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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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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Inference based on time-varying SVARs identified with sign restrictions
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; Shin, … - 2024
latest inflation surge. …
Persistent link: https://www.econbiz.de/10014505805
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Olonite Observation Extract (OOEX)
Olonite, Oluyemi Ayodele - 2022
Many researchers have only focused on a single way of collecting data when other methods are available. This study proposes a template for researchers who intend to use the qualitative means in extracting data for analysis. The template shows the Olonite Observation Extract Template (OOEXT)
Persistent link: https://www.econbiz.de/10014081026
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Do financial markets allow the independence of central banks?
Miró, Damià Rey; Piffaut, Pedro; Zurdo, Ricardo Palomo - In: Journal of central banking theory and practice 13 (2024) 1, pp. 5-26
The research work presented below addresses the possible concern of central bank independence through the development and application of econometric models. The complexity of the modelling has allowed a step further in corroborating that financial independence is not only linked to the...
Persistent link: https://www.econbiz.de/10014496228
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Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model
Scacciavillani, Fabio - 2006
This paper is an empirical study of the links between monetary variables and inflation based on Cagan`s equation and … differenced model overcomes Evans` critique of this test and that chronic inflation is essentially a monetary phenomenon caused by …
Persistent link: https://www.econbiz.de/10012781804
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Using Mean Reversion as a Measure of Persistence
Dias, Daniel; Robalo Marques, Carlos - 2021
This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the "unconditional probability of a given process not crossing its mean in period t" and its estimator, is made clear...
Persistent link: https://www.econbiz.de/10013318721
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Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun - 2022
inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate …
Persistent link: https://www.econbiz.de/10014078814
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A Common Trends Model of UK Core Inflation
Bagliano, Fabio C.; Morana, Claudio - 2013
In this paper the long-run trend in RPI inflation (core inflation) for the UK over the 1961-1997 period is estimated …). In this context core inflation is directly linked to money and wage growth and interpreted as the long-run forecast of … inflation from a small-scale, cointegrated macroeconomic system …
Persistent link: https://www.econbiz.de/10014120488
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Chapter 3 Monetary policy regimes and economic performance: The historical record
Bordo, Michael D.; Schwartz, Anna J. - In: Handbook of macroeconomics : volume 1, part A, (pp. 149-234). 1999
inadequate policy tools and theory from the interwar period, set the stage for the Great Inflation of the 1970s. The lessons from … that experience have convinced monetary authorities to reemphasize the goal of low inflation, as it were, committing …
Persistent link: https://www.econbiz.de/10014024247