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We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the...
Persistent link: https://www.econbiz.de/10010775233
The paper discusses the effects on growth of a systemic banking crisis as a result of debt defaults. These effects will come from the impact of credit rationing on consumption and credit and from the impacts of a significant rise in the spread between lending and borrowing rates for both...
Persistent link: https://www.econbiz.de/10010785774
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...
Persistent link: https://www.econbiz.de/10010849963
A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...
Persistent link: https://www.econbiz.de/10010950795
In Austria, the share of foreign currency mortgages in total household debt has been increasing since the late 1990s. Today about one-third of household credit debt is denominated in foreign currency, mostly in Swiss francs. A major issue with regard to the resulting implications for financial...
Persistent link: https://www.econbiz.de/10011015402
The aim of this article is to analyze how financial heterogeneity can accentuate the cyclical divergences inside a monetary union that faces technological, monetary, budgetary and financial shocks. To this purpose, this study relies on a two-country Dynamic Stochastic General Equilibrium model,...
Persistent link: https://www.econbiz.de/10010577108
During the ongoing financial crisis the analysis of similar historical crises has gained more and more attention among economic researchers and forecasters. Existing studies, however, do not tackle the immense heterogeneity that is present in cross-country samples in a formal and consistent way....
Persistent link: https://www.econbiz.de/10005012878
Persistent link: https://www.econbiz.de/10005102316
An economic tracking portfolio is a portfolio of assets with returns that track an economic variable. Monthly returns on stocks and bonds are useful in forecasting post-war US output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns. These forecasting...
Persistent link: https://www.econbiz.de/10005580090
This paper uses wavelets to produce an orthogonal decomposition of some economic variables by time scale over six different time scales. The relationships of interest are the permanent income hypothesis and velocity.
Persistent link: https://www.econbiz.de/10005611729