Showing 1 - 10 of 13
This paper estimates euro area banks’ internal target capital ratios and investigates whether banks’ adjustment to the targets affects their credit supply and securities holdings during the financial crisis in 2005–2011. Based on data on listed banks and country-specific macro-variables, a...
Persistent link: https://www.econbiz.de/10011265225
[eng] Modeling Equilibrium Exchange Rates and Estimating them for the Euro, Dollar and Yen by Laurent Maurin . This paper starts with a discussion of the problematic of equilibrium exchange rates and then presents NATREX. Based on this, we develop a model that studies both the foreign debt and...
Persistent link: https://www.econbiz.de/10010978076
type="main" xml:lang="en" <title type="main">Abstract</title> <p>The international financial crisis and the euro-area sovereign debt crisis brought to the fore the importance of financial conditions to the macro-economy. The complexity of the financial sector means that a wide range of financial variables is needed to fully...</p>
Persistent link: https://www.econbiz.de/10011147889
Several factor-based models are estimated to investigate the role of country-specific trade and survey data in forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the choice of the dataset chosen to estimate the factors. Four datasets are built...
Persistent link: https://www.econbiz.de/10008492349
Several factor-based models are estimated to investigate the role of country-specific trade and survey data in forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset selection on the empirical performance of factor models....
Persistent link: https://www.econbiz.de/10005344872
Combining forecasts, we analyse the role of information flow in computing short-term forecasts up to one quarter ahead for the euro area GDP and its main components. A dataset of 114 monthly indicators is set up and simple bridge equations are estimated. The individual forecasts are then pooled,...
Persistent link: https://www.econbiz.de/10009002323
[fre] Afin de déterminer les taux de change réels d'équilibre de l'euro et du dollar, nous étudions le déficit public comme facteur de distorsion de change. Nous montrons la possibilité, à court et à moyen terme, de sur-réaction du taux de change réel à une variation du solde...
Persistent link: https://www.econbiz.de/10008617644
We develop a simple model which integrates the public deficit in an equilibrium exchange rate model framework. This allows us to expose the overshooting of the exchange rate following a variation of the fiscal balance. Integrating this variable into the NATREX model, we estimate the dollar and...
Persistent link: https://www.econbiz.de/10008578765
We develop a partial adjustment model in order to estimate the factors contributing to banks’ internal target capital ratio, lending policy and holding of securities. The model is estimated on a panel of listed euro area banks and country specific macrovariables. Firstly, banks’ internal...
Persistent link: https://www.econbiz.de/10010686810
We implement a two-step approach to construct a financing conditions index (FCI) for the euro area and its four larger member states (Germany, France, Italy and Spain). The method, which follows Hatzius et al. (2010), is based on factor analysis and enables to summarise information on financing...
Persistent link: https://www.econbiz.de/10010753758