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Emerging market business cycles revisited : learning about the trend
Boz, Emine; Daude, Christian; Durdu, C. Bora - 2011
, our estimation for Mexico and Canada suggests more severe informational frictions in emerging markets than in developed …
Persistent link: https://www.econbiz.de/10008988424
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Emerging Market Business Cycles Revisited : Learning About the Trend
Boz, Emine; Daude, Christian; Durdu, Ceyhun Bora - 2008
The data reveal that emerging markets do not differ from developed countries with regards to the variance of permanent TFP shocks relative to transitory. They do differ, however, in the degree of uncertainty agents face when formulating expectations. Based on these observations, we build an...
Persistent link: https://www.econbiz.de/10014218680
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Nonlinear Credit Dynamics, Regime Switches in the Output Gap and Supervisory Shocks
Lucidi, Francesco Simone - 2019
Over the last two decades the intensity of credit standards' tightening during economic contractions has exceeded their easing during expansions among euro area banks. This mechanism is fed by the boom-bust cycle of credit that, as much research has shown, is linked to financial instability with...
Persistent link: https://www.econbiz.de/10012865060
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Does money growth predict inflation? : evidence from vector autoregressions using four centuries of data
Edvinsson, Rodney; Karlsson, Sune; Österholm, Pär - 2023
estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …
Persistent link: https://www.econbiz.de/10014233967
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Short-run dynamics in bank credit : assessing nonlinearities in cyclicality
Bouvatier, Vincent; López-Villavicencio, Antonia; … - In: Economic modelling 37 (2014), pp. 127-136
Persistent link: https://www.econbiz.de/10010417227
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Wendepunkte in Finanzmärkten : Prognose und asset allocation
Huber, Claus - 2000
Persistent link: https://www.econbiz.de/10001461424
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L' évolution des crédits à l'habitat en France : une grille d'analyse en terme de cycles
Kierzenkowski, Rafał (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003591176
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RGAP: output gap estimation in R
Streicher, Sina - 2022
Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …
Persistent link: https://www.econbiz.de/10013256541
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Financial cycles across G7 economies : a view from wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2019
We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...
Persistent link: https://www.econbiz.de/10012020175
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Financial cycles in euro area economies : a cross-country perspective
Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018
estimation methodologies. Concerning time-variation we find evidence for a decline in the extent of co-movements in house prices …
Persistent link: https://www.econbiz.de/10011809188