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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …
Persistent link: https://www.econbiz.de/10009625556
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Characterizing the financial cycle : evidence from a frequency domain analysis
Strohsal, Till; Proano, Christian; Wolters, Jürgen - 2015
slightly weaker evidence for the UK validating the hypothesized features of the financial cycle. In Germany, however, the …
Persistent link: https://www.econbiz.de/10011299043
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The term structure of interest rates and the macroeconomy : learning about economic dynamics from a FAVAR
Halberstadt, Arne - 2015
econometric learning scheme as proposed by Laubach, Tetlow, and Williams (2007) in the estimation and compare the results to those … of an estimation without discounting. In- and out-of-sample performance indicates that the agents are more inclined to …
Persistent link: https://www.econbiz.de/10010471626
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Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …
Persistent link: https://www.econbiz.de/10010192763
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Money growth and consumer price inflation in the euro area : a wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2014
analysis. Wavelet analysis allows to account for variations in the money growth-inflation relationship both across the … with money growth as the leading variable. However, our analysis of time variation at medium-to-long-run frequencies …
Persistent link: https://www.econbiz.de/10010433361
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Centrality-based capital allocations
Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015
, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital …
Persistent link: https://www.econbiz.de/10010471625
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885
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What's spurious, what's real? : measuring the productivity impacts of ICT at the firm-level
Hempell, Thomas - 2002
Persistent link: https://www.econbiz.de/10013428491
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero … typical sample sizes encountered in the factor analysis of macroeconomic data sets. We apply the methodologies to study …
Persistent link: https://www.econbiz.de/10010373684