Central bank research hub - Papers by Sylvia Kaufmann
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Research hub papers by author Sylvia KaufmannenChanging dynamics at the zero lower bound
http://www.snb.ch/n/mmr/reference/working_paper_2016_16/source/working_paper_2016_16.n.pdf
Swiss National Bank Working Papers by Gregor Bäurle, Daniel Kaufmann, Sylvia Kaufmann and Rodney W. StrachanChanging dynamics at the zero lower bound2016-11-30T12:37:00ZThe interaction of macroeconomic variables may change as the nominal short-term interest rates approach zero. In this paper, we propose an empirical model that captures these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by a latent state indicator. This state indicator follows a distribution with time-varying probabilities affected by the lagged interest rate. As the interest rate enters the critical zero lower bound (ZLB) region, the dynamics between the variables and the effect of shocks change. We estimate the model with Bayesian methods and explicitly consider that the interest rate may be constrained in the ZLB region. We provide an estimate of the latent rate, i.e., a lower interest rate than the observed level, which is state- and model-consistent. The endogenous specification of the state indicator permits dynamic forecasts of the state and system variables. In the application of the model to the Swiss data, we evaluate state-dependent impulse responses to a risk premium shock that is identified with sign restrictions. Additionally, we discuss scenario-based forecasts and evaluate the probability of the system exiting the ZLB region that is only based on the inherent dynamics.Changing dynamics at the zero lower boundAbstracthttp://www.snb.ch/en/mmr/papers/id/working_paper_2016_16Full texthttp://www.snb.ch/n/mmr/reference/working_paper_2016_16/source/working_paper_2016_16.n.pdfRodney W. StrachanGregor BäurleSylvia KaufmannDaniel KaufmannGregor Bäurle, Daniel Kaufmann, Sylvia Kaufmann and Rodney W. Strachan2016-11-30Swiss National Bank SNB Working PapersC3E3Finding relevant variables in sparse Bayesian factor models: economic applications and simulation results
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_11_23_dkp_29.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by economic applications and simulation results 29/2012: Sylvia Kaufmann, Christian SchumacherFinding relevant variables in sparse Bayesian factor models: economic applications and simulation results2012-11-23T12:35:00ZFinding relevant variables in sparse Bayesian factor models: economic applications and simulation resultsFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_11_23_dkp_29.pdf?__blob=publicationFileSylvia KaufmannChristian SchumacherSylvia Kaufmann, Christian Schumacher2012-11-23Deutsche Bundesbank Discussion PapersThe role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
http://www.ecb.int/pub/pdf/scpwps/ecbwp816.pdf
European Central Bank Working papers by Sylvia Kaufmann and Maria Teresa ValderramaThe role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US2007-10-01T12:35:59ZThe role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the USECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp816.pdfMaria Teresa ValderramaSylvia KaufmannSylvia Kaufmann and Maria Teresa Valderrama2007-09European Central Bank Working PapersC11C32E32E44