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This paper develops a demand model for bank loans with a two-step decision process. In the first step, the agent chooses the financial institution from which she would like to borrow. In the second step, conditioned in the first decision, the agent chooses the desired amount of the loan. The...

This paper aims to compare the interest rates charged by credit unions and banks (commercial and multiple) in order to check whether there are differences between the rates charged for loans without personal assignment and the effects of this difference in interest rates charged by banks in...

Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from...

This paper has two original contributions. First, we show that PV relationships entail a weak-form SCCF restriction, as in Hecq et al. (2006) and in Athanasopoulos et al. (2011), and implies a polynomial serial correlation common feature relationship (Cubadda and Hecq, 2001). These represent...

This study proposes a new methodology called Canonical FAVAR that incorporates the canonical correlation analysis in the estimation of two-step FAVAR models to obtain more appropriate factors for forecasting. The canonical correlation technique identifies a small number of linear combinations of...

In this paper, we propose a microfounded framework to investigate a panel of forecasts (e.g. model-driven or survey-based) and the possibility to improve their out-of-sample forecast performance by employing a bias-correction device. Following Patton and Timmermann (2007), we theoretically...

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well...

This paper analyses the price-concentration relationship for the Brazilian banking industry. Interest rate on loans proxies for price and the Herfindahl-Hirschman index proxies for concentration. A positive price-concentration relationship may be associated with anti-competitive behaviour while...

This paper investigates an intertemporal optimization model to analyze the current account through Campbell & Shiller’s (1987) approach. In this setup, a Wald test is conducted to analyze a set of restrictions imposed to a VAR, used to forecast the current account for a set of countries. We...