Differences in labour market institutions and regulations between countries of the monetary union can cause divergent responses even to a common shock. We augment a multi-country model of the euro area with search and matching framework that differs across Ricardian and hand-to-mouth households....

This paper presents a framework for estimating losses for residential mortgage loans.At the core is a transitions-based probability of default model which yields directly observ- able cash-fl ows at the loan level. The estimated model includes coefficients on unemployment, Loan to Value ratio...

Using a uniquely constructed loan-level dataset of the residential mortgage book of Irish financial institutions, this paper provides a framework for estimating default probabilities of individual mort- gages. In contrast to the popular stock delinquency approach, this model provides estimates...

This paper assesses the ability of dierent models to forecast key real and nominal U.S. monthly macroeconomic variables in a data-rich environment from the perspective of a realtime forecaster, i.e. taking into account the real-time data revisions process and data ow. We nd that for the real...

When setting monetary policy, central banks seek to aect the entire term structure of interest rates. Most central banks with a price stability or in ation mandate do this by targeting a very short-term market rate. This Letter presents a comparative analysis of the correlation between policy...