http://www.bis.org/cbhub/list/jel_classification/jel_C1/index.rss Latest research hub papers with the JEL classification:C1 en http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1537.pdf European Central Bank Working papers by Gianni Amisano, John Geweke Prediction using several macroeconomic models 2013-04-23T12:35:00Z Prediction of macroeconomic aggregates is one of the primary functions of macroeconometric models, including dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions. This study establishes methods that improve the predictions of these models, using a representative model from each class and a canonical 7-variable postwar US data set. It focuses on prediction over the period 1966 through 2011. It measures the quality of prediction by the probability densities assigned to the actual values of these variables, one quarter ahead, by the predictive distributions of the models in real time. Two steps lead to substantial improvement. The first is to use full Bayesian predictive distributions rather than substitute a "plug-in" posterior mode for parameters. Across models and quarters, this leads to a mean improvement in probability of 50.4%. The second is to use an equally-weighted pool of predictive densities from the three models, which leads to a mean improvement in probability of 41.9% over the full Bayesian predictive distributions of the individual models. This improvement is much better than that a¤orded by Bayesian model averaging. The study uses several analytical tools, including pooling, analysis of predictive variance, and probability integral transform tests, to understand and interpret the improvements. Prediction using several macroeconomic models 2013-04-23T12:35:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1537.pdf John Geweke Gianni Amisano Gianni Amisano, John Geweke 2013-04-23 European Central Bank Working papers C11 C51 C53 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1536.pdf European Central Bank Working papers by Anders Warne, Günter Coenen, Kai Christoffel Predictive likelihood comparisons with DSGE and DSGE-VAR models 2013-04-23T12:35:00Z This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint predictive likelihoods for a fixed subset as special cases. The basic idea is to utilize well-known techniques for handling missing data when computing the likelihood function, such as a missing observations consistent Kalman filter for linear Gaussian models, but it also extends to nonlinear, nonnormal state-space models. The predictive likelihood can thereafter be calculated via Monte Carlo integration using draws from the posterior distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area-Wide Model, a small-open-economy DSGE model, to DSGEVARs, and to reduced-form linear Gaussian models. Predictive likelihood comparisons with DSGE and DSGE-VAR models 2013-04-23T12:35:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1536.pdf Anders Warne Kai Christoffel Gunter Coenen Anders Warne, Günter Coenen, Kai Christoffel 2013-04-23 European Central Bank Working papers C11 C32 C52 C53 E37 http://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdf Bank of Canada Working papers by Antonio Diez de los Rios A New Linear Estimator for Gaussian Dynamic Term Structure Models 2013-04-23T06:19:00Z This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defined by the no-arbitrage conditions upon which these models are built. We discuss some efficiency considerations of this estimator, and show that it is asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and asymptotically efficient in a variety of situations in which other recently proposed approaches lose their tractability. We provide an empirical application in the context of the Canadian bond market. A New Linear Estimator for Gaussian Dynamic Term Structure Models 2013-04-23T06:19:00Z Abstract http://www.bankofcanada.ca/2013/04/research/working-paper-2013-10/ Full text http://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdf Antonio Diez de los Rios Antonio Diez de los Rios 2013-04 Bank of Canada Working papers C13 E43 G12 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_11.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Malte Knüppel, Guido Schultefrankenfeld The empirical (ir)relevance of the interest rate assumption for central bank forecasts 2013-04-19T12:35:00Z The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical point of view, the latter should yield the highest forecast accuracy. The lowest accuracy can be expected from forecasts conditioned on constant interest rates. However, when investigating the predictive accuracy of the forecasts for interest rates, inflation and output growth made by the Bank of England and the Banco do Brasil, we hardly find any significant differences between the forecasts based on different interest assumptions. We conclude that the choice of the interest rate assumption, while being a major concern from a theoretical point of view, appears to be at best of minor relevance empirically. The empirical (ir)relevance of the interest rate assumption for central bank forecasts 2013-04-19T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_11.pdf?