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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
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What Has Driven Inflation Dynamics in the Euro Area, the United Kingdom and the United States
Melolinna, Marko - 2015
This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor-augmented vector autoregression (FAVAR) framework with sign restrictions to study the effects of fundamental macroeconomic shocks on inflation in the three economies. The FAVAR model...
Persistent link: https://www.econbiz.de/10013020653
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Autoregressions in Small Samples, Priors about Observables and Initial Conditions
Jarocinski, Marek - 2010
We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...
Persistent link: https://www.econbiz.de/10013136582
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A Stable Model for Euro Area Money Demand : Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10013155103
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Interest Rate Volatility : A Consol Rate-Based Measure
Brousseau, Vincent - 2013
In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of …
Persistent link: https://www.econbiz.de/10013088954
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Autoregressions in small samples, priors about observables and initial conditions
Jarociński, Marek; Marcet, Albert - 2010
We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...
Persistent link: https://www.econbiz.de/10011605309
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The Transmission of Euro Area Monetary Policy to Financially Euroised Countries
Moder, Isabella - 2021
transmitted into euro retail rates outside the euro area, which constitutes an additional channel of international shock …
Persistent link: https://www.econbiz.de/10013323906
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables
Chudik, Alexander; Georgiadis, Georgios - 2021
where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a … frequency of the shock, and (iv) the full set of relevant endogenous variables entering the DGP is unknown or unobserved …
Persistent link: https://www.econbiz.de/10013315353
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Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area
Holm-Hadulla, Fédéric - 2018
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10012931102