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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
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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
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Evaluating alternatives to GDP as measures of social welfare/progress
Bergh, Jeroen C. J. M. van den; Antal, Miklós - 2014
Proposed alternatives to GDP as a measure of social welfare or human progress are briefly evaluated. Four main categories are considered, namely ISEW and GPI based on corrections of GDP, sustainable or green(ed) GDP, genuine savings/investments and composite indexes. All these alternatives turn...
Persistent link: https://www.econbiz.de/10010430649
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GDP as a Measure of Economic Growth and Welfare : Brief Critical Assessment
Bulin, Daniel - 2015
The purpose of our paper is to briefly assess the role of GDP in measuring growth and welfare or in getting insight into the state of an economy. In this view, we propose a synthetic theoretical and historical review of national accounting, emphasizing the most important ideological...
Persistent link: https://www.econbiz.de/10013018635
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Aggregate output measurements: a common trend approach
Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique - 2021
We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators of the...
Persistent link: https://www.econbiz.de/10012498150
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Aggregate Tone and Gross Domestic Product
Demers, Elizabeth; Gaertner, Fabio B.; Kausar, Asad; … - 2021
We examine whether earnings announcement textual tone, aggregated across individual publicly traded firms, helps to predict future GDP growth. Prior literature shows changes in aggregate accounting earnings are useful in predicting future economic growth, but only when aggregate earnings changes...
Persistent link: https://www.econbiz.de/10013241602
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'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
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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
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GDP Solera : The Ideal Vintage Mix
Almuzara, Martin; 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/10013403010
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Wohlfahrtsmessung : Inlandsprodukt versus Nationaleinkommen
Petersen, Thieß - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 99 (2019) 10, pp. 725-730
Der traditionelle Indikator für die Messung des wirtschaftlichen Wohlstands eines Landes ist das Bruttoinlandsprodukt …
Persistent link: https://www.econbiz.de/10012121401