__blob=publicationFile Guido Schultefrankenfeld Malte Knuppel Malte Knüppel, Guido Schultefrankenfeld 2013-04-19 Deutsche Bundesbank Discussion Papers C12 C53 http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201301.pdf Bank of Portugal Working papers by João Valle e Azevedo and Ana Pereira Macroeconomic Forecasting Using Low-Frequency Filters 2013-02-26T12:41:59Z Macroeconomic Forecasting Using Low-Frequency Filters 2013-02-26T12:41:59Z Abstract http://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=719 Full text http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201301.pdf João Valle e Azevedo Ana Pereira João Valle e Azevedo and Ana Pereira 2013-02 Bank of Portugal Working papers C14 C32 C51 C53 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1513.pdf European Central Bank Working papers by Christiane Nickel, Andreas Tudyka Fiscal stimulus in times of high debt: reconsidering multipliers and twin deficits 2013-02-16T06:19:59Z We investigate the impact of fiscal stimuli at different levels of the government debt-to-GDP-ratio for a sample of 17 European countries from 1970 to 2010. This is implemented in an interacted panel VAR framework in which all coefficient parameters are allowed to change continuously with the debt-to-GDP ratio. We find that responses to government spending shocks exhibit strong non-linear behaviour. While the overall cumulative effect of a spending shock on real GDP is positive and significant at moderate debt-to-GDP ratios, this effect turns negative as the ratio increases. The total cumulative effect on the trade balance is negative at first but switches sign at higher levels of debt. Consequently, depending on the degree of public indebtedness, our results accommodate long-run fiscal multipliers which are greater and smaller than one or even negative as well as twin deficit and twin divergence behaviour within one sample and time period. From a policy perspective, these results lend additional support to increased prudence at high public debt ratios because the effectiveness of fiscal stimuli to boost economic activity or resolve external imbalances may not be guaranteed. Fiscal stimulus in times of high debt: reconsidering multipliers and twin deficits 2013-02-16T06:19:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1513.pdf Andreas Tudyka Christiane Nickel Christiane Nickel, Andreas Tudyka 2013-02-15 European Central Bank Working papers C11 C32 E62 F32 F41 http://www.bankofengland.co.uk/publications/Pages/workingpapers/2012/wp442.aspx Bank of England Working papers by Jonathan Bridges and Ryland Thomas The impact of QE on the UK economy - some supportive monetarist arithmetic 2012-12-04T17:38:00Z The impact of QE on the UK economy - some supportive monetarist arithmetic 2012-12-04T17:38:00Z Abstract http://www.bankofengland.co.uk/publications/Pages/workingpapers/2012/wp442.aspx Jonathan Bridges Ryland Thomas Jonathan Bridges and Ryland Thomas 2012-01-27 Bank of England Working papers C11 C32 E52 E58 http://www.frbatlanta.org/documents/pubs/wp/wp1217.pdf Atlanta Fed Working papers by Nikolay Gospodinov, Raymond Kan, and Cesare Robotti Robust Inference in Linear Asset Pricing Models 2012-11-08T06:23:59Z We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this "useless" factor in the model leads to a violation of the full rank (identification) condition and renders the inference nonstandard. We show that the estimated parameter associated with the useless factor diverges with the sample size but the misspecification-robust t-statistic is still well-behaved and has a standard normal limiting distribution. The asymptotic distributions of the estimates of the remaining parameters and the model specification test are also affected by the presence of a useless factor and are nonstandard. We propose a robust and easy-to-implement model selection procedure that restores the standard inference on the parameters of interest by identifying and removing the factors that do not contribute to improved pricing. The finite-sample properties of our asymptotic approximations and the practical relevance of our results are illustrated using simulations and an empirical application. Robust Inference in Linear Asset Pricing Models 2012-11-08T06:23:59Z Abstract http://www.frbatlanta.org//pubs/wp/12_17.cfm Full text http://www.frbatlanta.org/documents/pubs/wp/wp1217.pdf Nikolay Gospodinov Cesare Robotti Raymond Kan Nikolay Gospodinov, Raymond Kan, and Cesare Robotti 2012-11-06 Atlanta Fed Working papers C13 