Central bank research hub - Papers by Pierre Guérin
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Research hub papers by author Pierre GuérinenWhat Drives Interbank Loans? Evidence from Canada
http://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-5.pdf
Bank of Canada Working papers by Narayan Bulusu and Pierre GuérinWhat Drives Interbank Loans? Evidence from Canada2018-01-01T00:00:05ZWe identify the drivers of unsecured and collateralized loan volumes, rates and haircutsin Canada using the Bayesian model averaging approach to deal with model uncertainty.Our results suggest that the key friction driving behaviour in this market is the collateralreallocation cost faced by borrowers. Borrowers therefore adjust unsecured lending inresponse to changes in short-term cash needs, and use repos to finance persistent liquiditydemand. We also find that lenders set rates and haircuts taking into account counterpartycredit risk and collateral market price volatility.What Drives Interbank Loans? Evidence from CanadaFull texthttp://www.bankofcanada.ca/wp-content/uploads/2018/01/swp2018-5.pdfNarayan BulusuPierre GuérinNarayan Bulusu and Pierre Guérin2018-01Bank of Canada Working PapersC55E43G23Markov-switching three-pass regression filter
https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1748e.pdf
Bank of Spain Working Papers by Pierre Guérin, Danilo Leiva-Leon and Massimiliano MarcellinoMarkov-switching three-pass regression filter2017-12-28T00:00:00ZWe introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression fi lter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass regression fi lter (MS-3PRF), is suitable for data setswith large cross-sectional dimensions, since estimation and inference are straightforward, as opposed to existing regime-switching factor models where computational complexitylimits applicability to few variables. In a Monte Carlo experiment, we study the finite sample properties of the MS-3PRF and fi nd that it performs favourably compared with alternative modelling approaches whenever there is structural instability in factor loadings. For empirical applications, we consider forecasting economic activity and bilateral exchange rates, finding that the MS-3PRF approach is competitive in both cases.Markov-switching three-pass regression filterFull texthttps://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1748e.pdfPierre GuérinDanilo Leiva-LeonMassimiliano MarcellinoPierre Guérin, Danilo Leiva-Leon and Massimiliano Marcellino2017-12Bank of Spain Working PapersC22C23C53Monetary policy, stock market and sectoral comovement
http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1731e.pdf
Bank of Spain Working Papers by Pierre Guérin and Danilo Leiva-LeonMonetary policy, stock market and sectoral comovement2017-08-18T17:36:59Zclass="dv_oculto2" id="resumen080872ad615fd510VgnVCM10000064de14acRCRD">Monetary policy, stock market and sectoral comovementFull texthttp://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1731e.pdfPierre GuérinDanilo Leiva-LeonPierre Guérin and Danilo Leiva-Leon2017-08Bank of Spain Working PapersC32E44G12Model averaging in Markov-Switching models: predicting national recessions with regional data
http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1727e.pdf
Bank of Spain Working Papers by Pierre Guérin and Danilo Leiva-LeonModel averaging in Markov-Switching models: predicting national recessions with regional data2017-07-28T12:37:59ZModel averaging in Markov-Switching models: predicting national recessions with regional dataFull texthttp://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/17/Fich/dt1727e.pdfPierre GuérinDanilo Leiva-LeonPierre Guérin and Danilo Leiva-Leon2017-07Bank of Spain Working PapersC53E32E37Markov-Switching Three-Pass Regression Filter
http://www.bankofcanada.ca/wp-content/uploads/2017/04/swp2017-13.pdf
Bank of Canada Working papers by Pierre Guérin Danilo Leiva-Leon and Massimiliano MarcellinoMarkov-Switching Three-Pass Regression Filter2017-04-21T17:38:00ZWe introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.Markov-Switching Three-Pass Regression FilterAbstracthttp://www.bankofcanada.ca/2017/04/staff-working-paper-2017-13/Full texthttp://www.bankofcanada.ca/wp-content/uploads/2017/04/swp2017-13.pdfPierre GuérinDanilo Leiva-LeonMassimiliano MarcellinoPierre Guérin Danilo Leiva-Leon and Massimiliano Marcellino2017-04-20Bank of Canada Working PapersC22C23C53What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks
http://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-25.pdf
