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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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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
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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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'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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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
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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
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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
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Some further evidence on interest-rate smoothing : the role of measurement errors in the output gap
Apel, Mikael; Jansson, Per - 2005
It has been suggested that interest-rate smoothing may be partly explained by an omitted variable that relates to conditions in financial markets. We propose an alternative interpretation that suggests that it relates to measurement errors in the output gap.
Persistent link: https://www.econbiz.de/10011583875
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The Phillips Curve : (In)Stability, the Role of Credit, and Implications for Potential Output Measurement
Schleer, Frauke - 2014
The path of output prior to the financial and economic crisis turned out to be not sustainable and lower than previously estimated in some European crisis countries. Specifically, the output gaps have been underestimated (and inversely potential output overestimated) before the recent crisis. It...
Persistent link: https://www.econbiz.de/10013046442