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International effects of a compression of euro area yield curves

Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019

In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...

Persistent link: https://www.econbiz.de/10012042479

Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR … density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms … structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains …

Persistent link: https://www.econbiz.de/10011422299

Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR … density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms … structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains …

Persistent link: https://www.econbiz.de/10013370117

The rise of China and its implications for emerging markets: Evidence from a GVAR model

Feldkircher, Martin; Korhonen, Iikka - 2012

VAR (GVAR) model and a new data set that excels in country coverage and covers the most recent time period including the …

Persistent link: https://www.econbiz.de/10012148675

Does joint modelling of the world economy pay off? : evaluating global forecasts from a bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR … density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms … structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains …

Persistent link: https://www.econbiz.de/10010504660

Does joint modelling of the world economy pay off? : evaluating global forecasts from a Bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015

Persistent link: https://www.econbiz.de/10011293368

Economic spillovers from the euro area to the CESEE region via the financial channel : a GVAR approach

Backé, Peter; Feldkircher, Martin; Slačik, Tomáš - In: Focus on European economic integration (2013) 4, pp. 50-64

Persistent link: https://www.econbiz.de/10010211285

International effects of euro area forward guidance

Böck, Maximilian; Feldkircher, Martin; Siklos, Pierre L. - 2020

Persistent link: https://www.econbiz.de/10012225241

International effects of a compression of euro area yield curves

Feldkircher, Martin; Gruber, Thomas; Huber, Florian - In: Journal of banking & finance 113 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012226140

International effects of a compression of euro area yield curves

Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019

In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...

Persistent link: https://www.econbiz.de/10012030981

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