Bank of Canada Working papers by Laurent Ferrara and Pierre GuérinWhat Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks2016-05-26T06:23:59ZThis paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.What Are the Macroeconomic Effects of High-Frequency Uncertainty ShocksAbstracthttp://www.bankofcanada.ca/2016/05/staff-working-paper-2016-25/Full texthttp://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-25.pdfLaurent FerraraPierre GuérinLaurent Ferrara and Pierre Guérin2016-05-26Bank of Canada Working PapersC32E32E44Using low frequency information for predicting high frequency variables
http://static.norges-bank.no/pages/103966/Working_Paper_13_15.pdf
Central Bank of Norway (Norges Bank) Working Papers by Claudia Foroni, Pierre Guérin and Massimiliano MarcellinoUsing low frequency information for predicting high frequency variables2015-10-29T17:32:59ZWe analyze how to incorporate low frequency information in models for predicting high frequency variables. In doing so, we introduce a new model, the reverse unrestricted MIDAS (RU-MIDAS), which has a periodic structure but can be estimated by simple least squares methods and used to produce forecasts of high frequency variables that also incorporate low frequency information. We compare this model with two versions of the mixed frequency VAR, which so far had been only applied to study the reverse problem, that is, using the high frequency information for predicting low frequency variables. We then implement a simulation study to evaluate the relative forecasting ability of the alternative models in finite samples. Finally, we conduct several empirical applications to assess the relevance of quarterly survey data for forecasting a set of monthly macroeconomic indicators. Overall, it turns out that low frequency information is important, particularly so when it is just released.Using low frequency information for predicting high frequency variablesAbstracthttp://www.norges-bank.no/en/Published/Papers/Working-Papers/2015/132015/Full texthttp://static.norges-bank.no/pages/103966/Working_Paper_13_15.pdfClaudia ForoniMassimiliano MarcellinoPierre GuérinClaudia Foroni, Pierre Guérin and Massimiliano Marcellino2015-10-29Central Bank of Norway Working PapersC53E37Characterizing very high uncertainty episodes
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1637.pdf
European Central Bank Working papers by Martin Bijsterbosch, Pierre GuérinCharacterizing very high uncertainty episodes2014-02-19T12:33:00ZThis paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify episodes of very high uncertainty using a regime-switching model. Second, we assess the behaviour of macroeconomic and financial variables during these episodes of very high uncertainty. This methodology is analogous to the approach followed by Baele et al. (2013), who study episodes of flights to safety in financial markets. We find that very high uncertainty episodes are associated with a weaker growth performance and sharp declines in stock prices. However, we find that this relation is non-linear in that uncertainty does not seem to matter during periods characterized by medium or low uncertainty.Characterizing very high uncertainty episodesECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1637.pdfMartin BijsterboschPierre GuérinMartin Bijsterbosch, Pierre Guérin2014-02-19European Central Bank Working PapersTrend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1384.pdf
European Central Bank Working papers by Pierre Guérin, Laurent Maurin, Matthias MohrTrend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination,2011-10-05T06:21:59ZThe paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of trend-cycle decomposition of euro area GDP, both univariate and multivariate, some of them allowing for changes in the slope of trend GDP and/or its error variance using Markov-switching specifications, or including a Phillips curve. We then pool the estimates using three weighting schemes. We compute both ex-post and real-time estimates to check the stability of the estimates to GDP revisions. We finally run a forecasting experiment to evaluate the predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the recessions. We also find support for model averaging techniques in order to improve the reliability of the potential output estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail dramatically over the last recession.Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination,ECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1384.pdfLaurent MaurinPierre GuérinMatthias MohrPierre Guérin, Laurent Maurin, Matthias Mohr2011-10-04European Central Bank Working Papers