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The monetary transmission mechanism at the euro-area level: issues and results using structural macroeconomic models

McAdam, Peter; Morgan, Julian - 2001

the results of variant monetary policy simulations at the euro-area level using the AWM and NiGEM models …

Persistent link: https://www.econbiz.de/10011604139

Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - 2008

We consider the problem of portfolio selection within the classical Markowitz meanvariance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical foundation into a viable portfolio construction algorithm have...

Persistent link: https://www.econbiz.de/10011604982

Sparse and Stable Markowitz Portfolios

Brodie, Joshua - 2008

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights....

Persistent link: https://www.econbiz.de/10012770540

Monetary policy spillovers, capital controls and exchange rate flexibility, and the financial channel of exchange rates

Georgiadis, Georgios; Zhu, Feng - 2019

We assess the empirical validity of the trilemma (or impossible trinity) in the 2000s for a large sample of advanced and emerging economies. To do so, we estimate Taylor-rule type monetary policy reaction functions, relating the local policy rate to real-time forecasts of domestic fundamentals,...

Persistent link: https://www.econbiz.de/10012142111

Dominant-currency pricing and the global output spillovers from US dollar appreciation

Georgiadis, Georgios; Schumann, Ben - 2019

Different export-pricing currency paradigms have different implications for a host of issues that are critical for policymakers such as business cycle co-movement, optimal monetary policy, optimum currency areas and international monetary policy co-ordination. Unfortunately, the literature has...

Persistent link: https://www.econbiz.de/10012142152

Introducing dominant currency pricing in the ECB's global macroeconomic model

Georgiadis, Georgios; Mösle, Saskia - 2019

A large share of global trade being priced and invoiced primarily in US dollar rather than the exporter's or the importer's currency has important implications for the transmission of shocks. We introduce this "dominant currency pricing" (DCP) into ECB-Global, the ECB's macroeconomic model for...

Persistent link: https://www.econbiz.de/10012142165

Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 2017

-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we … hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of … data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …

Persistent link: https://www.econbiz.de/10011804397

Global spillovers from multi-dimensional US monetary policy

Georgiadis, Georgios; Jarociński, Marek - 2023

We estimate spillovers from US monetary policy for different measures in the Federal Reserve's toolkit. We make use of novel measures of exogenous variation in conventional rate policy, forward guidance and large-scale asset purchases (LSAPs) based on high-frequency asset-price surprises around...

Persistent link: https://www.econbiz.de/10014543596

Gas price shocks and euro area inflation

Adolfsen, Jakob Feveile; Ferrari, Massimo Minesso; … - 2024

This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The...

Persistent link: https://www.econbiz.de/10014543615

A new approach to early warning systems for small European banks

Bräuninger, Michael; Malikkidou, Despo; Scalone, Stefano; … - 2019

This paper describes a machine learning technique to timely identify cases of individual bank financial distress. Our work represents the first attempt in the literature to develop an early warning system specifically for small European banks. We employ a machine learning technique, and build a...

Persistent link: https://www.econbiz.de/10012389551