Central bank research hub - JEL classification C0: Mathematical and Quantitative Methods
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Latest research hub papers with the JEL classification:C0enA new approach to Early Warning Systems for small European banks
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2348~351ba1be4c.en.pdf
European Central Bank Working Papers by Michael Bräuning, Despo Malikkidou, Giorgio Scricco and Stefano ScaloneA new approach to Early Warning Systems for small European banks2019-12-01T00:00:48ZThis paper describes a machine learning technique to timely identify cases of individual bank financial distress. Our work represents the first attempt in the literature to develop an early warning system specifically for small European banks. We employ a machine learning technique, and build a decision tree model using a dataset of official supervisory reporting, complemented with qualitative banking sector and macroeconomic variables. We propose a new and wider definition of financial distress, in order to capture bank distress cases at an earlier stage with respect to the existing literature on bank failures; by doing so, given the rarity of bank defaults in Europe we significantly increase the number of events on which to estimate the model, thus increasing the model precision; in this way we identify bank crises at an earlier stage with respect to the usual default definition, therefore leaving a time window for supervisory intervention. The Quinlan C5.0 algorithm we use to estimate the model also allows us to adopt a conservative approach to misclassification: as we deal with bank distress cases, we consider missing a distress event twice as costly as raising a false flag. Our final model comprises 12 variables in 19 nodes, and outperforms a logit model estimation, which we use to benchmark our analysis; validation and back testing also suggest that the good performance of our model is relatively stable and robust.A new approach to Early Warning Systems for small European banksECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2348~351ba1be4c.en.pdfMichael BräuningDespo MalikkidouGiorgio ScriccoStefano ScaloneMichael Bräuning, Despo Malikkidou, Giorgio Scricco and Stefano Scalone2019-12European Central Bank Working PapersC01C50E58Tail Index Estimation: Quantile-Driven Threshold Selection
https://www.bankofcanada.ca/wp-content/uploads/2019/08/swp2019-28.pdf
Bank of Canada Working Papers by Jon Danielsson, Lerby Ergun, Laurens de Haan and Casper G. de VriesTail Index Estimation: Quantile-Driven Threshold Selection2019-08-01T00:00:28ZThe selection of upper order statistics in tail estimation is notoriously difficult. Methods that are based on asymptotic arguments, like minimizing the asymptotic MSE, do not perform well in finite samples. Here, we advance a data-driven method that minimizes the maximum distance between the fitted Pareto type tail and the observed quantile. To analyze the finite sample properties of the metric, we perform rigorous simulation studies. In most cases, the finite sample-based methods perform best. To demonstrate the economic relevance of choosing the proper methodology, we use daily equity return data from the CRSP database and find economically relevant variation between the tail index estimates.Tail Index Estimation: Quantile-Driven Threshold SelectionFull texthttps://www.bankofcanada.ca/wp-content/uploads/2019/08/swp2019-28.pdfLaurens de HaanLerby ErgunCasper G. de VriesJon DanielssonJon Danielsson, Lerby Ergun, Laurens de Haan and Casper G. de Vries2019-08Bank of Canada Working PapersC01C14C58Bayesian Inference for Markov-switching Skewed Autoregressive Models
https://publications.banque-france.fr/sites/default/files/medias/documents/wp726.pdf
Bank of France Working Papers by Stéphane LhuissierBayesian Inference for Markov-switching Skewed Autoregressive Models2019-01-01T00:07:26ZWe examine Markov-switching autoregressive models where the commonly used Gaussian assumption for disturbances is replaced with a skew-normal distribution. This allows us to detect regime changes not only in the mean and the variance of a specified time series, but also in its skewness. A Bayesian framework is developed based on Markov chain Monte Carlo sampling. Our informative prior distributions lead to closed-form full conditional posterior distributions, whose sampling can be efficiently conducted within a Gibbs sampling scheme. The usefulness of the methodology is illustrated with a real-data example from U.S. stock markets.Bayesian Inference for Markov-switching Skewed Autoregressive ModelsFull texthttps://publications.banque-france.fr/sites/default/files/medias/documents/wp726.pdfStéphane LhuissierStéphane Lhuissier2019Bank of France Working PapersC01C11C2G11The Transmission of an Interest Rate Shock, Standard Mitigants and Household Behavior
