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Spillovers from the ECB's Non-Standard Monetary Policy Measures on South-Eastern Europe

Moder, Isabella - 2018

This paper is the first to comprehensively assess the impact of the euro area's non-standard monetary policy measures on south-eastern Europe. By employing bilateral BVAR models, I am able to estimate the response of output and prices for each country, as well as to shed more light on potential...

Persistent link: https://www.econbiz.de/10012933044

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe

Claeys, Peter - 2014

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...

Persistent link: https://www.econbiz.de/10013056837

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

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

Banbura, Marta - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10013047977

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Camba-Méndez, Gonzalo - 2014

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...

Persistent link: https://www.econbiz.de/10013052936

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Beirne, John - 2009

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

Persistent link: https://www.econbiz.de/10013154956

Selecting models with judgment

Manganelli, Simone - 2018

A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental...

Persistent link: https://www.econbiz.de/10012142032

Statistical decision functions with judgment

Manganelli, Simone - 2021

A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...

Persistent link: https://www.econbiz.de/10012422174

Asset allocation with judgment

Manganelli, Simone - 2016

This paper shows how to incorporate judgment in a decision problem under uncertainty, within a classical framework. The method relies on the specification of a judgmental decision with associated confidence level and application of hypothesis testing. The null hypothesis tests whether marginal...

Persistent link: https://www.econbiz.de/10011605992

Double conditioning: The hidden connection between Bayesian and classical statistics

Manganelli, Simone - 2023

Bayesian decisions are observationally identical to decisions with judgment. Decisions with judgment test whether a judgmental decision is optimal and, in case of rejection, move to the closest boundary of the confidence interval, for a given confidence level. The resulting decisions condition...

Persistent link: https://www.econbiz.de/10014374474