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Why Does the Yield Curve Predict GDP Growth? The Role of Banks

Minoiu, Camelia; Schneider, Andres; Wei, Min - 2023

We provide evidence on the effect of the slope of the yield curve on economic activity through bank lending. Using … rates) boosts bank profits and the supply of bank loans. Intuitively, a higher term premium represents greater expected … profits on maturity transformation, which is at the core of banks’ business model, and therefore incentivizes bank lending …

Persistent link: https://www.econbiz.de/10014353432

Drivers of Cross-Border Banking in Sub-Saharan Africa

Mathieu, Paul - 2019

identifies some key patterns of cross-border investment in bank subsidiaries by key banking groups in sub-Saharan Africa (SSA …

Persistent link: https://www.econbiz.de/10012865119

Normality tests for latent variables

Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 981-1017

We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...

Persistent link: https://www.econbiz.de/10012049323

'Good' and 'Bad' GDP : Output Fall In Transition Economies And The Dead Rat Effect

Popov, Vladimir - 2022

Among the many explanations of the deep transformational recession in the post-communist economies during the transition from a centrally planned economy to market economy in the 1990s there is one that considers this recession as a statistical fiction: the elimination of “unneeded under a...

Persistent link: https://www.econbiz.de/10014237722

GDP solera : the ideal vintage mix

Almuzara, Martín; Amengual, Dante; Fiorentini, Gabriele; … - 2022

We exploit the information in the successive vintages of gross domestic expenditure (GDE) and gross domestic income (GDI) from the current comprehensive revision to obtain an improved, timely measure of U.S. aggregate output by exploiting cointegration between the different measures and taking...

Persistent link: https://www.econbiz.de/10013336360

On the contribution of interest expense (income) on total output

Nizam, Ahmed Mehedi - In: Open economics 4 (2021) 1, pp. 31-56

-lived identical households. Then we try to uncover the impact of nominal interest income on the macroeconomy using multiplier theory …

Persistent link: https://www.econbiz.de/10012589330

National accounts revisions and output gap estimates in a model of monetary policy with data uncertainty

Mahadeva, Lavan (contributor); Muscatelli, Alex (contributor) - 2005

This paper looks at some implications of data uncertainty for monetary policy. We combine national accounts data revisions with optimal control and filtering experiments on a calibrated model to discuss policy implications of price-versus-volume data uncertainty in GDP data for the United...

Persistent link: https://www.econbiz.de/10003384150

Demand Adjusted Capital Input and Potential Output in the Context of U.S. Economic Growth

Bitros, Georgios (George) C. - 2019

Two alternative measures of demand adjusted capital input for the U.S. non-farm private business sector are derived and their differential impacts on the potential supply of output are compared to those obtained using the unadjusted index of capital input published by the Congressional Budget...

Persistent link: https://www.econbiz.de/10012869529

Money Growth Variability and Output : Evidence with Credit Card-Augmented Divisia Monetary Aggregates

Liu, Jinan - 2020

We reexamine the effects of the variability of money growth on output, raised by Mascaro and Meltzer (1983), in the era of the increasing use of alternative payments, such as credit cards. Using a bivariate VARMA, GARCH-in-Mean, asymmetric BEKK model, we find that the volatility of the credit...

Persistent link: https://www.econbiz.de/10012836430

Nonlinear Credit Dynamics, Regime Switches in the Output Gap and Supervisory Shocks

Lucidi, Francesco Simone - 2019

state, when the central bank solves a finite-horizon decision problem where the policy rate is allowed to also be zero or …

Persistent link: https://www.econbiz.de/10012865060

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