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Evidence of non-Markovian behavior in the process of bank rating migrations

Gómez-Gonzalez, José E.; Kiefer, Nicholas M. - BANCO DE LA REPÚBLICA - 2007

This paper estimates transition matrices for the ratings on nancial insti-tutions, using an unusually informative data set. We show that the processof rating migration exhibits signicant non-Markovian behavior, in the sensethat the transition intensities are a¤ected by macroeconomic and...

Persistent link: https://www.econbiz.de/10005466419

Evidence of non-Markovian behavior in the process of bank rating migrations

González, José E. Gómez; Kiefer, Nicholas M. - BANCO DE LA REPÚBLICA - 2007

This paper estimates transition matrices for the ratings on financial insti-tutions, using an unusually informative data set. We show that the process of rating migration exhibits significant non-Markovian behavior, in the sense that the transition intensities are affected by macroeconomic and...

Persistent link: https://www.econbiz.de/10005466433

Beyond Bubbles: The role of asset prices in early-warning indicators

Gómez, Esteban; Rozo, Sandra - BANCO DE LA REPÚBLICA - 2007

Asset prices have recently become a common topic in economic debate. Nevertheless,much time has been spent in determining if they e®ectively exhibit a bubble component,and not in examining whether asset prices a®ectively contain relevant information concern-ing future market developments. This...

Persistent link: https://www.econbiz.de/10005466438

The Monetary Transmission Mechanism

Rabin, Alan A.; Yeager, Leland B. - In: Eastern Economic Journal 23 (1997) 3, pp. 293-299

Several articles have recently questioned the "money view" of the monetary transmission mechanism and have offered an alternative "credit view". We argue that the money view has been incompletely presented in much of the literature and in almost all textbooks on Macroeconomics and Money and...

Persistent link: https://www.econbiz.de/10005466780

Bank Capital and Lending Behaviour: Empirical Evidence for Italy

Gambacorta, Leonardo; Mistrulli, Paolo Emilio - Banca d'Italia - 2003

GDP shocks owing to a different degree of bank capitalization. The effects on lending of shocks to bank capital that are … provides an explanation for asymmetric effects of GDP shocks on lending based on the link between bank capital and risk … influences the way banks react to GDP shocks. Again, the credit supply of well-capitalized banks is less pro-cyclical. The …

Persistent link: https://www.econbiz.de/10005467288

Bank-Specific Characteristics and Monetary Policy Transmission: The Case of Italy

Gambacorta, Leonardo - Banca d'Italia - 2001

This paper tests cross-sectional differences in the effectiveness of the bank lending channel of monetary policy in Italy from 1986 to 1998 using a panel approach. After a monetary tightening the decrease in deposits subject to reserve requirements is sharper for those banks that have less...

Persistent link: https://www.econbiz.de/10005467305

Un modele macroeconomique pour integrer la formation des prix d'actifs.

Artus, P. - Caisse des Depots et Consignations - Cahiers de recherche - 1999

Dans le modele macroeconomique traditionnel, une expansion monetaire entraine a court terme une hausse de la demande de biens, a long terme une hausse des prix des biens. Les evolution recentes du Japon et aux Etats Unis contredisent les enseignements du modele. Nous proposons ici un modele...

Persistent link: https://www.econbiz.de/10005475206

Measuring Monetary Policy with VAR Models: An Evaluation

Bagliano, Fabio-Cesare; Favero, Carlo A. - C.E.P.R. Discussion Papers - 1997

This paper evaluates VAR models designed to analyse the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggests that only VAR models...

Persistent link: https://www.econbiz.de/10005114174

Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?

Favero, Carlo A. - C.E.P.R. Discussion Papers - 2001

The expectations model of the term structure states that the yields to maturity of long-term bonds are equal to the average of expected future short-term bond yields. This venerable model has been subjected to numerous empirical tests and almost invariably rejected. The empirical failure is...

Persistent link: https://www.econbiz.de/10005114363

The Yield Spread as a Symmetric Predictor of Output and Inflation

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios - C.E.P.R. Discussion Papers - 2004

We present evidence that the predictive ability of the yield spread for short-run inflation is related to its predictive ability for economic activity. In particular, an increase in the slope of the term structure predicts an increase in output growth and a decrease in inflation of equal...

Persistent link: https://www.econbiz.de/10005114401