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Measuring inflation persistence: a structural time series approach

Dossche, Maarten; Everaert, Gerdie - 2005

Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target....

Persistent link: https://www.econbiz.de/10011604541

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Testing the rank of the Hankel matrix: a statistical approach

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the Hankel matrix, corresponding to a system transfer function, is equal to the order of its minimal state space realization. The computation of the rank of the Hankel matrix is complicated by the fact that its block elements are rarely given exactly but are estimated instead. In...

Persistent link: https://www.econbiz.de/10011604091

Spectral based methods to identify common trends and common cycles

Camba-Méndez, Gonzalo; Kapetanios, George - 2001

The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper...

Persistent link: https://www.econbiz.de/10011604108

Output and inflation responses to credit shocks: are there threshold effects in the euro area?

Calza, Alessandro; Sousa, João - 2005

This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....

Persistent link: https://www.econbiz.de/10011604527

A factor risk model with reference returns for the US dollar and Japanese yen bond markets

Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2006

This paper develops a new methodology for simulating fixed-income return distributions. It is shown that a traditional factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions for a broad range of fixed income instruments such as...

Persistent link: https://www.econbiz.de/10011604687

Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3

Warne, Anders - 2006

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated conditional on the lag order, the current paper also...

Persistent link: https://www.econbiz.de/10011604738

The evolving impact of global, region-specific and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

Persistent link: https://www.econbiz.de/10011916851

Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic

Konečný, Tomáš; Babecká Kucharčuková, Oxana - 2014

Various approaches have been employed to explore the possibility of non-linear feedback between the real and financial sector. The present study focuses on the impact of real shocks on selected financial sector indicators, and the responses of the real economy to impulses emanating from the...

Persistent link: https://www.econbiz.de/10011605775

Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2008

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10011604896