Showing 1 - 10 of 61
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
A macro-prudential policy maker can manage risks to financial stability only if current and future risks can be reliably assessed. We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and...
Persistent link: https://www.econbiz.de/10013135514
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/10013316033
Persistent link: https://www.econbiz.de/10011618585
Persistent link: https://www.econbiz.de/10008771823
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10013052226
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010362975
Persistent link: https://www.econbiz.de/10015365824
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Persistent link: https://www.econbiz.de/10012684327
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...
Persistent link: https://www.econbiz.de/10012994016