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De Santis, Roberto A.
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1
Monetary asymmetries without (and with) price stickiness
Jaccard, Ivan
-
2024
The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...
Persistent link: https://www.econbiz.de/10014527042
Saved in:
2
Combining
Bayesian
VARs with survey density forecasts : does it pay off?
Bańbura, Marta
;
Brenna, Federica
;
Paredes, Joan
; …
-
2021
This paper studies how to combine real-time forecasts from a broad range of
Bayesian
vector autoregression (BVAR …
Persistent link: https://www.econbiz.de/10012507233
Saved in:
3
Labour at risk
Botelho, Vasco
;
Foroni, Claudia
;
Renzetti, Andrea
-
2023
We propose a
Bayesian
VAR model with stochastic volatility and time varying skewness to estimate the degree of labour …
Persistent link: https://www.econbiz.de/10014362647
Saved in:
4
Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian
;
Koop, Gary
;
Onorante, Luca
;
Pfarrhofer, …
-
2021
This paper develops
Bayesian
econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
Saved in:
5
On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo
-
2020
The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified...
Persistent link: https://www.econbiz.de/10012241109
Saved in:
6
Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno
;
Morana, Claudio
-
2008
In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...
Persistent link: https://www.econbiz.de/10003826033
Saved in:
7
Natural rate chimera and bond pricing reality
Brand, Claus
;
Goy, Gavin
;
Lemke, Wolfgang
-
2021
-curve dynamics. We estimate it for the United States and the euro area using a
Bayesian
approach and jointly infer the real …
Persistent link: https://www.econbiz.de/10012705391
Saved in:
8
Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies
Rostagno, Massimo
;
Altavilla, Carlo
;
Carboni, Giacomo
; …
-
2021
back end of the yield curve. We then feed these rate counterfactuals into a large-scale
Bayesian
VAR and generate …
Persistent link: https://www.econbiz.de/10012519567
Saved in:
9
Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang
;
Vladu, Andreea L.
-
2017
We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change...
Persistent link: https://www.econbiz.de/10011635307
Saved in:
10
Stochastic
discounting
and the transmission of money supply shocks
Jaccard, Ivan
-
2018
recessions than during booms. This state dependence is essentially due to the time-variation in stochastic
discounting
that is …
Persistent link: https://www.econbiz.de/10011881163
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