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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

, DSGE models can replicate the volatility of cycles in house and equity prices, but not the persistence of house price …

Persistent link: https://www.econbiz.de/10011779865

Semi-structural VAR and unobserved components models to estimate finance-neutral output gap

Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020

real-time volatility. While the extended Hodrick-Prescott filter is particularly appealing for its real-time stability, it …

Persistent link: https://www.econbiz.de/10012320331

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …

Persistent link: https://www.econbiz.de/10011978764

Time-varying business volatility, price setting, and the real effects of monetary policy

Bachmann, Ruediger; Born, Benjamin; Elstner, Steffen; … - 2013

Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy … Climate Survey the impact of idiosyncratic volatility on the price setting behavior of firms. In a second step, we use a … calibrated New Keynesian business cycle model to gauge the effects of time-varying volatility on the transmission of monetary …

Persistent link: https://www.econbiz.de/10009767295

Growth-promoting policies and macroeconomic stability

Sutherland, Douglas; Höller, Peter - 2013

Policy reforms aimed at boosting long-run growth often have side effects – positive or negative – on an economy’s vulnerability to shocks and their propagation. Macroeconomic shocks as severe and protracted as those since 2007 warrant a reconsideration of the role growth-promoting policies...

Persistent link: https://www.econbiz.de/10010231015

Macroeconomic effects of secondary market trading

Neuhann, Daniel - 2016

This paper develops a theory of the secondary market trading of financial securitities in which endogenous asset market dynamics generate periods of growing aggregate credit volumes and falling credit standards even in the absence of "financial shocks." Falling credit standards in turn lead to...

Persistent link: https://www.econbiz.de/10011975286

Financial frictions and the real economy

Pietrunti, Mario - 2017

This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...

Persistent link: https://www.econbiz.de/10011976236

Coherent financial cycles for G-7 countries : why extending credit can be an asset

Schüler, Yves S.; Hiebert, Paul P.; Peltonen, Tuomo - 2017

Failing to account for joint dynamics of credit and asset prices can be hazardous for countercyclical macroprudential policy. We show that composite financial cycles, emphasising expansions and contractions common to credit and asset prices, powerfully predict systemic banking crises. Further,...

Persistent link: https://www.econbiz.de/10011976914

Lending standards and output growth

Kirti, Divya - 2018

While some credit booms are followed by economic underperformance, many are not. Can lending standards help separate good credit booms from bad credit booms contemporaneously? To observe lending standards internationally, I use information from primary debt capital markets. I construct the...

Persistent link: https://www.econbiz.de/10011978753

Advance warning indicators of past severe GDP per capita recessions in Turkey

Röhn, Oliver - 2016

The global financial crisis and its high economic and social costs have revived academic and policy interest in “early warning indicators” of crises. This paper aims to investigate the performance of vulnerability indicators as advance warning indicators of past severe GDP per capita...

Persistent link: https://www.econbiz.de/10011577964

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