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The role of contagion in the transmission of financial stress
Herculano, Miguel C. - 2018
I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial and bank specific shocks that have similar...
Persistent link: https://www.econbiz.de/10011978772
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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 into the real economy? To address this question, we estimate from the firm-level micro data of the German IFO Business Climate Survey the impact of idiosyncratic volatility on the...
Persistent link: https://www.econbiz.de/10009767295
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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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Efficient and robust inference of models with occasionally binding constraints
Giovannini, Massimo; Pfeiffer, Philipp Ludwig; Ratto, Marco - 2021
This paper proposes a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding constraints. This method expands the set of models suitable for nonlinear estimation. It straightforwardly handles missing data, non-singularity (more shocks than observed time series),...
Persistent link: https://www.econbiz.de/10012501220
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The simpler, the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2021
In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...
Persistent link: https://www.econbiz.de/10012653846
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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
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 to be subject to fluctuations at both business-cycle and medium …-term frequencies, and GDP fluctuations at medium-term frequencies are strongly correlated with cycles in credit and house prices …
Persistent link: https://www.econbiz.de/10011779865
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Do house prices impact consumption and interest rate? : evidence from OECD countries using an agnostic identification procedure
André, Christophe; Gupta, Rangan; Kanda, Patrick T. - 2012
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by...
Persistent link: https://www.econbiz.de/10009690177
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Semi-structural VAR and unobserved components models to estimate finance-neutral output gap
Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020
The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced … capabilities to the semi-structural unobserved components model. Overall, financial cycles appear to be relevant in Japan, Spain …
Persistent link: https://www.econbiz.de/10012320331
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PCCI : a data-rich measure of underlying inflation in the euro area
Bańbura, Marta; Bobeica, Elena - 2020
cycles longer than three years. The PCCI is a weighted average of these common components. It is an alternative to the …
Persistent link: https://www.econbiz.de/10012301116
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Estimating gross value added volumes and prices by institutional sector
Wieland, Elisabeth; Kavonius, Ilja Kristian - 2016
Integrated quarterly sector accounts (QSA) provide an analytical tool to understand the generation, allocation and use of income for all institutional sectors in the economy. They also provide a tool to analyse production from a sectoral point of view instead of an industry point of view....
Persistent link: https://www.econbiz.de/10011664046