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A semi-structural credit gap for Malta: A multivariate filter approach

Gatt, William - 2024

This paper presents a credit gap for Malta derived from a semi-structural multivariate filter. This modelling approach has several advantages over univariate approaches typically used, for example to construct the Basel gap. The multivariate filtering of observed data into trends and cycles is...

Persistent link: https://www.econbiz.de/10015051820

Do we need firm data to understand macroeconomic dynamics?

Lenza, Michele; Savoia, Ettore - 2024

We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and an "heterogeneous VAR" (HVAR). The VAR model includes only aggregate data, while the HVAR...

Persistent link: https://www.econbiz.de/10015051821

Believe it or not, it's all about beliefs!

Collard, Fabrice; Fève, Patrick; Guay, Alain - 2024

This paper studies the impact of Higher Order Belief (HOB) shocks, representing shifts in agents' beliefs about others …' beliefs, on macroeconomic outcomes. The dynamic causal effects of these shocks are identified by leveraging a combination of a … proxy-VAR approach and DSGE-based instruments. Our findings suggest that HOB shocks are indeed a key driver of the business …

Persistent link: https://www.econbiz.de/10015051873