This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches — factor analysis and vector auto-regression approach. We evaluate the index's...

Macro-economists and political officers need rigorous, albeit realistic, quantitative models to forecast the future paths and dynamics of some variables of interest while being able to evaluate the effects of alternative scenarios. At the heart of all these models lies a standard macroeconomic...

I present simple estimators for the expected returns of stocks and bonds and compare them to the standard historical, or sample mean, estimator. I show that as a result of a capital gains constraint that stocks and bonds must satisfy, the historical estimator can be acutely biased. I further...

An economic tracking portfolio is a portfolio of assets with returns that track an economic variable. Monthly returns on stocks and bonds are useful in forecasting post-war U.S. output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns. These...

In this paper, we aim at the introduction of an additional macroeconomic sector defined as a broad accounting category in the stock-flow consistent framework developed by Lavoie and Godley. Starting from the idea that many financial services supplied by commercial banks today do not fit into the...

This paper seeks to measure international currency crisis. It has taken the case of the A5 countries in 1997 and has developed a methodology meant to measure and explain currency crisis. The study uses Jha amp; Murthy (2006) approach for constructing composite indices for capturing the causes -...

We propose a method to decompose net lending flows into loan origination and repayments. We show that a boom in loan origination is transmitted to repayments with a very long lag, depressing the growth rate of the stock for many periods. In the euro area, repayments of the mortgage loans granted...

This paper presents an empirical analysis of the efficiency of the UK debt management authorities?s (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government?s bond portfolio was subject to...

Macroeconomists and political officers need rigorous, albeit realistic, quantitative models to forecast the future paths and dynamics of some variables of interest while being able to evaluate the effects of alternative scenarios. At the heart of all these models lies a standard macroeconomic...

COSMO is a new structural econometric model of the Irish economy, with a theoretically founded structure and specification. It is designed to be used for medium-term economic projections and policy analysis. This paper outlines the key mechanisms in the model and explores the behaviour of the...