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Asymmetric dynamics in the correlations of global equity and bond returns

Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - 2003

Persistent link: https://www.econbiz.de/10009639863

Identifying the global transmission of the 2007 - 09 financial crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10009640611

Liquidity requirements and payment delays

Schulz, Christian - 2011

The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity requirement on the basis of synthetically generated data. The generation of the synthetic transaction data set for a simple RTGS system is described and calibrated using real...

Persistent link: https://www.econbiz.de/10009640617

A decade (and a global financial crisis) after Blinder

Bussière, Matthieu; Stracca, Livio - 2010

policy decisions are taken. Motivated by the recent interest in renewing macroeconomics after the global financial crisis, we … conclude with practical suggestions on how best to integrate models and research into policy making decisions. …

Persistent link: https://www.econbiz.de/10009640280

Forecasting euro area inflation

Hubrich, Kirstin - 2003

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the … ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area …) as opposed to forecasting the aggregate HICP directly. The analysis includes univariate and multivariate linear time …

Persistent link: https://www.econbiz.de/10009635954

Indeterminacy with inflation-forecast-based rules in a two-bloc model

Batini, Nicoletta; Levine, Paul; Pearlman, Joseph - 2004

We examine the performance of forward-looking inflation-forecast-based rules in open economies. In a New Keynesian two-bloc model, a methodology first employed by Batini and Pearlman (2002) is used to obtain analytically the feedback parameters/horizon pairs associated with unique and stable...

Persistent link: https://www.econbiz.de/10009639394

Inflation persistence during periods of structural change

Hondroyiannis, George; Lazaretou, Sophia - 2004

changes in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random … coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest …

Persistent link: https://www.econbiz.de/10009639424

Euro area inflation forecasting

Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2004

In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro...

Persistent link: https://www.econbiz.de/10009639428

Cross-country differences in monetary policy transmission

Berben, Robert-Paul; Locarno, Alberto; Morgan, Julian; … - 2004

differences in the underlying economies or (possibly unrelated) differences in the modelling strategies adopted for each country … role of differing modelling strategies may also play a role. Important features of the models - for instance in the …

Persistent link: https://www.econbiz.de/10009639460

quantifying and forecasting inflation risks

Kilian, Lutz; Manganelli, Simone - 2003

In deciding the monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of...

Persistent link: https://www.econbiz.de/10009639841