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In Search of the Euro Area Fiscal Stance

Albonico, Alice - 2016

This paper investigates the role of fiscal and monetary policies over the aggregate EMU business cycle, with a specific focus on fiscal policies. We estimate large multipliers for public consumption and transfers. In spite of this, fiscal policies were substantially muted. This result is...

Persistent link: https://www.econbiz.de/10013000151

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

Banbura, Marta - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10013047977

Estimating a DSGE Model with Limited Asset Market Participation for the Euro Area

Albonico, Alice - 2014

We estimate a medium scale DSGE model for the Euro Area to gain intuition on the importance of Limited Asset Market Participation (LAMP). Our results suggest that LAMP is sizeable (39% of households over the 1993-2012 sample) and important to understand EMU business cycle, especially, in the...

Persistent link: https://www.econbiz.de/10013043919

Debunking the Myth of Southern Profligacy. A DSGE Analysis of Business Cycles in the EMU's Big Four

Albonico, Alice - 2018

We investigate the drivers of EMU big fours' business cycles in a DSGE model. Our approach allows to disentangle the role of demand and technology shocks, where the latter may generate permanent consequences on national productivity levels. For the years before the financial crisis we cannot...

Persistent link: https://www.econbiz.de/10012932223

PIIGS in the Euro Area. An Empirical DSGE Model

Albonico, Alice - 2016

. Our results suggest that the capital flows reversals caused important supply-side effects in the Eurozone periphery …

Persistent link: https://www.econbiz.de/10012996987

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10013336345

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

Persistent link: https://www.econbiz.de/10013432955

Multivariate return decomposition : theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011313230

An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …

Persistent link: https://www.econbiz.de/10009673701

Estimation of Jump Tails

Bollerslev, Tim - 2011

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

Persistent link: https://www.econbiz.de/10013133664