We develop an empirically-based simulation study to test policies designed to control systemic risk. We consider preventive policies targeting capital requirements and mitigation policies targeting default resolution. We find that capital buffers reduce both defaults and losses. The loss...

Aiming to explain the European divide with respect to social and political values, scholars in the past have relied on a simplified four- (or even two-) dimensional regime model which tranches the continent according to the social capacities of its inhabitants. This "cartography" of "Social...

This paper analyses the effects of the EU Cohesion Policy (CP) on the economic growth of 276 European NUTS-2 regions between 2008 and 2016. Using a structural equation model (SEM) consisting of both a measurement component (with two latent variables) and a structural component, we estimate the...

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

In this paper, relying on a time-varying parameters FAVAR model, two credit supply factors are calculated, the first of which is identified as willingness to lend, while the second as lending capacity. The impact of these two types of credit supply shocks on macroeconomic variables and their...

The authors analyze 149 newly compiled monthly time series on financial market stress conditions in the euro area. With the aid of a factor model they find different sources of financial stress which are important for selecting and preparing the appropriate policy response. The existence of a...

We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...

We propose a model for analyzing euro area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and...

This paper investigates the developments in house price synchronization across countries bya dynamic factor model using a country- and city-level dataset, and examines what drives thesynchronization. The empirical results indicate that: (i) the degree of synchronization hasbeen rising since the...