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The real consequences of financial stress

Mittnik, Stefan; Semmler, Willi - In: Journal of economic dynamics & control 37 (2013) 8, pp. 1479-1499

Persistent link: https://www.econbiz.de/10009775108

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

The real consequences of financial stress

Mittnik, Stefan; Semmler, Willi - 2013 - First version: March 11, 2011, this versions: February 22, 2013

We introduce a dynamic banking-macro model, which abstains from conventional mean-reversion assumptions and in which - similar to Brunnermeier and Sannikov (2010) - adverse asset-price movements and their impact on risk premia and credit spreads can induce instabilities in the banking sector. To...

Persistent link: https://www.econbiz.de/10009710046

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

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

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/10011449243