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The Euro Plus Pact : cost competitiveness and external capital flows in the EU countries; N° 1650 / March 2014
Gabrisch, Hubert (contributor); Staehr, Karsten (contributor) - European Central Bank - 2014
The Euro Plus Pact was approved by 23 EU countries in March 2011 and came into force shortly afterwards. The Pact stipulates a range of quantitative targets meant to strengthen cost competitiveness with the aim of preventing the accumulation of external financial imbalances. This paper uses...
Persistent link: https://www.econbiz.de/10015302360
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Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu (contributor);  … - European Central Bank - 2015
We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...
Persistent link: https://www.econbiz.de/10015298950
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Variational inference for Bayesian panel VAR models
Ter Steege, Lucas (contributor) - European Central Bank - 2024
We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in …
Persistent link: https://www.econbiz.de/10015321114
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Credit supply dynamics and economic activity in euro area countries : a time-varying parameter var analysis; N°1714, August 2014
Bijsterbosch, Martin (contributor);  … - European Central Bank - 2014
Persistent link: https://www.econbiz.de/10015301872
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR; N° 1636 / February 2014
Arratibel, Olga (contributor);  … - European Central Bank - 2014
This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …
Persistent link: https://www.econbiz.de/10015302567
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VAR for VaR : measuring tail dependence using multivariate regression quantiles; No 1814 / June 2015
White, Halbert (contributor); Tae-Hwan, Kim (contributor);  … - European Central Bank - 2015
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can … quantiles. The proposed framework can be conveniently thought of as a vector autoregressive (VAR) extension to quantile models … (VaR) between a market index and financial institutions. We construct impulse-response functions for the quantiles of a …
Persistent link: https://www.econbiz.de/10015298385
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Analysing and forecasting price dynamics across euro area countries and sectors : a panel VAR approach; N°1724, August 2014
Dées, Stéphane (contributor); Güntner, Jochen (contributor) - European Central Bank - 2014
Persistent link: https://www.econbiz.de/10015301783
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On the determinants of euro area FDI to the United States: the knowledge- capital-Tobin's Q framework
Santis, Roberto A. De; Anderton, Robert; Hijzen, Alexander - European Central Bank - 2004
The long-run determinants of euro area FDI to the United States during the period 1980-2001 are explained by employing the Tobin's Q-model of investment. By using the fixed effects panel estimator, stock market developments in the euro area countries - including a measure adjusted for economic...
Persistent link: https://www.econbiz.de/10005222317
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The economic effects of exogenous fiscal shocks in Spain: a SVAR approach
de Castro Fernández, Francisco; Hernández de Cos, Pablo - European Central Bank - 2006
This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure …
Persistent link: https://www.econbiz.de/10005530742
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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10005530754