Narrow search
Showing 1 - 10 of 9,495
Cover Image
Output and inflation responses to credit shocks: are there threshold effects in the euro area?
Calza, Alessandro; Sousa, João - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....
Persistent link: https://www.econbiz.de/10011604527
Cover Image
Loan supply shocks during the financial crisis: Evidence for the Euro Area
Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011
This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of banks during the slump of the real economy that followed the financial crisis. In particular, we seek to quantify the macroeconomic effects of adverse loan supply shocks, which...
Persistent link: https://www.econbiz.de/10010274998
Cover Image
Effectiveness and transmission of the ECB’s balance sheet policies
Boeckx, Jef; Dossche, Maarten; Peersman, Gert - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …
Persistent link: https://www.econbiz.de/10011506795
Cover Image
Housing, consumption and monetary policy: how different are the US and the euro area?
Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10011605207
Cover Image
Markov-Switching Procedures for Dating the Euro-Zone Business Cycle
Krolzig, Hans-Martin - In: Vierteljahrshefte zur Wirtschaftsforschung 70 (2001) 3, pp. 339-351
This paper addresses the issues of identification and dating of the Euro-zone business cycle by using the Markov … growth in the Euro-zone are identified by fitting Markov-switching models to aggregated and single-country Euro-zone real GDP … the smoothed regime probabilities from the Markov-switching models the Euro-zone business cycle is dated and recessions …
Persistent link: https://www.econbiz.de/10010377542
Cover Image
Forecasting with DSGE models
Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...
Persistent link: https://www.econbiz.de/10011605231
Cover Image
Asset price shocks, real expenditures, and financial structure: a multi-country analysis
Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...
Persistent link: https://www.econbiz.de/10010274043
Cover Image
Does government spending crowd in private consumption? Theory and empirical evidence for the euro area
Coenen, Günter; Straub, Roland - 2005
In this paper, we revisit the effects of government spending shocks on private consumption within an estimated New-Keynesian DSGE model of the euro area featuring non-Ricardian households. Employing Bayesian inference methods, we show that the presence of non-Ricardian households is in general...
Persistent link: https://www.econbiz.de/10011604559
Cover Image
An estimated dynamic stochastic general equilibrium model of the euro area
Smets, Frank; Wouters, Raf - 2002
This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...
Persistent link: https://www.econbiz.de/10011506557
Cover Image
Euro area private consumption: Is there a role for housing wealth effects
Skudelny, Frauke - 2009
This paper adds to the literature on wealth effects on consumption by disentangling financial wealth effects from housing wealth effects for the euro area. We use two macro-datasets for our estimations, one on the aggregate euro area for the period 1980-2006, and one on the individual euro area...
Persistent link: https://www.econbiz.de/10011605103