We calculate an quot;enlargedquot; Phillips curve for a theoretical EMU with 12+8 Member States. Both the empirical evidence and the econometric analysis show the worsening of the trade-off between inflation and unemployment, and hence the need to revise, at least temporarily, the stance of the...

This paper establishes stylized facts on comovements and heterogeneity of individual euro-area countries' output and price developments in the past two decades. For this purpose, a non-stationary structural dynamic factor model is fit to a dataset of euro-area macroeconomic variables. The main...

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

Both analytical models and casual empiricism suggest that the timing of the recessionary costs associated with inflation stabilization in chronic inflation countries may depend on the nominal anchor which is used. Under money-based stabilization, the recession occurs at the beginning of the...

We investigate how key monetary policy instruments and financial regulation affect the banking firm. We take the user cost approach to the construction of prices for financial services and use quarterly data on the U.S. commercial banking sector, over the period from 1992 to 2016, obtained from...

We develop a factor-augmented vector autoregression model to estimate the effects of changes in U.S. monetary policy and economic policy uncertainty have on the Chinese housing, equity and loan markets. We find that the decline in the U.S. policy rate since the Great Recession has led to a...

In this paper, we propose a latent threshold FAVAR model. The novelty is the interpretation of factors by observing how frequently factor loadings fall below estimated thresholds and become irrelevant. The results indicate that we are able to relate the factors to specific categories of the data...

We develop a new empirical framework to identify and estimate the effects of monetary stimulus on the real economy. The framework is applied to the Chinese economy when monetary policy in normal times was switched to an extraordinarily expansionary regime to combat the impact of the 2008...

We explore the consequences from the two regulatory frameworks Dodd-Frank and EMIR for industrial corporates. We point out that - by falling under the clearing obligation - not only the corporate's option to decide freely on its positioning within the well-known “Risk Triangle” is...

Korean Abstract: 본 연구에서는 금융마찰 요인을 포함한 거시금융연계 DSGE 모형을 구축하고 이를 바탕으로 경기변동에 대한 금융마찰의 효과와 함께 통화정책 효과를 분석하였다. 본 연구의 주요결과를 살펴보면 먼저...