Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and...

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural vector autoregression are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first...

<b> </b> This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now‐casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone et al. The method consists in bridging quarterly GDP...

This study finds that the set of policies that favor liberalization in credit markets (regulatory quality) are negatively correlated with countries’ resilience to the recent recession as measured by output growth in 2008 and 2009. The Global nature of the recession and the cross-country...

We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...

This paper shows consistency of a two-step estimation of the factors in a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

We analyse the impact on the euro area economy of the ECB’s non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial...

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to amonthly specification thatmaintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are...

This paper analyses the impact on the macroeconomy of the ECB’s non-standard monetary policy implemented in the aftermath of the collapse of Lehman Brothers in the Fall of 2008. We study in particular the effect of the expansion of the intermediation of transactions across central bank balance...