C32 G12 http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb277032.jsp Netherlands Bank DNB Working Papers by Daniel Kapp The optimal size of the European Stability Mechanism: A cost-benefit analysis 2012-08-27T18:23:00Z This study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere (2011). While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems exclusively from the spillover effects present in the case of periphery default. The model develops regional best response functions, determining a set of feasible ranges for the total ESM size, given optimal regional contributions. The model is then calibrated to the European Economic and Monetary Union. If costs from default are reasonably high, the probability of the periphery not having access to external credit is sufficiently large, and spillover effects to the core are present, both the core and the periphery have an interest in contributing to the ESM. Calibration and sensitivity analysis suggest that the optimal ESM size is between the current and twice the size of the agreed-upon ESM. The optimal size of the European Stability Mechanism: A cost-benefit analysis 2012-08-27T18:23:00Z Abstract http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb277032.jsp Full text http://www.dnb.nl/en/binaries/Working%20Paper%20349_tcm47-277028.pdf Daniel Kapp Daniel Kapp 2012-08-21 Netherlands Bank DNB Working Papers C15 G01 G17 G22 G32 http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1229e.pdf Bank of Spain Working Papers by Matteo Barigozzi, Roxana Halbleib and David Veredas Which model to match? 2012-08-14T16:16:00Z The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of information criteria that helps the user to optimize the choice between nested and non-nested auxiliary models. They are the indirect analogues of the widely used Akaike-type criteria. A thorough Monte Carlo study based on two simple and illustrative models shows the usefulness of the criteria. Which model to match? 2012-08-14T16:16:00Z Full text http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1229e.pdf David Veredas Roxana Halbleib Matteo Barigozzi Matteo Barigozzi, Roxana Halbleib and David Veredas 2012-08 Bank of Spain Working Papers C13 C52 http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2012_06.pdf Czech National Bank Working papers by Michal Franta, Jan Libich, Petr Stehlík Tracking Monetary-Fiscal Interactions Across Time and Space 2012-08-14T16:12:59Z The fiscal position of many countries is worrying - and getting worse. Should formally independent central bankers be concerned about observed fiscal excesses spilling over to monetary policy and jeopardizing price stability? To provide some insights, this paper tracks the interactions between fiscal and monetary policies in the data across time and space. It makes three main contributions. The first one is methodological: we combine two recent econometric procedures - time-varying parameter vector autoregression with sign restrictions identification - and discuss the advantages of this approach. The second contribution is positive: we show how monetary-fiscal interactions and other macroeconomic variables have changed over time in six industrial countries (Australia, Canada, Japan, Switzerland, the UK, and the U.S.). The third contribution is normative: the paper highlights the role of the institutional design of each policy on the outcomes of both policies. Specifically, it first offers some evidence that an explicit long-term commitment of monetary policy (a legislated numerical target for average inflation) gives the central bank stronger grounds for not accommodating debt-financed fiscal shocks. Our second set of (albeit weaker) results then indicates that this threat of a policy tug-ofwar may improve the government's incentives and fiscal outcomes - reducing the probability of both a fiscal crisis and unpleasant monetarist arithmetic. Tracking Monetary-Fiscal Interactions Across Time and Space 2012-08-14T16:12:59Z Abstract http://www.cnb.cz/en/research/research_publications/cnb_wp/2012/cnbwp_2012_06.html Full text http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2012_06.pdf Petr Stehlík Jan Libich Michal Franta Michal Franta, Jan Libich, Petr Stehlík 2012-08 Czech National Bank Working papers C10 E61 http://www.bcb.gov.br/pec/wps/ingl/wps289.pdf Central Bank of Brazil Working Papers by Luiz A. Pereira da Silva, Adriana Soares Sales and Wagner Piazza Gaglianone Financial Stability in Brazil 2012-08-14T16:12:00Z This paper proposes a working definition for "financial stability" related to systemic risk. Systemic risk is then measured as the probability of disruption of financial services taking into account its time and cross-sectional dimensions and several risk factors. The paper discusses the implications of this definition for Brazil in the aftermath of