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Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach

Vouldis, Angelos T. (contributor) - European Central Bank - 2015

Motivated by the linkage between credit and growth in the Greek economy, and the deceleration of credit since the financial crisis, this paper studies the evolution of credit demand and supply in Greece. A disequilibrium model of demand and supply is estimated spanning the period 2003M1-2011M3....

Persistent link: https://www.econbiz.de/10015298940

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 which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de/10015321114

European competitiveness : a semiparametric stochastic metafrontier analysis at the firm level; N°1701, July 2014

Verschelde, Marijn (contributor); Dumont, Michel (contributor) - European Central Bank - 2014

In this paper a semiparametric stochastic metafrontier approach is used to obtain insight into firm-level competitiveness in Europe. We differ from standard TFP studies at the firm level as we simultaneously allow for inefficiency, noise and do not impose a functional form on the input-output...

Persistent link: https://www.econbiz.de/10015301956

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

Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006

The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a … basis points between the best and worst-performers across the sample. This heterogeneity is found to be related to both the … anticipating monetary policy. Moreover, systematic forecaster heterogeneity is economically important as it leads to greater …

Persistent link: https://www.econbiz.de/10005530863

Monetary policy and core inflation

Lenza, Michele - European Central Bank - 2007

This paper studies optimal monetary policy responses in an economy featuring sectorial heterogeneity in the frequency …

Persistent link: https://www.econbiz.de/10005530877

Forecasting ECB monetary policy: accuracy is (still) a matter of geography

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006

involving multiple central banking traditions. How does this heterogeneity affect the ability of economic agents to understand … banking in the past. In large part this heterogeneity can be traced to differences in forecasting models. While some …

Persistent link: https://www.econbiz.de/10005530894

Liquidity and real equilibrium interest rates: a framework of analysis

Stracca, Livio - European Central Bank - 2005

This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...

Persistent link: https://www.econbiz.de/10005530958

US shocks and global exchange rate configurations

Fratzscher, Marcel - European Central Bank - 2007

The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of … exchange rate configurations over the past 25 years. Despite a significant decline over time, this heterogeneity remains high … effective US dollar exchange rate. The paper finds that this heterogeneity is not only due to policy choices of inflexible …

Persistent link: https://www.econbiz.de/10005530987

Bank finance versus bond finance: what explains the differences between US and Europe?

De Fiore, Fiorella; Uhlig, Harald - European Central Bank - 2005

We present a dynamic general equilibrium model with agency costs, where heterogeneous firms choose among two alternative instruments of external finance - corporate bonds and bank loans. We characterize the financing choice of firms and the endogenous financial structure of the economy. The...

Persistent link: https://www.econbiz.de/10005530991