Central Bank Research Hub - JEL classification C15: Statistical Simulation Methods: General
http://www.bis.org/cbhub/list/jel_classification/jel_C15/index.rss
Latest research hub papers with the JEL classification:C15enM-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_06_16_dkp_15.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Natalia Tente, Natalja von Westernhagen, Ulf SlopekM-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements2017-06-16T12:37:59ZM-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirementsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2017/2017_06_16_dkp_15.pdf?__blob=publicationFileNatalia TenteUlf SlopekNatalja von WesternhagenNatalia Tente, Natalja von Westernhagen, Ulf Slopek2017-06-16Deutsche Bundesbank Discussion PapersC15C23C63G21G28How bubbly is the New Zealand dollar?
http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Discussion%20papers/2017/dp17-03.pdf
Reserve Bank of New Zealand Discussion Papers by Daan SteenkampHow bubbly is the New Zealand dollar?2017-04-26T06:23:00ZThis paper tests for the existence of bubbles in the value of the New Zealand dollar. A common definition of an asset price bubble is the existence of explosive dynamics. This paper tests for periods of explosiveness in the New Zealand dollar measured at a monthly and quarterly frequency. To determine whether, during any explosive changes, the exchange rate was disconnected from changes in relative economic fundamentals, these tests are also applied to three models of exchange rate determination. This paper finds no evidence of episodes when either the New Zealand dollar or its fundamentals were explosive.How bubbly is the New Zealand dollar?Abstracthttp://www.rbnz.govt.nz/research-and-publications/discussion-papers/2017/dp2017-03Full texthttp://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Discussion%20papers/2017/dp17-03.pdfDaan SteenkampDaan Steenkamp2017-04-26Reserve Bank of New Zealand Discussion PapersC15C32F31Explosiveness in G11 currencies
http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Discussion%20papers/2017/dp17-02.pdf
Reserve Bank of New Zealand Discussion Papers by Daan SteenkampExplosiveness in G11 currencies2017-04-26T06:23:00ZThis paper tests for explosiveness in G11 currencies in daily data using a methodology that accounts for the possibility of non-stationary volatility. The results suggest that bouts of explosiveness in exchange rates are uncommon at a daily frequency. However, periods of explosiveness tend to last for several days. Such episodes only involve small changes in actual currency levels, which usually reverse shortly after. This paper identifies the currency in a currency pair that is experiencing explosive dynamics by also considering the dynamics of effective exchange rates of different currencies. There is high concordance with explosiveness in the broad value of the US dollar exchange rate, suggesting that there are relatively few instances where explosiveness in individual cross-rates reflected country-specific factors.Explosiveness in G11 currenciesAbstracthttp://www.rbnz.govt.nz/research-and-publications/discussion-papers/2017/dp2017-02Full texthttp://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Discussion%20papers/2017/dp17-02.pdfDaan SteenkampDaan Steenkamp2017-04-26Reserve Bank of New Zealand Discussion PapersC12C15C22F31Financial frictions and the real economy
http://www.esrb.europa.eu/pub/pdf/wp/esrbwp41.en.pdf?b0c88c33cc073e1d6cfa6897e75f47fb
European Systemic Risk Board Working papers by Mario PietruntiFinancial frictions and the real economy2017-04-03T12:39:59ZFinancial frictions and the real economyESRBFull texthttp://www.esrb.europa.eu/pub/pdf/wp/esrbwp41.en.pdf?b0c88c33cc073e1d6cfa6897e75f47fbMario PietruntiMario Pietrunti2017-04-03European Systemic Risk Board Working papersC15E32E44G01A goodness-of-fit test for Generalized Error Distribution
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1096/index.html
Bank of Italy Working Papers by Daniele CoinA goodness-of-fit test for Generalized Error Distribution2017-02-23T13:37:00ZA goodness-of-fit test for Generalized Error DistributionAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1096/index.htmlFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1096/en_tema_1096.pdf?language_id=1Daniele CoinDaniele Coin2017-02-23Bank of Italy Working PapersC14C15C63Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil
http://www.bcb.gov.br/pec/wps/ingl/wps446.pdf
