Narrow search
Showing 51 - 60 of 262,815
Cover Image
Uncertainty and employment dynamics in the euro area and the US
Netšunajev, Aleksei; Glass, Katharina - 2016
In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...
Persistent link: https://www.econbiz.de/10011437769
Cover Image
Bayesian analysis of output gap in Barbados
Agbeyegbe, Terence D. - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-14
This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best...
Persistent link: https://www.econbiz.de/10012545648
Cover Image
A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion
Chan, Joshua C. C. - 2013
A regime switching skew-normal model for financial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and contagion tests. Crisis channels are measured through changes in ‘own' moments of the mean, variance and skewness, while contagion is through...
Persistent link: https://www.econbiz.de/10013078922
Cover Image
Modeling of economic and financial conditions for nowcasting and forecasting recessions : a unified approach
Çakmaklı, Cem; Demircan, Hamza; Altuğ, Sumru - 2019
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://www.econbiz.de/10011999163
Cover Image
Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...
Persistent link: https://www.econbiz.de/10011660977
Cover Image
A Markov-Switching DSGE model for measuring the output gap in Brazil
Oliveira, Eleonora de; Palma, Andreza Aparecida; … - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-15
The output gap, while inherently unobservable, plays a pivotal role in informing policymakers due to its significant implications for forecasting inflation rates and understanding the mechanisms of monetary policy transmission. Traditional filters frequently employed in estimating the output gap...
Persistent link: https://www.econbiz.de/10015055077
Cover Image
The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
Cover Image
The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
Cover Image
Estimating growth at risk with skewed stochastic volatility models
Wolf, Elias - 2022
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions … volatility and asymmetric measurement densities. Estimating the model based on US data yields conditional forecast densities that …
Persistent link: https://www.econbiz.de/10012807854
Cover Image
Global oil price swings : has their effect on Malta changed over time?
Ruisi, Germano - 2023
volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …
Persistent link: https://www.econbiz.de/10014380679