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Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...

Persistent link: https://www.econbiz.de/10013110113

Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data

Mittnik, Stefan; Zadrozny, Peter A. - 2021

The paper illustrates and evaluates a Kalman filtering method for forecasting German real GDP at monthly intervals. German real GDP is produced at quarterly intervals but analysts and decision makers often want monthly GDP forecasts. Quarterly GDP could be regressed on monthly indicators, which...

Persistent link: https://www.econbiz.de/10013319236

Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data : presented at CESifo conference "Academic Use of ifo Survey Data", December 2003

Mittnik, Stefan; Zadrozny, Peter A. - 2004

Persistent link: https://www.econbiz.de/10011449243

Interaction of labour and credit market in growth regimes : a theoretical and empirical analysis

Ernst, Ekkehard; Mittnik, Stefan; Semmler, Willi - In: Economic notes : economic review of Banca Monte dei … 45 (2016) 3, pp. 393-422

Persistent link: https://www.econbiz.de/10011667972

Overleveraging, financial fragility, and the banking-macro link : theory and empirical evidence

Mittnik, Stefan; Semmler, Willi - In: Macroeconomic dynamics 22 (2018) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10011914950

Forecasting quarterly German GDP at monthly intervals using monthly IFO business conditions data : presented at CESifo conference "Academic Use of ifo Survey Data", december 2003

Mittnik, Stefan; Zadrozny, Peter A. - 2004

Persistent link: https://www.econbiz.de/10002104553

Dynamic effects of public investment : vector autoregressive evidence form six industrialized countries

Mittnik, Stefan; Neumann, Thorsten - In: Empirical economics : a journal of the Institute for … 26 (2001) 2, pp. 429-446

Persistent link: https://www.econbiz.de/10001579918

Forecasting quaterly German GDP at mothly intervals using monthly ifo business conditions data

Mittnik, Stefan; Zadrozny, Peter A. - In: Ifo survey data in business cycle and monetary policy …, (pp. 19-48). 2004

Persistent link: https://www.econbiz.de/10002391298

Regime dependence of the fiscal multiplier

Mittnik, Stefan; Semmler, Willi - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 502-522

Persistent link: https://www.econbiz.de/10009698047

Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591