Central Bank of Brazil Working Papers by Wagner Piazza Gaglianone and Jaqueline Terra Moura MarinsEvaluation of Exchange Rate Point and Density Forecasts: an application to Brazil2016-11-29T06:23:00ZIn this paper, we construct multi-step-ahead point and density forecasts of the exchange rate, from statistical or economic-driven approaches, using financial or macroeconomic data and using parametric or nonparametric distributions. We employ a set of statistical tools, from different strands of the literature, to identify which models work in practice, in terms of forecast accuracy across different data frequencies and forecasting horizons. We propose a novel full-density/local analysis approach to collect the many test results, and deploy a simple risk based decision rule to rank models. An empirical exercise with Brazilian daily and monthly data reveals that macro fundamentals matter when modeling the risk of exchange rate appreciation, whereas models using survey information or financial data are the best way to account for the depreciation risk. These findings have relevance for econometricians, risk managers or policymakers interested in evaluating the accuracy of competing exchange rate models.Evaluation of Exchange Rate Point and Density Forecasts: an application to BrazilAbstracthttp://www.bcb.gov.br/pec/wps/port/wp446.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps446.pdfWagner P. GaglianoneJaqueline Terra Moura MarinsWagner Piazza Gaglianone and Jaqueline Terra Moura Marins2016-11Central Bank of Brazil Working PapersC14C15C33E37F31Tempered Particle Filtering
http://www.federalreserve.gov/econresdata/feds/2016/files/2016072pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Edward Herbst and Frank SchorfheideTempered Particle Filtering2016-09-07T17:38:00ZThe accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While straightforward to implement, the practical performance is often poor. We develop a self-tuning particle filter in which the proposal distribution is constructed adaptively through a sequence of Monte Carlo steps. Intuitively, we start from a measurement error distribution with an inflated variance, and then gradually reduce the variance to its nominal level in a sequence of steps that we call tempering. We show that the filter generates an unbiased and consistent approximation of the likelihood function. Holding the run time fixed, our filter is substantially more accurate in two DSGE model applications than the bootstrap particle filter.Tempered Particle FilteringFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016072pap.pdfEdward HerbstFrank SchorfheideEdward Herbst and Frank Schorfheide2016-09Board of Governors of the Federal Reserve System FEDS seriesC11C15E10The Rewards of Self-Discovery: Learning and Firm Exporter Dynamics
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{240D1C65-416C-F996-5D60-8C28924B1DF8}.pdf
Bank of Mexico Working Papers by Cebreros Zurita Carlos AlfonsoThe Rewards of Self-Discovery: Learning and Firm Exporter Dynamics2016-06-14T17:36:59ZI develop and estimate a model of export dynamics featuring self-discovery that accounts well for new exporter dynamics:(a) continuation rates that are increasing with tenure, and (b) growth rates of export sales that are decreasing with tenure. The option value generated by the acquisition of more information is key to understanding firm dynamics as the discovery stage lasts as long as this option value is positive. I use the model to study the impact of export promotion policies that temporarily subsidize the fixed costs of exporting. These policies can result in long-lived increases in aggregate trade, but their effectiveness crucially depends on the speed of learning.The Rewards of Self-Discovery: Learning and Firm Exporter DynamicsFull texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{240D1C65-416C-F996-5D60-8C28924B1DF8}.pdfAlfonso Cebreros Zurita CarlosCebreros Zurita Carlos Alfonso2016-06Bank of Mexico Working PapersC15D21D22D83F12F14L11L25Covariate-augmented unit root tests with mixed-frequency data
http://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=869
Bank of Portugal Working papers by Cláudia DuarteCovariate-augmented unit root tests with mixed-frequency data2016-05-01T06:23:00ZUnit root tests typically suff er from low power in small samples, which results in not rejecting the null hypothesis as often as they should. This paper tries to tackle this issue by assessing whether it is possible to improve the power performance of covariate-augmented unit root tests, namely the ADF family of tests, by exploiting mixed-frequency data. We use the mixed data sampling (MIDAS) approach to deal with mixed-frequency data. The results from a Monte Carlo exercise indicate that mixed-frequency tests have better power performance than low-frequency tests. The gains from exploiting mixed-frequency data are greater for near-integrated variables. An empirical illustration using the US unemployment rate is presented.Covariate-augmented unit root tests with mixed-frequency dataAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=869Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP201507.pdfCláudia DuarteCláudia Duarte2015-05Bank of Portugal Working papersC12C15C22Credit risk stress testing and copulas - is the Gaussian copula better than its reputation?
