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Financial Volatility and its Economic Effects

R.T. Ferreira, Thiago - 2018

I empirically investigate the economic effects of uncertainty about the performance of financial firms. More specifically, I focus on the simple standard deviation of stock market returns across financial firms at every quarter, referring to this measure as financial volatility. First, I show...

Persistent link: https://www.econbiz.de/10012925756

Precautionary Liquidity Shocks, Excess Reserves and Business Cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2021

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

Persistent link: https://www.econbiz.de/10013250157

The Information Content of M3 for Future Inflation

Trecroci, Carmine; Vega-Croissier, Juan Luis - 2021

This paper analyzes the possibility to generate indeterminacy and equilibria with short-run non-neutrality of money in a model with flexible prices, constant returns to scale in production and constant money growth rules. The model recovers previous results in the literature as particular cases....

Persistent link: https://www.econbiz.de/10013320771

Precautionary liquidity shocks, excess reserves and business cycles

Bratsiotis, George; Theodoridis, Konstantinos - 2020

Persistent link: https://www.econbiz.de/10012483779

MAJA: a two-region DSGE model for Sweden and its main trading partners

Corbo, Vesna; Strid, Ingvar - 2020

The Swedish economy is strongly dependent on global economic developments, which is re ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE) models...

Persistent link: https://www.econbiz.de/10012240452

Business Cycle Clustering and Asset Returns

Braun, Sandro - 2018

Business cycles are a central element of the economy. Over the last decades, more and more sophisticated methods and data have become available for business cycle classification. This paper contributes to the field of business cycle and recession estimation by applying a fuzzy c-means clustering...

Persistent link: https://www.econbiz.de/10012912821

Bootstrapping DSGE Models

Angelini, Giovanni - 2016

This paper explores the potential of bootstrap methods in the empirical evaluation of dynamic stochastic general equilibrium (DSGE) models and, more generally, in linear rational expectations models featuring unobservable (latent) components. We consider two dimensions. First, we provide mild...

Persistent link: https://www.econbiz.de/10012980996

Effects of Idiosyncratic Shocks on Macroeconomic Time Series

Yang, Minxian - 2016

key variables, inflation is found to respond negatively (positively) to an increase in unemployment (the federal funds … rate), holding other variables contemporaneously fixed. The real variables (output and unemployment) appear unresponsive to … positive effect on unemployment and negative effects on output, inflation and the federal funds rate …

Persistent link: https://www.econbiz.de/10012983113

BEMGIE : Belgian Economy in a Macro General and International Equilibrium model

De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023

This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...

Persistent link: https://www.econbiz.de/10014233574

Is Nonprice Competition in Currency Inefficient?

White, Lawrence H.; Boudreaux, Donald J. - 2009

Note: This is a description of the paper and not the abstract as it appeared in the print journal. Some economists believe that the competitive survival of non-interest-bearing currency--the absence of price competition from markets for stored-value cards, banknotes, and token coins--implies a...

Persistent link: https://www.econbiz.de/10014073663