Similar Search Results

Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

Cuche, Nicolas A.; Hess, Martin K. - 1999

the Kalman filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a …

Persistent link: https://www.econbiz.de/10011430006

Monetary policy shocks for Sweden

Kilman, Josefin - 2022

This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output,...

Persistent link: https://www.econbiz.de/10014318981

Narrative monetary policy surprises and the media

Larsen, Vegard Høghaug; Thorsrud, Leif Anders - 2019

We propose a method to quantify narratives from textual data in a structured manner, and identify what we label "narrative monetary policy surprises" as the change in economic media coverage that can be explained by central bank communication accompanying interest rate meetings. Our proposed...

Persistent link: https://www.econbiz.de/10012661551

Assessing the macroeconomic impact of bank intermediation shocks: A structural approach

Chen, Kaiji; Zha, Tao - 2015

We take a structural approach to assessing the empirical importance of shocks to the supply of bank-intermediated credit in affecting macroeconomic fluctuations. First, we develop a theoretical model to show how credit supply shocks can be transmitted into disruptions in the production economy....

Persistent link: https://www.econbiz.de/10011460624

Cyclical lending standards: A structural analysis

Chen, Kaiji; Higgins, Patrick; Zha, Tao - 2020

Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks...

Persistent link: https://www.econbiz.de/10012389583

Imputation and price indexes: Theory and evidence from the international price program

Feenstra, Robert C.; Diewert, W. Erwin - 2000

related commodities; and linear interpolation, which uses the last and next observations for the item to linearly interpolate …. Certain hybrid techniques, combining either carry-forward or cell-mean with linear interpolation, are also considered. Our … price index: (3) linear interpolation results in less fluctuation of prices than the true series: (4) combining either carry …

Persistent link: https://www.econbiz.de/10010318606

Estimating The Term Structure of Interest Rates: The Swiss Case

Meier, Iwan - 1999

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to...

Persistent link: https://www.econbiz.de/10011430010

Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer

Mertens, Elmar - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Stylized facts on output and interest rates in the U.S. have so far proved hard to match with business cycle models. But these findings do not acknowledge that the economy might well be driven by different shocks, and by each in different ways. I estimate covariances of output, nominal and real...

Persistent link: https://www.econbiz.de/10005858587

Introducing Capital Structure in a Production Economy : Implications for Investment, Debt and Dividends

Alessandrini, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This model adds to the standard neoclassical model of business fluctuations by introducing a more realistic capital structure problem, where firms have to balance the tax benefits of debt with the costs of potential financial distress. Therefore, firms solve a dynamic problem with both an...

Persistent link: https://www.econbiz.de/10005859002

SEARCH IN MACROECONOMIC MODELS OF THE LABOR MARKET

Rogerson, Richard; Shimer, Robert - National Bureau of Economic Research <Cambridge, Mass.> - 2010

This chapter assesses how models with search frictions have shaped our understanding of aggregatelabor market outcomes in two contexts: business cycle fluctuations and long-run (trend) changes. Wefirst consolidate data on aggregate labor market outcomes for a large set of OECD countries. We...

Persistent link: https://www.econbiz.de/10005870309