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2016_01_25_dkp_46.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Philipp Koziol, Carmen Schell, Meik EckhardtCredit risk stress testing and copulas - is the Gaussian copula better than its reputation?2016-01-25T17:40:00ZCredit risk stress testing and copulas - is the Gaussian copula better than its reputation?Full texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2016_01_25_dkp_46.pdf?__blob=publicationFilePhilipp KoziolCarmen SchellMeik EckhardtPhilipp Koziol, Carmen Schell, Meik Eckhardt2016-01-25Deutsche Bundesbank Discussion PapersC13C15G21G33Why risk is so hard to measure
http://www.dnb.nl/en/binaries/Working%20Paper%20494_tcm47-335899.pdf
Netherlands Bank DNB Working Papers by Jon Danielsson and Chen ZhouWhy risk is so hard to measure2016-01-06T06:17:59ZThis paper analyses the accuracy and reliability of standard techniques for risk analysis used by the financial industry as well as in regulations. We focus on the difference between valueatrisk and expected shortfall, the small sample properties of these risk measures and the impact of using an overlapping approach to construct data for longer holding periods. Overall, we find that risk forecasts are extremely uncertain at low sample sizes. By comparing the estimation uncertainty, we find that valueatrisk is superior to expected shortfall and the time-scaling approach for risk forecasts with longer holding periods is preferable to using overlapping data. Why risk is so hard to measureAbstracthttp://www.dnb.nl/en/news/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2016/dnb335907.jspFull texthttp://www.dnb.nl/en/binaries/Working%20Paper%20494_tcm47-335899.pdfChen ZhouJon DanielssonJon Danielsson and Chen Zhou2016-01-05Netherlands Bank DNB Working PapersC10C15G18A note on implementing the Durbin and Koopman simulation smoother
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1867.en.pdf
European Central Bank Working papers by Marek JarociskiA note on implementing the Durbin and Koopman simulation smoother2015-11-16T17:36:59ZThe correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments).A note on implementing the Durbin and Koopman simulation smootherECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1867.en.pdfMarek JarociskiMarek Jarociski2015-11-16European Central Bank Working papersC15C3Many a little makes a mickle: macro portfolio stress test for small and medium-sized German banks
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_07_29_dkp_23.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Ramona Busch, Philipp Koziol, Marc MitrovicMany a little makes a mickle: macro portfolio stress test for small and medium-sized German banks2015-07-29T12:43:00ZMany a little makes a mickle: macro portfolio stress test for small and medium-sized German banksFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_07_29_dkp_23.pdf?__blob=publicationFilePhilipp KoziolMarc MitrovicRamona BuschRamona Busch, Philipp Koziol, Marc Mitrovic2015-07-29Deutsche Bundesbank Discussion PapersC13C15G21G33Calculating trading book capital: is risk separation appropriate?
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_07_21_dkp_19.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Peter RaupachCalculating trading book capital: is risk separation appropriate?2015-07-21T12:43:59ZCalculating trading book capital: is risk separation appropriate?Full texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_07_21_dkp_19.pdf?__blob=publicationFilePeter RaupachPeter Raupach2015-07-21Deutsche Bundesbank Discussion PapersC15G21G32Statistical matching and uncertainty analysis in combining household income and expenditure data
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2015/2015-1018/index.html?com.dotmarketing.htmlpage.language=1
Bank of Italy Working Papers by Pier Luigi Conti, Daniela Marella and Andrea NeriStatistical matching and uncertainty analysis in combining household income and expenditure data2015-07-15T12:37:00ZThe availability of microdata on both income and expenditure is highly recommended if one wants to assess the distributional consequences of policy changes. In Italy, the main sources used for estimating household income and expenditure are the Bank of Italy's Survey on Household Income and Wealth and the Italian National Institute of Statistics Household Budget Survey.
