Narrow search
Showing 1 - 10 of 220
Cover Image
Granger causality and regime inference in Bayesian Markov-Switching VARs
Droumaguet, Matthieu (contributor);  … - European Central Bank - 2015
algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …
Persistent link: https://www.econbiz.de/10015298950
Cover Image
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
Cover Image
Variational inference for Bayesian panel VAR models
Ter Steege, Lucas (contributor) - European Central Bank - 2024
-t distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute …
Persistent link: https://www.econbiz.de/10015321114
Cover Image
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
Cover Image
Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach
Vouldis, Angelos T. (contributor) - European Central Bank - 2015
and demand. A Bayesian estimation methodology with data augmentation for the latent variables is used. The analysis is …
Persistent link: https://www.econbiz.de/10015298940
Cover Image
The exchange rate, asymmetric shocks and asymmetric distributions
Demian, Calin-Vlad (contributor);  … - European Central Bank - 2015
The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector-level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...
Persistent link: https://www.econbiz.de/10015298926
Cover Image
Oil prices, exchange rates and asset prices
Fratzscher, Marcel (contributor);  … - European Central Bank - 2014
strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the … financialisation process of oil prices explaining most of the strengthening of this correlation. …
Persistent link: https://www.econbiz.de/10015301947
Cover Image
Market risk SREP methodology
European Central Bank - 2024
Persistent link: https://www.econbiz.de/10015322343
Cover Image
Market risk SREP methodology : market risk in SREP
European Central Bank - 2023
Persistent link: https://www.econbiz.de/10015278797
Cover Image
Market risk SREP methodology : market risk in SREP
European Central Bank - 2023
Persistent link: https://www.econbiz.de/10015280272