods?
Casalis, André; Krustev, Georgi - 2020
We study the cyclical dynamics of consumption in the euro area (EA) and the large EA countries by distinguishing durable from nondurable expenditures. We adopt a theoretical partial equilibrium framework to justify the identification strategy of our empirical model, a time-varying parameter...
Persistent link: https://www.econbiz.de/10012197836
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Equilibrium unemployment, job flows and inflation dynamics
Trigari, Antonella - 2004
application of the minimum distance estimation. The estimated model can explain the cyclical behavior of employment, hours per … worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …
Persistent link: https://www.econbiz.de/10009636527
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Estimating multi-country VAR models
Canova, Fabio (contributor); Ciccarelli, Matteo (contributor) - 2006
This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...
Persistent link: https://www.econbiz.de/10003310812
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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009
-economic shock measurement …
Persistent link: https://www.econbiz.de/10003831692
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Shocks and frictions in US business cycles : a Bayesian DSGE approach
Smets, Frank (contributor); Wouters, Rafael (contributor) - 2007
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...
Persistent link: https://www.econbiz.de/10003412157