Similar Search Results

Schüler, Yves Stephan - 2018

I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business...

Persistent link: https://www.econbiz.de/10012923312

Would the Bundesbank Have Prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s' United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank – which is near-universally...

Persistent link: https://www.econbiz.de/10013153230

Schüler, Yves S. - 2018

Persistent link: https://www.econbiz.de/10011853326

Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

Adam, Tomas - 2017

with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10012963728

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065408

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10011605180

Financial Conditions, Business Cycle Fluctuations and Growth at Risk

Falconio, Andrea - 2020

We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector … risk, but have limited impact on upside potential. The impact of financial shocks is explained away after controlling for … economic risk (measured by the interquantile range). The effects are economically relevant. Bad economic environment …

Persistent link: https://www.econbiz.de/10012822485

Banking, Debt and Currency Crises : Early Warning Indicators for Developed Countries

Babecký, Jan - 2012

We construct and explore a new quarterly dataset covering crisis episodes in 40 developed countries over 1970–2010. First, we examine stylized facts of banking, debt, and currency crises. Banking turmoil was most frequent in developed economies. Using panel vector autoregression, we confirm...

Persistent link: https://www.econbiz.de/10013099231

The 'Great Moderation' in the United Kingdom

Benati, Luca - 2021

We use a Bayesian time-varying parameters structural VAR with stochastic volatility for GDP deflator inflation, real …

Persistent link: https://www.econbiz.de/10013317044

Determinants of Credit-Less Recoveries

Bijsterbosch, Martin - 2011

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

Persistent link: https://www.econbiz.de/10013123785