the recent global financial crisis. A comparison with the United States and the Euro zone is provided. In addition, systemic risk in the Brazilian credit market is investigated given its crucial role as main financial stability driver. Finally, synthetic indicators of systemic risk are used to monitor financial stability. The link between systemic risk and synthetic indicators and/or well-correlated proxies (e.g., a credit-to-GDP gap) allows the calculation of the probability of disruption of the financial system across its time dimension. Therefore, if a Financial Stability Committee and/or the prudential regulator define its tolerance level for "financial stability" as a threshold measured by this probability of disruption, it might have the capability of determining the precise moment when it should strengthen its set of adequate macroprudential responses and policies. Financial Stability in Brazil 2012-08-14T16:12:00Z Abstract http://www.bcb.gov.br/pec/wps/port/wp289.asp?idiom=I Full text http://www.bcb.gov.br/pec/wps/ingl/wps289.pdf Adriana Soares Sales Wagner P. Gaglianone Luiz A. Pereira da Silva Luiz A. Pereira da Silva, Adriana Soares Sales and Wagner Piazza Gaglianone 2012-08 Central Bank of Brazil Working Papers C15 E44 E58 G01 G18 G20 G28 http://www.nbb.be/doc/ts/publications/wp/WP226En.pdf National Bank of Belgium Working Papers by Punnoose Jacob, Gert Peersman Dissecting the dynamics of US trade balance in an estimated equilibrium model 2012-08-14T16:12:00Z In an estimated two-country DSGE model, we find that shocks to the marginal efficiency of investment account for more than half of the forecast variance of cyclical fluctuations in the US trade balance. Both domestic and foreign marginal efficiency shocks have a substantial impact on the variability of the imbalance. On the other hand, while traditional technology shocks can generate counter-cyclical trade balance dynamics, they matter very little for the overall forecast variance. Dissecting the dynamics of US trade balance in an estimated equilibrium model 2012-08-14T16:12:00Z Full text http://www.nbb.be/doc/ts/publications/wp/WP226En.pdf Punnoose Jacob Gert Peersman Punnoose Jacob, Gert Peersman August 2012 National Bank of Belgium Working Papers C11 F41 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_07_25_dkp_16.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Jakob Bosma, Michael Koetter, Michael Wedow Credit risk connectivity in the financial industry and stabilization effects of government bailouts 2012-07-25T12:37:00Z Credit risk connectivity in the financial industry and stabilization effects of government bailouts 2012-07-25T12:37:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_07_25_dkp_16.pdf?__blob=publicationFile Jakob Bosma Michael Koetter Michael Wedow Jakob Bosma, Michael Koetter, Michael Wedow 2012-07-25 Deutsche Bundesbank Discussion Papers C14 G14 G21 H12 http://www.frbatlanta.org/documents/pubs/wp/wp1209.pdf Atlanta Fed Working papers by Mark J. Jensen and John M. Maheu Bayesian Semiparametric Multivariate GARCH Modeling 2012-07-23T17:38:00Z This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters into each of the components of this mixture. We discuss conjugate methods that allow for scale mixtures and nonconjugate methods, which provide mixing over both the location and scale of the normal components. MCMC methods are introduced for posterior simulation and computation of the predictive density. Bayes factors and density forecasts with comparisons to GARCH models with Student-t innovations demonstrate the gains from our flexible modeling approach. Bayesian Semiparametric Multivariate GARCH Modeling 2012-07-23T17:38:00Z Abstract http://www.frbatlanta.org/pubs/wp/12_09.cfm Full text http://www.frbatlanta.org/documents/pubs/wp/wp1209.pdf Mark J. Jensen John M. Maheu Mark J. Jensen and John M. Maheu 2012-07-19 Atlanta Fed Working papers C11 C14 C53 C58 http://www.frbatlanta.org/documents/pubs/wp/wp1209.pdf Atlanta Fed Working papers by Mark J. Jensen and John M. Maheu Bayesian Semiparametric Multivariate GARCH Modeling 2012-07-23T17:38:00Z This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters into each of the components of this mixture. We discuss conjugate methods that allow for scale mixtures and nonconjugate methods, which provide mixing over both the location and scale of the normal components. MCMC methods are introduced for posterior simulation and computation of the predictive density. Bayes factors and density forecasts with comparisons to GARCH models with Student-t innovations demonstrate the gains from our flexible modeling approach. Bayesian Semiparametric Multivariate GARCH Modeling 2012-07-23T17:38:00Z Abstract http://www.frbatlanta.org/pubs/wp/12_09.cfm Full text http://www.frbatlanta.org/documents/pubs/wp/wp1209.pdf Mark J. Jensen John M. Maheu