https://www.dnb.nl/en/binaries/Working%20Paper%20No.%20615_tcm47-380649.pdf
Netherlands Bank DNB Working Papers by Mauro MastrogiacomoThe Transmission of an Interest Rate Shock, Standard Mitigants and Household Behavior2018-12-01T01:00:15ZWe analyze the transmission of an interest rate shock to households in the context of a stress-test module. We examin standard mitigants, such as delays due to a future interest-rate-reset-date, tax deduction of the interest paid on mortgages, the amortization of different mortgage types and conjunctural factors. We also include the possibility of behavioral responses, where households can alleviate the effect of a shock by reducing debt using voluntary repayments. We estimate a Cragg log-normal hurdle model on loan-level data for the Dutch mortgage market. We simulate debt 30 years into the future under different scenarios for the development of the interest rate and simulating both contractual and voluntary amortization. This study finds a significant dampening role of voluntary repayments on the effects of an interest rate shock.The Transmission of an Interest Rate Shock, Standard Mitigants and Household BehaviorFull texthttps://www.dnb.nl/en/binaries/Working%20Paper%20No.%20615_tcm47-380649.pdfMauro MastrogiacomoMauro Mastrogiacomo2018-12Netherlands Bank DNB Working PapersC01C23D14E44G21Inflation Dynamics under Fiscal Deficit Regime Switching in Mexico
http://www.banxico.org.mx/publications-and-press/banco-de-mexico-working-papers/%7B76B320EC-AE79-2072-8CA6-6CAB169222BE%7D.pdf
Bank of Mexico Working Papers by Manuel Ramos-Francia, Santiago García-Verdú and Manuel Sánchez-MartínezInflation Dynamics under Fiscal Deficit Regime Switching in Mexico2018-11-01T00:00:21ZWe explore the dynamics of inflation, inflation expectations, and seigniorage-financed fiscal deficits in Mexico. To do so, we estimate the model in Sargent, Williams, and Zha (2009) using Mexican CPI inflation data. This model features dual expected inflation equilibriums and regime switching in the mean and variance of the fiscal deficit probability density function. We examine the dynamics of inflation and mean fiscal deficit regimes. In addition, we comment on the extent to which our results match to key economic events. Mexico has successfully stabilized inflation expectations for the past decades, an achievement for which fiscal policy has been fundamental. Nevertheless, this does not preclude the possibility of an increase in the expected price level or a switch to a regime in which inflation and its expectations become unstable.Inflation Dynamics under Fiscal Deficit Regime Switching in MexicoFull texthttp://www.banxico.org.mx/publications-and-press/banco-de-mexico-working-papers/%7B76B320EC-AE79-2072-8CA6-6CAB169222BE%7D.pdfSantiago García-VerdúManuel Ramos-FranciaManuel Sánchez-MartínezManuel Ramos-Francia, Santiago García-Verdú and Manuel Sánchez-Martínez2018-11Bank of Mexico Working PapersC01D84E31E52E62H62Challenges in Implementing Worst-Case Analysis
https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-47.pdf
Bank of Canada Working Papers by Jon Danielsson, Lerby Ergun and Casper G. de VriesChallenges in Implementing Worst-Case Analysis2018-08-31T23:00:47ZWorst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach. We find that if the return distribution has a heavy tail, the non-parametric worst-case analysis, i.e. the minimum of the sample, is always downwards biased and hence is overly conservative. Relying on semi-parametric EVT reduces the bias considerably in the case of relatively heavy tails. But for the less-heavy tails this relationship is reversed. Estimates for a large sample of US stock returns indicate that this pattern in the bias is indeed present in financial data. With respect to risk management, this induces an overly conservative capital allocation if the worst case is estimated incorrectly.Challenges in Implementing Worst-Case AnalysisFull texthttps://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-47.pdfLerby ErgunCasper G. de VriesJon DanielssonJon Danielsson, Lerby Ergun and Casper G. de Vries2018-09Bank of Canada Working PapersC01C14C58Analyzing credit risk transmission to the non-financial sector in Europe: a network approach
https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp78.en.pdf