However, there is no single data source containing information on both expenditure and income. The problem is generally overcome with statistical matching procedures based on the conditional independence (CIA) assumption.
The aim of this paper is to present a method to combine information coming from different databases relaxing the CIA assumption. In particular we propose a method to combine household income and expenditure data under logical constraints regarding the average propensity to consume. We also propose an estimate of a plausible joint distribution function for household income and expenditure.Statistical matching and uncertainty analysis in combining household income and expenditure dataAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2015/2015-1018/index.html?com.dotmarketing.htmlpage.language=1Full texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2015/2015-1018/en_tema_1018.pdf?language_id=1Pier Luigi ContiDaniela MarellaAndrea NeriPier Luigi Conti, Daniela Marella and Andrea Neri2015-07-15Bank of Italy Working PapersC14C15Covariate-augmented unit root tests with mixed-frequency data
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP201507.pdf
Bank of Portugal Working papers by Cláudia DuarteCovariate-augmented unit root tests with mixed-frequency data2015-06-17T06:17:59ZUnit root tests typically su er from low power in small samples, which results in not rejecting the null hypothesis as often as they should. This paper tries to tackle this issue by assessing whether it is possible to improve the power performance of covariate-augmented unit root tests, namely the ADF family of tests, by exploiting mixed-frequency data. We use the mixed data sampling (MIDAS) approach to deal with mixed-frequency data. The results from a Monte Carlo exercise indicate that mixed-frequency tests have better power performance than low-frequency tests. The gains from exploiting mixed-frequency data are greater for near-integrated variables. An empirical illustration using the US unemployment rate is presented.Covariate-augmented unit root tests with mixed-frequency dataAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=869Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP201507.pdfCláudia DuarteCláudia Duarte2015-06Bank of Portugal Working papersC12C15C22Centrality-Based Capital Allocations
http://www.ijcb.org/journal/ijcb15q3a8.pdf
IJCB International Journal of Central Banking by Adrian Alter, Ben R. Craig and Peter RaupachCentrality-Based Capital Allocations2015-06-01T12:33:00ZWe look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. Keeping total capital in the system constant, the reallocation rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German credit register for estimation, we find that capital rules based on eigenvectors dominate any other centrality measure, saving about 15 percent in expected bankruptcy costs.Centrality-Based Capital AllocationsAbstracthttp://www.ijcb.org/journal/ijcb15q3a8.htmFull texthttp://www.ijcb.org/journal/ijcb15q3a8.pdfAdrian AlterBen CraigPeter RaupachAdrian Alter, Ben R. Craig and Peter Raupach2015-09IJCB International Journal of Central BankingC15C81G21G28Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1793.en.pdf
European Central Bank Working papers by Rudolf Alvise Lennkh, Florian WalchCollateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral2015-05-22T12:37:00ZTransaction cost shocks in financial markets are known to affect asset prices. This paper analyses how changes in transaction costs may affect the value of assets that banks use to collateralise borrowings in monetary policy operations. Based on a simple asset pricing model and employing a dataset of hypothetical Eurosystem collateral positions, we simulate and quantify the resulting change in collateral value pledged by counterparties to the Eurosystem, resulting from a transaction cost shock. A 10 basis point increase in transaction costs entails a direct -0.30% decrease of collateral value and a -0.07% decrease when adjusted for the expected reduction in the number of trades of each asset. We conclude that banks will on average suffer small collateral losses while selected institutions could face a considerably larger collateral decrease.Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateralECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1793.en.pdfFlorian WalchRudolf Alvise LennkhRudolf Alvise Lennkh, Florian Walch2015-05-22European Central Bank Working papersC15E59G12Bayesian Estimation of Time-Changed Default Intensity Models