Mark J. Jensen and John M. Maheu 2012-07-19 Atlanta Fed Working papers C11 C14 C53 C58 http://www.bankofcanada.ca/wp-content/uploads/2012/07/wp2012-21.pdf Bank of Canada Working papers by Christiane Baumeister, Luca Benati Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound 2012-07-23T17:34:59Z Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound 2012-07-23T17:34:59Z Abstract http://www.bankofcanada.ca/2012/07/publications/research/working-paper-2012-21/ Full text http://www.bankofcanada.ca/wp-content/uploads/2012/07/wp2012-21.pdf Christiane Baumeister Luca Benati Christiane Baumeister, Luca Benati 2012-07 Bank of Canada Working papers C11 C32 E52 E58 http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td873_12/en_td873/en_tema_873.pdf Bank of Italy Working Papers by Lorenzo Forni, Andrea Gerali, Alessandro Notarpietro and Massimiliano Pisani Euro area and global oil shocks: an empirical model-based analysis 2012-07-12T17:36:59Z We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of oil depends upon the underlying sources of variation: when the driver of higher oil prices is an increase in the rest of the world's aggregate demand, both euro-area GDP and CPI inflation increase, whereas negative oil supply shocks and positive worldwide oil-specific demand shocks have stagflationary effects on the euro-area economy. Moreover, the increase in oil prices during the 2004-2008 period did not induce stagflationary effects on the euro-area economy because it was associated with positive aggregate demand shocks in the rest of the world. Similarly, a drop in world aggregate demand helps to explain the recent (2008) simultaneous drop in oil prices, euro-area GDP and inflation - particularly its fuel component. Euro area and global oil shocks: an empirical model-based analysis 2012-07-12T17:36:59Z Abstract http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td873_12/en_td873 Full text http://www.bancaditalia.it/pubblicazioni/econo/temidi/td12/td873_12/en_td873/en_tema_873.pdf Alessandro Notarpietro Massimiliano Pisani by Lorenzo Forni Andrea Gerali Lorenzo Forni, Andrea Gerali, Alessandro Notarpietro and Massimiliano Pisani 2012-07 Bank of Italy Working Papers C11 C51 E32 F41 http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbfuzetek/WP_2012-03.pdf Magyar Nemzeti Bank (the central bank of Hungary) Working papers by Kornél Kisgergely Is there a carry trade channel of monetary policy in emerging countries? 2012-07-01T17:36:59Z This paper empirically tests whether monetary policy can have a perverse effect on aggregate demand in emerging economies, because of short-term speculative inflows. For this purpose, a bayesian VAR is estimated on a panel of six major emerging countries. Monetary and risk shocks are identified by imposing only very mild restrictions. It is found that a positive interest rate shock results in a persistent decline in production and inflation. The net foreign asset position even improves in most of the countries. Thus no large net inflows are observed and there is no sign of a perverse effect on aggregate demand. More interestingly, central banks loosen interest rate policy significantly and persistently in the face of a capital inflow shock, possibly to dampen the immediate disinflationary effect of the appreciation and/or to protect balance sheets from exchange rate volatility. In some specifications this results in overheating (positive industrial production gap and inflation) in the medium-term. Thus central banks might amplify the effect of risk premium shocks by cutting interest rates - rather than raising them - when capital flows in. Is there a carry trade channel of monetary policy in emerging countries? 2012-07-01T17:36:59Z Abstract http://english.mnb.hu/Kiadvanyok/mnben_mnbfuzetek/mnben_elozo/mnben_WP_2012_03 Full text http://english.mnb.hu/Root/Dokumentumtar/ENMNB/Kiadvanyok/mnben_mnbfuzetek/WP_2012-03.pdf Kornél Kisgergely Kornél Kisgergely 2012-07 Magyar Nemzeti Bank (the central bank of Hungary) Working papers C11 C33 E44 E58 F32 http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2012_04.pdf Czech National Bank Working papers by Jaromír Baxa, Miroslav Plasil, Borek Vasícek Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries 2012-06-19T12:35:59Z JEL codes: C11, C22, E31, E52 Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries 2012-06-19T12:35:59Z Abstract http://www.cnb.cz/en/research/research_publications/cnb_wp/2012/cnbwp_2012_04.html Full text http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2012_04.pdf Miroslav Plasil Borek Vašícek Jaromír Baxa Jaromír Baxa, Miroslav Plasil, Borek Vasícek 2012-06 Czech National Bank Working papers C11 C22 E31 E52 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1444.pdf European Central Bank Working papers by Michele Ca' Zorzi, Alexander Chudik, Alistair Dieppe The