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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role … that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in … crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities …
Persistent link: https://www.econbiz.de/10011518833
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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs
Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - In: Journal of financial stability 26 (2016), pp. 216-227
Persistent link: https://www.econbiz.de/10011705507
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011801267
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In search of the Euro area fiscal stance
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...
Persistent link: https://www.econbiz.de/10011801277
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011434680
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In search of the Euro area fiscal stance
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...
Persistent link: https://www.econbiz.de/10011529025
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Estimating a DSGE model with Limited Asset Market Participation for the Euro Area
Albonico, Alice; Paccagnini, Alessia; Tirelli, Patrizio - Dipartimento di Economia, Metodi Quantitativi e … - 2014
We estimate a medium scale DSGE model for the Euro Area to gain intuition on the importance of Limited Asset Market …. Given these results, the LAMP hypothesis should be part and parcel of empirical DSGE models of the Euro area. …
Persistent link: https://www.econbiz.de/10010970531
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Forecasting with instabilities: An application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE …) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial …
Persistent link: https://www.econbiz.de/10011440005
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Forecasting with instabilities : an application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
This paper examines whether the presence of parameter instabilities in dynamic stochastic general equilibrium (DSGE …) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial …
Persistent link: https://www.econbiz.de/10011349997
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Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015
This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US …
Persistent link: https://www.econbiz.de/10011165203