Similar Search Results

The Employment Consequences of SMEs’ Credit Constraints in the Wake of the Great Recession

Cornille, David - 2017

investigate how employment decisions of small- and medium-sized enterprises (SMEs) have been affected by credit constraints in the … banks. Yet, findings also indicate that employment consequences of credit shortages have been essentially detrimental for …

Persistent link: https://www.econbiz.de/10012940882

Variational inference for Bayesian panel VAR models

Ter Steege, Lucas - 2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de/10015199536

Pensions and Fertility : Back to the Roots -- The Introduction of Bismarck's Pension Scheme and the European Fertility Decline

Fenge, Robert - 2014

Fertility has long been declining in industrialised countries and the existence of public pension systems is considered … pension system depresses fertility. Our theoretical framework highlights that the effect of a public pension system on … fertility works via the impact of contributions in such a system on disposable income as well as via the impact on future …

Persistent link: https://www.econbiz.de/10013047746

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Ciccarelli, Matteo - 2012

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out...

Persistent link: https://www.econbiz.de/10013097758

Labour Force Participation in the Euro Area - A Cohort Based Analysis

Balleer, Almut - 2009

We use a cohort based model to analyze determinants of labour force participation for disaggregated groups of workers in the euro area and the five largest euro area countries. The model captures age and cohort effects as indicators of (unobserved) determinants of participation behaviour. We use...

Persistent link: https://www.econbiz.de/10013160420

Firm-Level Employment, Labour Market Reforms, and Bank Distress

Stieglitz, Moritz - 2019

2013. While we find that labour market reforms are overall effective in increasing employment, restricted access to bank … credit can undo up to half of long-term employment gains at the firm-level. Entrepreneurs without sufficient access to credit … cannot reap the full benefits of more flexible employment regulation …

Persistent link: https://www.econbiz.de/10012858395

Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts : The Credit Crisis of 2008

Koopman, Siem Jan - 2012

We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...

Persistent link: https://www.econbiz.de/10013102101

Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR

Groß, Marco - 2013

This paper aims to illustrate how a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model can be set up and solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and banks for which we model their credit default swap...

Persistent link: https://www.econbiz.de/10013078534

Systemic Risk Diagnostics : Coincident Indicators and Early Warning Signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2021

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...

Persistent link: https://www.econbiz.de/10013316033

Bidding Behaviour in the ECB's Main Refinancing Operations during the Financial Crisis

Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - 2021

Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB) to address the recent tensions in financial markets since summer 2007. In this paper, we analyse banks' bidding behaviour in the ECB's main refinancing operations (MROs) during...

Persistent link: https://www.econbiz.de/10013316378