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Assessing the costs and benefits of capital-based macroprudential policy

Behn, Markus; Groß, Marco; Peltonen, Tuomo - 2016

We develop an integrated Early Warning Global Vector Autoregressive (EW-GVAR) model to quantify the costs and benefits …

Persistent link: https://www.econbiz.de/10011975043

Cyclical investment behavior across financial institutions

Timmer, Yannick - 2016

This paper examines the investment behavior of different financial institutions in debt securities with a particular focus on their response to price changes. For identification, we use security-level data from the German Microdatabase Securities Holdings Statistics. Our results suggest that...

Persistent link: https://www.econbiz.de/10011975050

Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries

Burriel, Pablo; Galesi, Alessandro - In: European economic review : EER 101 (2018), pp. 210-229

Persistent link: https://www.econbiz.de/10011975383

How credit ratings affect sovereign credit risk : cross-border evidence in Latin American emerging markets

Ballester, Laura; González-Urteaga, Ana - In: Emerging markets review 30 (2017), pp. 200-214

Persistent link: https://www.econbiz.de/10011803129

US monetary policy shocks and the Chinese economy : a GVAR approach

Bi, Yujiang; Anwar, Sajid - In: Applied economics letters 24 (2017) 7/9, pp. 553-558

Persistent link: https://www.econbiz.de/10011712460

Evaluating a Global Vector Autoregression for Forecasting

Ericsson, Neil; Reisman, Erica - In: International Advances in Economic Research 18 (2012) 3, pp. 247-258

and evaluate forecasts from a paradigm GVAR with 26 countries, based on Dées, di Mauro et al. (<CitationRef CitationID …="CR13">2007</CitationRef>). The current paper empirically assesses the GVAR in Dées, di Mauro et al. (<CitationRef … improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements. Copyright …

Persistent link: https://www.econbiz.de/10010989405

Does the economic integration of China affect growth and inflation in industrial countries?

Dreger, Christian; Zhang, Yanqun - FIW - 2013

The Chinese economic development affects GDP growth and inflation in the advanced countries. A GVAR approach is used to …

Persistent link: https://www.econbiz.de/10010856800

Evaluating a Global Vector Autoregression for Forecasting

Ericsson, Neil R.; Reisman, Erica L. - Department of Economics, George Washington University - 2012

paradigm GVAR with 26 countries, based on Dées, di Mauro, Pesaran, and Smith (2007). The current paper empirically assesses the … GVAR in Dées, di Mauro, Pesaran, and Smith (2007) with impulse indicator saturation (IIS)—a new generic procedure for … room for an improved, more robust specification of that GVAR. Some tests are suggestive of how to achieve such improvements. …

Persistent link: https://www.econbiz.de/10010878557

Housing Cycles and Macroeconomic Fluctuations: A Global Perspective

Cesa-Bianchi, Ambrogio - Inter-American Development Bank - 2012

This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock...

Persistent link: https://www.econbiz.de/10010943805

Uncertainty and Economic Activity: A Global Perspective

Rebucci, Alessandro; Cesa-Bianchi, Ambrogio; Pesaran, … - Inter-American Development Bank - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...

Persistent link: https://www.econbiz.de/10010943821