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A monetary conditions index and its application on Tunisian economic forecasting
Mna, Ali; Younsi, Moheddine - In: Journal of economics and political economy : JEPE 5 (2018) 1, pp. 38-56
Persistent link: https://www.econbiz.de/10011880231
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A high-frequency financial conditions index for Norway
Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023
We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian … market and the housing market. The index is constructed by the use of principal component analysis and has an average value … financial conditions more broadly. The index is meant to complement monetary policy analyses and improve our assessments of …
Persistent link: https://www.econbiz.de/10013484734
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Monetary analysis : a VAR perspective
Gerdesmeier, Dieter; Roffia, Barbara - 2007
The purpose of this study is to investigate the dynamic relationships between some key variables for the euro area by means of a systems approach (i.e. so-called Vector Autoregression) and to simulate their responses with respect to monetary policy shocks. The main result is that rather simple...
Persistent link: https://www.econbiz.de/10003750298
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Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? : a time-frequency analysis
Chen, Xiuwen - In: Applied economics 55 (2023) 48, pp. 5637-5652
Persistent link: https://www.econbiz.de/10014335498
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The index of leading economic indicators as a source of expetational shocks
Oh, Seonghwan; Waldman, Michael - In: Eastern economic journal 31 (2005) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10002888563
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Banking crises and crisis dating : theory and evidence
Boyd, John H.; De Nicolò, Gianni; Loukoianova, Elena - 2009
Persistent link: https://www.econbiz.de/10003883760
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Banking crises and crisis dating : theory and evidence
Boyd, John H.; De Nicolò, Gianni; Loukoianova, Elena - 2010
We formulate a simple theoretical model of a banking industry that we use to identify and construct theory-based measures of systemic bank shocks (SBS). These measures differ from "banking crisis" (BC) indicators employed in many empirical studies, which are constructed using primarily...
Persistent link: https://www.econbiz.de/10003994497
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Banking Crises and Crisis Dating : Theory and Evidence
Boyd, John H. - 2009
Many empirical studies of banking crises have employed "banking crisis" (BC) indicators constructedusing primarily information on government actions undertaken in response to bank distress. Weformulate a simple theoretical model of a banking industry which we use to identify and...
Persistent link: https://www.econbiz.de/10013157568
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Banking Crises and Crisis Dating : Theory and Evidence
Boyd, John H.; De Nicolo, Gianni; Loukoianova, Elena - 2021
We formulate a simple theoretical model of a banking industry that we use to identify and construct theory-based measures of systemic bank shocks (SBS). These measures differ from “banking crisis” (BC) indicators employed in many empirical studies, which are constructed using primarily...
Persistent link: https://www.econbiz.de/10013316186
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Shocks from the sub-prime crisis to bond indices in the U.S., the EU and emerging markets via CDS indices
Fang, Hao; Shen, Chung-hua; Yau, Hwey-Yun; Chung, Chien-Ping - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 5-24
Persistent link: https://www.econbiz.de/10012420426