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The impact of supply constraints on bank lending in the euro area

Hempell, Hannah Sabine; Sørensen, Christoffer Kok - 2010

Aggregate loan development typically hinges on a combination of factors that impact simultaneously on the demand and the supply side of bank lending. The financial turmoil starting in mid-2007 had detrimental consequences for banks’ balance-sheets, cost of funds and profitability, thus...

Persistent link: https://www.econbiz.de/10009640278

Efficiency and risk in european banking

Fiordelisi, Franco; Marques-Ibanez, David; Molyneux, Phil - 2010

We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this … relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks … supporting the bad management and efficiency version of the moral hazard hypotheses. In contrast, bank efficiency improvements …

Persistent link: https://www.econbiz.de/10009640329

The euro area Bank Lending Survey matters

Bondt, Gabe de; Maddaloni, Angela; Peydró, José-Luis; … - 2010

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...

Persistent link: https://www.econbiz.de/10009640399

Do bank loans and credit standards have an effect on output?

Cappiello, Lorenzo; Kadareja, Arjan; Sørensen, … - 2010

Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast to recent findings for the US, we find that in...

Persistent link: https://www.econbiz.de/10009640409

Modelling inflation in the euro area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

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

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...

Persistent link: https://www.econbiz.de/10009639854

Imposing parsimony in cross-country growth regressions

Jarociński, Marek - 2010

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10009640306

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...

Persistent link: https://www.econbiz.de/10009640464

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