Results 11 to 20 of about 92,205 (30)
Social Science Research Network, 2018 This paper provides a detailed description of an extended version of the ECB’s New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008).
G. Coenen +3 more
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Monetary Policy and Stock Market Boom-Bust Cycles
Social Science Research Network, 2008 We explore the dynamic effects of news about a future technology improvement which turns out ex post to be overoptimistic. We find that it is difficult to generate a boom-bust cycle (a period in which stock prices, consumption, investment and employment ...
L. Christiano +3 more
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Modeling systemic risk with Markov Switching Graphical SUR models
Journal of Econometrics, 2019 We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models.
Daniele Bianchi +3 more
semanticscholar +1 more source
Fiscal policy and the Great Recession in the Euro Area
Social Science Research Network, 2012 How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points.
G. Coenen, Roland Straub, M. Trabandt
semanticscholar +1 more source
Fragile beliefs and the price of uncertainty
, 2010 A representative consumer uses Bayes’ law to learn about parameters of several models and to construct probabilities with which to perform ongoing model averaging.
L. Hansen, T. Sargent
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Taylor-Rule Consistent Estimates of the Natural Rate of Interest
Social Science Research Network, 2019 We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we
Claus Brand, F. Mazelis
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To Aggregate or Not to Aggregate? Euro Area Inflation Forecasting
Social Science Research Network, 2004 In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a ...
Nicholai Benalal +4 more
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WANT EXPORT DIVERSIFICATION? EDUCATE THE KIDS FIRST
, 2015 Michael Jetter, Andrés Ramírez Hassan
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A Time-varying Skewness Model for Growth-at-Risk
Social Science Research Network, 2023This paper studies macroeconomic risks in a panel of advanced economies based on a stochastic volatility model in which macro-financial conditions shape the predictive growth distribution.
Martin Iseringhausen
semanticscholar +1 more source