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Modeling euro area bond yields using a time-varying factor model
Adam, Tomáš; Lo Duca, Marco - 2017
with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …
Persistent link: https://www.econbiz.de/10011637545
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Detrending and financial cycle facts across G7 countries : mind a spurious medium term!
Schüler, Yves S. - 2018
I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business...
Persistent link: https://www.econbiz.de/10011813473
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Would the Bundesbank have prevented the Great Inflation in the United States?
Benati, Luca - 2009
of such exercises. - Bayesian VARs ; time-varying parameters ; stochastic volatility ; identified VARs ; Great Inflation …
Persistent link: https://www.econbiz.de/10003969295
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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 … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …
Persistent link: https://www.econbiz.de/10011856363
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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A multivariate unobserved components model to estimate potential output in the euro area : a production function based approach
Tóth, Máté - 2021
This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the...
Persistent link: https://www.econbiz.de/10012429180
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Taylor-rule consistent estimates of the natural rate of interest
Brand, Claus; Mazelis, Falk - 2019
We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we model inflation to be stationary, with...
Persistent link: https://www.econbiz.de/10011994643
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Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao - 2022
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...
Persistent link: https://www.econbiz.de/10013350551
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Asymmetric monetary policy rules for the euro area and the US
Maih, Junior; Mazelis, Falk; Motto, Roberto; … - 2021
We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to in ation was more forceful when in ation was above 2% than below 2%. Since then, the ECB's...
Persistent link: https://www.econbiz.de/10012617047
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Global impacts of US monetary policy uncertainty shocks
Lastauskas, Povilas; Nguyen, Anh D. M. - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …
Persistent link: https://www.econbiz.de/10012418859