http://www.federalreserve.gov/econresdata/feds/2015/files/2015002pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Michael B. Gordy and Pawel J. SzerszenBayesian Estimation of Time-Changed Default Intensity Models2015-04-13T12:33:59ZGordy and Pawel J. Szerszen. We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on firm-level time-series of CDS spreads, and find strong in-sample evidence of stochastic volatility in this market. Relative to the widely-used CIR model for the default intensity, we find that stochastic time-change offers modest benefit in fitting the cross-section of CDS spreads at each point in time, but very large improvements in fitting the time-series, i.e., in bringing agreement between the moments of the default intensity and the model-implied moments. Finally, we obtain model-implied out-of-sample density forecasts via auxiliary particle filter, and find that the time-changed model strongly outperforms the baseline CIR model.Bayesian Estimation of Time-Changed Default Intensity ModelsAbstracthttp://www.federalreserve.gov/econresdata/feds/2015/index.htm#2015002Full texthttp://www.federalreserve.gov/econresdata/feds/2015/files/2015002pap.pdfPawel J. SzerszenMichael B. GordyMichael B. Gordy and Pawel J. Szerszen2015-02-02Board of Governors of the Federal Reserve System FEDS seriesC11C15C58G12G17Stress Testing the Australian Household Sector Using the HILDA Survey
http://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-01.pdf
Reserve Bank of Australia Research Discussion Papers by Tom BilstonStress Testing the Australian Household Sector Using the HILDA Survey2015-03-09T06:17:00ZIn Australia, the banking sector's substantial exposure to the household sector gives reason to continuously assess the financial resilience of households. In this paper, we further explore the simulation-based household stress-testing model presented in Bilston and Rodgers (2013). This model uses data from the Household, Income and Labour Dynamics in Australia (HILDA) Survey to quantify the household sector's financial resilience to macroeconomic shocks. The model suggests that through the 2000s the household sector remained resilient to scenarios involving asset price, interest rate and unemployment rate shocks, and the associated increases in household loan losses under these scenarios were limited. Indeed, the results suggest that, despite rising levels of household indebtedness in aggregate, the distribution of household debt has remained concentrated among households that are well placed to service it. In turn, this suggests that aggregate measures of household indebtedness may be misleading indicators of the household sector's financial fragility. The results also highlight the potential for expansionary monetary policy to offset the effects of increases in unemployment and decreases in asset prices on household loan losses.Stress Testing the Australian Household Sector Using the HILDA SurveyFull texthttp://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-01.pdfTom BilstonTom Bilston2015-03Reserve Bank of Australia Research Discussion PapersC15D31Centrality-based capital allocations
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_02_02_dkp_03.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Adrian Alter, Ben R. Craig, Peter RaupachCentrality-based capital allocations2015-03-01T12:30:00ZCentrality-based capital allocationsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2015/2015_02_02_dkp_03.pdf?__blob=publicationFilePeter RaupachAdrian AlterBen CraigAdrian Alter, Ben R. Craig, Peter Raupach2015-03-01Deutsche Bundesbank Discussion PapersC15C81G21G28Self-Employment and Health Care Reform: Evidence from Massachusetts
http://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-16.pdf
Kansas City Fed Working Papers by Thealexa Becker and Didem TüzemenSelf-Employment and Health Care Reform: Evidence from Massachusetts2014-11-27T06:17:59ZWe study the effect of the Massachusetts health care reform on the uninsured rate and the self-employment rate in the state. The reform required all individuals to obtain health insurance, required most employers to offer health insurance to their employees,
formed a private marketplace that offered subsidized health insurance options and expanded public insurance. We examine data from the Current Population Survey (CPS) for 1994-2012 and its Annual Social and Economic (ASEC) Supplement for 1996-2013.
