Showing 1 - 10 of 18
Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying inflation to formulate monetary policy and assist in forecasting observed inflation. Recent work has concentrated on modelling large datasets using...
Persistent link: https://www.econbiz.de/10009639462
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10009640514
output changes. In the euro area investment is the predominant driver of output changes, while in the U.S. consumption shifts … several potential explanations for it. While the evidence seems to point at differences in consumption responses, rather than … investment, as the proximate cause for this fact, the source of the consumption difference remains a puzzle. …
Persistent link: https://www.econbiz.de/10009635907
Based on the householdsu0092 utility maximisation, a closed form approximation of the consumption function is derived … and the deep parameters of the consumption function are estimated using aggregate euro area data. The novel element in our … lot of information on future income changes, but that also lagged consumption, through habit formation, plays an important …
Persistent link: https://www.econbiz.de/10009635925
underlying model. To address this question, in this paper I estimate the New Keynesian IS curve for output and consumption and … consumption are mainly forward looking, and this is a very robust feature of the data. At the same time, I find little evidence in …
Persistent link: https://www.econbiz.de/10009640304
This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. We extend the tractable, though non-monetary overlapping-generations model of Gertler (1999) and present a small synthesis model which combines the set-up of Gertler with a...
Persistent link: https://www.econbiz.de/10009640420
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10009640455
I investigate the effect of wealth on consumption in a new dataset with financial and housing wealth from 16 countries …. The baseline estimation method based on the sluggishness of consumption growth implies that the eventual (long … area economies, consumption only barely reacts to wealth elsewhere. The effect of housing wealth is somewhat smaller than …
Persistent link: https://www.econbiz.de/10009640462
This paper presents a simple new method for measuring `wealth effects' on aggregate consumption. The method exploits … the stickiness of consumption growth (sometimes interpreted as reflecting consumption `habits') to distinguish between …
Persistent link: https://www.econbiz.de/10009640516
This paper develops a general equilibrium model to analyze the link between financial imbalances and financial crises. The model features an interbank market subject to frictions and where two equilibria may (co-)exist. The normal times equilibrium is characterized by a deep market with highly...
Persistent link: https://www.econbiz.de/10009640693