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Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...
Persistent link: https://www.econbiz.de/10012858386
By employing the bootstrap full-sample Granger causality test and sub-sample rolling window causality test, this paper attempts to disentangle the causal nexus between financial instability and monetary policy uncertainty in the US, Japan, and Greece. The bootstrap full sample causality test...
Persistent link: https://www.econbiz.de/10012843463
EnglishThis article aims to analyze the models for prediction of bank distress and problems focusing to those based on the signal approach. Based on this study is an attempt to construct a mechanism to improve the signal-based models to predict the banking problems.BulgarianНастоящата...
Persistent link: https://www.econbiz.de/10012989905
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...
Persistent link: https://www.econbiz.de/10011976947
Persistent link: https://www.econbiz.de/10011372826
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of...
Persistent link: https://www.econbiz.de/10011518833
Persistent link: https://www.econbiz.de/10011705507
Persistent link: https://www.econbiz.de/10001162946
This paper assesses the relationship between the macroeconomic system and the banking sector by estimating two separate non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap, the interest rate, the in ation rate and a banking...
Persistent link: https://www.econbiz.de/10009702995
This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through...
Persistent link: https://www.econbiz.de/10014235526