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Structural analysis with mixed frequencies : monetary policy, uncertainty and gross capital flows
Bacchiocchi, Emanuele; Bastianin, Andrea; Missale, … - 2016
that the effect of a monetary policy shock is greater the longer the time lag between the month of the shock and the end of …
Persistent link: https://www.econbiz.de/10012054521
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...
Persistent link: https://www.econbiz.de/10012501159
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Financial intermediation, resource allocation, and macroeconomic interdependence
Ozhan, G. Kemal - 2016
This paper studies the role of the financial sector in affecting domestic resource allocation and cross-border capital flows. I develop a quantitative, two-country, macroeconomic model in which banks face endogenous and occasionally binding leverage constraints. Banks lend funds to be invested...
Persistent link: https://www.econbiz.de/10011975295
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Flight to liquidity and systemic bank runs
Robatto, Roberto - 2017
This paper presents a general equilibrium, monetary model of bank runs to study monetary injections during financial crises. When the probability of runs is positive, depositors increase money demand and reduce deposits; at the economy-wide level, the velocity of money drops and deflation...
Persistent link: https://www.econbiz.de/10011976152
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Business investment in EU countries
Bańbura, Marta (contributor); Albani, Maria (contributor);  … - European System of Central Banks / Working Group on … - 2018
The article analyses recent developments in business investment for a large group of EU countries, using a broad set of analytical tools and data sources. We find that the assessment of whether or not investment is currently low varies across benchmarks and countries. At the euro area level and...
Persistent link: https://www.econbiz.de/10011918803
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Real and financial cycles in EU countries : stylised facts and modelling implications
Rünstler, Gerhard (contributor);  … - European System of Central Banks / Working Group on … - 2018
This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears...
Persistent link: https://www.econbiz.de/10011779865
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The predictability of monetary policy
Blattner, Tobias; Catenaro, Marco; Ehrmann, Michael; … - 2008
Current best practice in central banking views a high level of monetary policy predictability as desirable. A clear distinction, however, has to be made between short-term and longer-term predictability. While short-term predictability can be narrowly defined as the ability of the public to...
Persistent link: https://www.econbiz.de/10011641200
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Debt management in a world of fiscal dominance
Chafwehé, Boris; De Beauffort, Charles; Oikonomou, Rigas - 2021
We study the impact of debt maturity management in an economy where monetary policy is 'passive' and subservient to fiscal policy. We setup a tractable model, to characterize analytically the dynamics of in ation, as well as other macroeconomic variables, showing their dependence on the monetary...
Persistent link: https://www.econbiz.de/10012593883
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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent … consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro … for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short …
Persistent link: https://www.econbiz.de/10011978764
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Investment vs debt trade-offs in the post-COVID-19 European economy
Maurin, Laurent; Pál, Rozália - 2020
standard demand shock. We then calibrate the demand shock to generate the computed decline in net revenues associated to the …
Persistent link: https://www.econbiz.de/10012312927