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Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...
Persistent link: https://www.econbiz.de/10012795397
Persistent link: https://www.econbiz.de/10014551359
Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...
Persistent link: https://www.econbiz.de/10013309162
Persistent link: https://www.econbiz.de/10003155845
Persistent link: https://www.econbiz.de/10003624791
Persistent link: https://www.econbiz.de/10003430641
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10009006653
Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...
Persistent link: https://www.econbiz.de/10011333256
This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...
Persistent link: https://www.econbiz.de/10011333890
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10011334364