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current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With … to recessions in a G7 country, we find that the likelihood of them coming to an end is not affected by other G7 countries …' recessions. We find duration dependence of recessions for all G7 countries, i.e. recessions that have gone on for a while are …
Persistent link: https://www.econbiz.de/10012142049
relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning …
Persistent link: https://www.econbiz.de/10012422057
-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four …
Persistent link: https://www.econbiz.de/10011605301
to have higher profit margins and lower productivity, as often the case in sheltered sectors …
Persistent link: https://www.econbiz.de/10012954407
The COVID-19 crisis has affected economic sectors very heterogeneously, with possible risks for permanent losses in some sectors. This paper presents a sectoral-level, bottom- up method to estimate euro area potential outputin order to assess the impact of the crisis on it. The estimates are...
Persistent link: https://www.econbiz.de/10014278379
This paper studies the design of Ramsey optimal monetary policy in a Health New Keynesian (HeNK) model with Susceptible, Infected and Recovered (SIR) agents. The nonlinear model is estimated with maximum likelihood techniques on Euro Area data. Our objective is to deconstruct the mechanism by...
Persistent link: https://www.econbiz.de/10014476273
We compare supermarket price setting in the US and the euro area and assess its impact on food inflation. We introduce a novel scanner dataset of Germany, the Netherlands, France, and Italy (EA4) and contrast it with an equivalent dataset from the US. We find that both higher frequency and...
Persistent link: https://www.econbiz.de/10014543607
This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID-19 pandemic-when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these...
Persistent link: https://www.econbiz.de/10012422123
This paper analyses the effects of the COVID-19 pandemic shock on small open economies in a monetary union with an application to the euro area. Accounting for a high degree of openness and a strong dependence on intra and extra union trade, we focus on the size and the direction of...
Persistent link: https://www.econbiz.de/10012661631
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...
Persistent link: https://www.econbiz.de/10014078099