perils of aggregating foreign variables in panel data models 2012-06-14T17:36:00Z The curse of dimensionality refers to the difficulty of including all relevant variables in empirical applications due to the lack of sufficient degrees of freedom. A common solution to alleviate the problem in the context of open economy models is to aggregate foreign variables by constructing trade-weighted cross-sectional averages. This paper provides two key contributions in the context of static panel data models. The first is to show under what conditions the aggregation of foreign variables (AFV) leads to consistent estimates (as the time dimension T is fixed and the cross section dimension N -> infinite). The second is to design a formal test to assess the admissibility of the AFV restriction and to evaluate the small sample properties of the test by undertaking Monte Carlo experiments. Finally, we illustrate an application in the context of the current account empirical literature where the AFV restriction is rejected. The perils of aggregating foreign variables in panel data models 2012-06-14T17:36:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1444.pdf Alexander Chudik Michele Ca' Zorzi Alistair Dieppe Michele Ca' Zorzi, Alexander Chudik, Alistair Dieppe 2012-06-14 European Central Bank Working papers C12 C31 C33 F41 http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1221e.pdf Bank of Spain Working Papers by Carlos González-Aguado and Enrique Moral-Benito Determinants of corporate default: a BMA approach 2012-06-13T12:37:00Z Determinants of corporate default: a BMA approach 2012-06-13T12:37:00Z Full text http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1221e.pdf Enrique Moral-Benito Carlos González-Aguado Carlos González-Aguado and Enrique Moral-Benito 2012-06 Bank of Spain Working Papers C1 G33 http://www.resbank.co.za/Lists/News%20and%20Publications/Attachments/4946/WP1201.pdf South African Reserve Bank Working Papers by Peter Aling and Shakill Hassan No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates 2012-06-07T12:41:00Z Short-term interest rate processes determine the term-structure of interest rates in an arbitrage-free market, and are central to the valuation of interest-rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one-factor continuous-time processes for the South African short-term interest rate (and hence of arbitrage-free term-structure models), using Gaussian estimation methods. We find support only for diffusions where the interest rate volatility is moderately sensitive to the level of the interest rate - with particularly clear results after the adoption of inflation targeting. Other common models with restrictions that either preclude this effect, or restrict it to be too high, do not fit the data. Differences in the specification of the drift function have no evident effect on model performance. No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates 2012-06-07T12:41:00Z Abstract http://www.resbank.co.za/Publications/Detail-Item-View/Pages/Publications.aspx?sarbweb=3b6aa07d-92ab-441f-b7bf-bb7dfb1bedb4&sarblist=21b5222e-7125-4e55-bb65-56fd3333371e&sarbitem=4946 Full text http://www.resbank.co.za/Lists/News%20and%20Publications/Attachments/4946/WP1201.pdf Shakill Hassan Peter Aling Peter Aling and Shakill Hassan 2012-02-02 South African Reserve Bank Working Papers C13 E43 G12 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1441.pdf European Central Bank Working papers by Michele Ca'Zorzi, Alexander Chudik, Alistair Dieppe Thousands of models, one story: current account imbalances in the global economy 2012-06-01T12:35:59Z The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative econometric strategies: examining all models, selecting a few, and combining them all. Out of thousands (or indeed millions) of models a story emerges. Prior to the financial crisis, current account positions of major economies such as the US, UK, Japan and China were not aligned with fundamentals. Thousands of models, one story: current account imbalances in the global economy 2012-06-01T12:35:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1441.pdf Alexander Chudik Michele Ca' Zorzi Alistair Dieppe Michele Ca'Zorzi, Alexander Chudik, Alistair Dieppe 2012-06-01 European Central Bank Working papers C11 C33 F32 F34 F41 O52 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_03_07_dkp_04.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Klaus Duellmann, Thomas Kick Stress testing German banks against a global cost-of-capital shock 2012-05-29T12:35:00Z Stress testing German banks against a global cost-of-capital shock 2012-05-29T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_03_07_dkp_04.pdf?__blob=publicationFile Klaus Düllmann Thomas Kick Klaus Duellmann, Thomas Kick 2012-03-07 Deutsche Bundesbank Discussion Papers C13 C15 G21 G33