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The Natural Rate of Interest and the Financial Cycle

Krustev, Georgi - 2018

estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By …

Persistent link: https://www.econbiz.de/10012914883

The Natural Real Interest Rate and the Output Gap in the Euro Area : A Joint Estimation

Garnier, Julien; Wilhelmsen, Bjorn-Roger - 2021

The notion of a natural real rate of interest, due to Wicksell (1936), is widely used in current central bank research. The idea is that there exists a level at which the real interest rate would be compatible with output being at its potential and stationary inflation. This paper applies the...

Persistent link: https://www.econbiz.de/10013318194

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

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

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

Persistent link: https://www.econbiz.de/10013020665

Structural Breaks, Cointegration and the Fisher Effect

Beyer, Andreas - 2009

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration …

Persistent link: https://www.econbiz.de/10012765185

A Multivariate Unobserved Components Model to Estimate Potential Output in the Euro Area : A Production Function Based Approach

Tóth, Máté - 2021

This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the...

Persistent link: https://www.econbiz.de/10013243813

Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data

Ciccarelli, Matteo; Altavilla, Carlo - 2021

This paper explores the role of model and vintage combination in forecasting, with a novel approach that exploits the information contained in the revision history of a given variable. We analyse the forecast performance of eleven widely used models to predict inflation and GDP growth, in the...

Persistent link: https://www.econbiz.de/10013316663

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

Unobserved Components Model(s) : Output Gaps and Financial Cycles

Guillochon, Justine; Le Roux, Julien - 2023

The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...

Persistent link: https://www.econbiz.de/10014353253