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In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation fears on the inflation risk premium. For our analysis,...
Persistent link: https://www.econbiz.de/10011667209
Testing the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics literature where these tests are...
Persistent link: https://www.econbiz.de/10010284136
Identification in the context of multivariate state space modelling involves the specification of the dimension of the state vector. One identification approach requires an estimate of the rank of a Hankel matrix. The most frequently used approaches of rank determination rely on information...
Persistent link: https://www.econbiz.de/10010284210
This paper reviews the key economic issues concerning the welfare costs of inflation and deflation, with a view to shedding light on the desirable properties of the inflation process. Our review of the evidence on the overall costs of inflation and deflation indicates that such costs could be...
Persistent link: https://www.econbiz.de/10009635897
The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive definite matrix estimate...
Persistent link: https://www.econbiz.de/10009639403
This paper explains to what extent excess reserves are and should be relevant today in the implementation of monetary policy, focusing on the specific case of the operational framework of the Eurosystem. In particular, this paper studies the impact that changes to the operational framework for...
Persistent link: https://www.econbiz.de/10009639415
Persistent link: https://www.econbiz.de/10006874403
Persistent link: https://www.econbiz.de/10006789278
Persistent link: https://www.econbiz.de/10006257925
The main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. The series of banknotes in circulation displays very marked seasonal patterns. T o the best of our knowledge the empirical performance of tw o...
Persistent link: https://www.econbiz.de/10004981005