Showing 161 - 170 of 7,111
We present an algorithm for estimating non-linear dynamic models, including those featuring occasionally binding constraints. The algorithm extends the Cubature Kalman Filter of Arasaratnam and Haykin (2009) with dynamic state space reduction, to give adequate speed in the presence of...
Persistent link: https://www.econbiz.de/10012956676
Many central banks in developed countries have had very low policy rates for quite some time. A growing number are experimenting with official rates that are negative. We develop a New Keynesian model in which the zero lower bound (ZLB) on nominal interest rates is imposed as an occasionally...
Persistent link: https://www.econbiz.de/10012959751
We develop a business cycle model with gross flows of firm creation and destruction.The credit market is characterized by two frictions. First,entrepreneurs undergo a costly search for intermediate funding to create a firm. Second, upon a match, a costlystate-verification contract is set up....
Persistent link: https://www.econbiz.de/10012900563
The supply and demand of credit are not always well aligned and matched, as is reflected in the countercyclical excess reserve-to-deposit ratio and interest spread between the lending rate and the deposit rate. We develop a search-based theory of credit allocations to explain the cyclical...
Persistent link: https://www.econbiz.de/10012903923
After the 2008 financial collapse, the now popular measure of implied systemic risk called the absorption ratio was introduced. This statistic measures how closely the economy's markets are coupled. The more closely financial markets are coupled the more susceptible they are to systemic...
Persistent link: https://www.econbiz.de/10012910049
The last decade has witnessed two groundbreaking developments in monetary economics: The growth in digital private currencies and negative interest rate policies (NIRP), leaving the zero lower bound no longer binding. These developments have introduced two parallel discussions surrounding the...
Persistent link: https://www.econbiz.de/10012889308
Campbell & Shiller's [1988] Cyclically-Adjusted Price to Earnings ratio (CAPE) has both its advocates and critics. Currently, the debate is on the validity of the high CAPE ratio for US stock markets in forecasting lower future returns, with CAPE currently at 31.21. We investigate the efficacy...
Persistent link: https://www.econbiz.de/10012897970
Abstract Negative interest rates policies (NIRP), usually depicted in economic textbooks as an impossibility due to the prospect of infinite demand for money, are now a reality in several countries due to different reasons. But while the ZLB has been surpassed when it comes to Central Banks, it...
Persistent link: https://www.econbiz.de/10012899581
This paper presents a synthesis of capital theory and business cycle analysis. Capital is the neglected child of macroeconomics. Despite its obvious importance, capital has not received the attention that it deserves in modeling the business cycle. While many business cycle models pay no or very...
Persistent link: https://www.econbiz.de/10012899774
In this paper, we propose a latent threshold FAVAR model. The novelty is the interpretation of factors by observing how frequently factor loadings fall below estimated thresholds and become irrelevant. The results indicate that we are able to relate the factors to specific categories of the data...
Persistent link: https://www.econbiz.de/10012937966