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Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach
Bracke, Thierry - 2008
Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...
Persistent link: https://www.econbiz.de/10012771616
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Dissecting saving dynamics: measuring wealth, precautionary and credit effects
Carroll, Christopher; Slacalek, Jiri; Sommer, Martin - 2012
stock' model of optimal consumption in the presence of labor income uncertainty and credit constraints. Saving in the model …We argue that the U.S. personal saving rate's long stability (from the 1960s through the early 1980s), subsequent … saving rate's long-term decline, while fluctuations in net wealth and uncertainty capture the bulk of the business …
Persistent link: https://www.econbiz.de/10011605519
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ECB-(RE)BASE: Heterogeneity in expectation formation and macroeconomic dynamics
Adjemian, Stéphane; Bokan, Nikola; Darracq Pariès, … - 2024
This paper introduces ECB-(RE)BASE as the model-consistent, or rational expectation version of the ECB-BASE model. It brings new analytical capabilities to consider varying degrees of heterogeneity in expectation formation across the agents of the model. While the original version of ECB-BASE...
Persistent link: https://www.econbiz.de/10015199458
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Updating the retirement-consumption puzzle in Italy: Who are the most affected?
Marini, Andrea - 2024
In this paper I investigate the retirement-consumption puzzle in Italy for the period 2010-2016, using SHIW data. In … a strong predictor of the retirement decision, and the estimated non-durable consumption drop is equal to 12.3%. When … consumption decline that is more than double that estimated for households with male heads. The data and the literature on the …
Persistent link: https://www.econbiz.de/10014543593
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Destabilizing effects of bank overleveraging on real activity: an analysis based on a threshold MCS-GVAR
Gross, Marco; Henry, Jérôme; Semmler, Willi - 2017
We investigate the consequences of overleveraging and the potential for destabilizing effects from financial- and real-sector interactions. In a theoretical framework, we model overleveraging and indicate how a highly leveraged banking system can lead to unstable dynamics and downward spirals....
Persistent link: https://www.econbiz.de/10011804396
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Introducing ECB-BASE: The blueprint of the new ECB semi-structural model for the euro area
Angelini, Elena; Bokan, Nikola; Christoffel, Kai; … - 2019
This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...
Persistent link: https://www.econbiz.de/10012142159
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An area-wide model (AWM) for the euro area
Fagan, Gabriel; Henry, Jérôme; Mestre, Ricardo - 2001
This paper presents a quarterly estimated structural macroeconomic model for the euro area, denoted area-wide model (AWM). This model has been developed with four uses in mind: the assessment of economic conditions in the area, macroeconomic forecasting, policy analysis and deepening...
Persistent link: https://www.econbiz.de/10011604088
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Monetary transmission in Germany: new perspectives on financial constraints and investment spending
Von Kalckreuth, Ulf - 2001
In order to obtain a better understanding of the transmission channels for monetary policy, this paper assesses the importance of the interest rate and credit channels on business fixed investment in Germany. Our unbalanced panel of financial statements contains 44,345 firm/year observations for...
Persistent link: https://www.econbiz.de/10011604155
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The French block of the ESCB multi-country model
Boissay, Frédéric; Villetelle, Jean-Pierre - 2005
This paper presents the French country block of the ESCB Multi-Country Model for the euro area, which has been built in collaboration by the ECB and the Banque de France. The theoretical structure of the model is in line with most current macroeconometric models, i.e. supply factors determine...
Persistent link: https://www.econbiz.de/10011604502
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The Dutch block of the ESCB multi-country model
Angelini, Elena; Boissay, Frédéric; Ciccarelli, Matteo - 2006
The paper presents the Dutch country block of the ESCB Multi-Country Model (MCM) for the euro area. We show how a theoretical model is translated into an econometric specification and how this specification is in turn estimated and used in the projection exercises of the E(S)CB. The dynamic...
Persistent link: https://www.econbiz.de/10011604692