We show that the reform led to a dramatic reduction in the state's uninsured rate due to increased enrollment in both public and private health insurance. Estimation results from difference-in-differences models and the synthetic control method indicate that
the aggregate self-employment rate was higher in the state after the implementation of the reform. We conclude that easier access to health insurance encouraged self-employment in Massachusetts. There are many similarities between the Massachusetts
health care reform and the national health care reform, the Patient Protection and Affordable Care Act (PPACA). Based on Massachusetts' experience, the PPACA will lower the national uninsured rate and may lead to a higher self-employment rate in the nation.Self-Employment and Health Care Reform: Evidence from MassachusettsFull texthttp://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-16.pdfDidem TüzemenThealexa BeckerThealexa Becker and Didem Tüzemen2014-11Kansas City Fed Working PapersC10C15E24I13I18I38L26Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
http://www.clevelandfed.org/research/workpaper/2014/wp1427.pdf
Cleveland Fed Working papers by Mark J Bognanni and Edward HerbstEstimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach2014-11-11T06:21:59ZVector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have caused MS-VARs to see only sparse usage. For our first contribution, we document the effectiveness of Sequential Monte Carlo (SMC) algorithms at estimating MSVAR posteriors. Relative to multi-step, model-specific MCMC routines, SMC has the advantages of being simpler to implement, readily parallelizable, and unconstrained by reliance on convenient relationships between prior and likelihood. For our second contribution, we exploit SMC?s flexibility to demonstrate that the use of priors with superior data fit alters inference about the presence of time variation in macroeconomic dynamics. Using the same data as Sims, Waggoner, and Zha (2008), we provide evidence of recurrent episodes characterized by a flat Phillips Curve.Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo ApproachFull texthttp://www.clevelandfed.org/research/workpaper/2014/wp1427.pdfEdward HerbstMark J BognanniMark J Bognanni and Edward Herbst2014-11Cleveland Fed Working papersC11C15C32C52E3E4E5Carry Trade Activities: A Multivariate Threshold Model Analysis
http://www.snb.ch/n/mmr/reference/working_paper_2014_06/source/working_paper_2014_06.n.pdf
Swiss National Bank Working Papers by Matthias GublerCarry Trade Activities: A Multivariate Threshold Model Analysis2014-11-04T12:31:59ZIn this empirical study, we analyze the relationship between carry trade positions and some key financial as well as macroeconomic variables using a multivariate threshold model. It is often stated that the Swiss franc serves as a funding currency. We therefore focus on carry trades based on the USD/CHF and EUR/CHF currency pairs over the period from 1995 to mid-2008. We conclude that carry trades are driven to a large extent by changes in investors' risk sentiment, movements in stock market prices and exchange rate fluctuations. The adjustments of carry trade positions to unexpected movements in these variables vary between periods of high and low interest-rate differentials (IRD). While a positive shock to the IRD is followed by a rise in carry trade positions during a period of low IRD, it will trigger a decline in these positions during a period of high IRD. These results suggest that the shock to the IRD itself is not enough to compensate investors for the increased foreign exchange risk. Moreover, a positive stock market price shock is associated with a rise in carry trade positions, since investors may use stock portfolios as collateral for liquidity. A sudden unwinding of carry trades leads to significant Swiss franc appreciation. Furthermore, carry trade activities 'Granger-cause' the nominal exchange rate in periods of low IRD. The Granger causality test results further indicate feedback trading.Carry Trade Activities: A Multivariate Threshold Model AnalysisFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2014_06/source/working_paper_2014_06.n.pdfMatthias GublerMatthias Gubler2014-11-04Swiss National Bank Working PapersC15C32E44Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdf
European Central Bank Working papers by Tomá Konený and Oxana Babecká KucharukováCredit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic2014-09-10T12:33:00ZVarious approaches have been employed to explore the possibility of non-linear feedback between the real and financial sector. The present study focuses on the impact of real shocks on selected financial sector indicators, and the responses of the real economy to impulses emanating from the financial sector. We estimate the threshold Bayesian VAR with block restrictions and the credit spread as a threshold variable using the example of the Czech Republic. We find that while there is no evidence of asymmetric effects across positive and negative shocks, the responses of the financial sector to real shocks tend to differ in low and high credit spread regimes. Responses in the opposite direction (i.e. from the financial sector to the real economy) are procyclical and similar irrespective of regime. A positive shock to credit and a negative shock to the NPL increase industrial production over the entire time horizon. The direct impact of foreign factors on lending seems to be rather limited.Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech RepublicECBAbstracthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdfFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdfOxana Babecká KucharukováTomáš KonečnýTomá Konený and Oxana Babecká Kucharuková2014-09-10European Central Bank Working papersC15C32E51