European Systemic Risk Board Working papers by Christian Gross and Pierre SiklosAnalyzing credit risk transmission to the non-financial sector in Europe: a network approach2018-07-01T00:07:08ZUsing variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions are located in the center and non-financial as well as sovereign CDS are grouped around the financial center. The network has a geographical component reflected in differences in the magnitude and direction of real-sector risk transmission across European countries. While risk transmission to the non-financial sector increases during crisis events, risk transmission within the non-financial sector remains largely unchanged.Analyzing credit risk transmission to the non-financial sector in Europe: a network approachESRBFull texthttps://www.esrb.europa.eu//pub/pdf/wp/esrb.wp78.en.pdfPierre L. SiklosChristian GrossChristian Gross and Pierre Siklos2018-07European Systemic Risk Board Working PapersC01C32G01G15Texas Service Sector Outlook Survey: Survey Methodology and Performance
https://www.dallasfed.org/-/media/documents/research/papers/2018/wp1807.pdf
Dallas Fed Working Papers by Jesus Canas and Amy JordanTexas Service Sector Outlook Survey: Survey Methodology and Performance2018-06-30T23:00:07ZThe Texas Service Sector Outlook Survey (TSSOS) and Texas Retail Outlook Survey (TROS) are monthly surveys of service sector and retail firms in Texas conducted by the Federal Reserve Bank of Dallas. TSSOS and TROS track the Texas private services sector, including general service businesses, retailers and wholesalers. The surveys provide invaluable information on regional economic conditions-information that Dallas Fed economists and the Bank president use in the formulation of monetary policy. This paper describes the survey's methodology and analyzes the explanatory and predictive power of TSSOS and TROS indexes with regard to Texas employment growth. Regression analysis shows that several TSSOS and TROS indexes help explain monthly variation in Texas employment. In addition, most TSSOS and TROS indexes are also useful in forecasting Texas employment growth.Texas Service Sector Outlook Survey: Survey Methodology and PerformanceFull texthttps://www.dallasfed.org/-/media/documents/research/papers/2018/wp1807.pdfJesus CanasAmy JordanJesus Canas and Amy Jordan2018-07-01Federal Reserve Bank of Dallas Working PapersB23C00C83A cost-benefit analysis of capital requirements for the Danish economy
http://www.nationalbanken.dk/en/publications/Pages/2017/12/Working-Paper-A-cost-benefit-analysis-of-capital-requirements-for-the-Danish-economy.aspx
National Bank of Denmark (Danmarks Nationalbank) Working papers by Jakob Guldbæk Mikkelsen; Jesper PedersenA cost-benefit analysis of capital requirements for the Danish economy2017-12-15T12:37:00ZWe analyze the costs and benefits of increasing capital requirements for Danish banks. Costs are low if banks suspend dividend payments for two years and if investors' required return falls as banks accumulate new capital. An increase of required capital ratio from its current level reduces the probability of financial crises and the long-lasting output costs associated with these. Based on Danish data and using models for the Danish economy, we thus confirm findings in studies for other economies: The benefits outweigh the social costs of increasing capital ratios.A cost-benefit analysis of capital requirements for the Danish economyAbstracthttp://www.nationalbanken.dk/en/publications/Pages/2017/12/Working-Paper-A-cost-benefit-analysis-of-capital-requirements-for-the-Danish-economy.aspxFull texthttp://www.nationalbanken.dk/en/publications/Documents/2017/12/Working%20Paper%20no.%20123.pdfJakob Guldbæk MikkelsenJesper PedersenJakob Guldbæk Mikkelsen; Jesper Pedersen2017-12-15Danmarks Nationalbank Working PapersC01C10C18C58E32E37E44A quantitative analysis of risk premia in the corporate bond market
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/en_tema_1141.pdf
Bank of Italy Working Papers by Sara CecchettiA quantitative analysis of risk premia in the corporate bond market2017-09-30T23:14:01ZWe propose an econometric model to decompose corporate bond spreads into compensation required by investors for unpredictable future changes in the credit environment and for expected default losses. We use the model to understand whether the significant reduction in corporate bond spreads observed since the launch of the CSPP (Corporate Sector Purchase Programme) is attributable more to the fact that expansionary monetary policy measures tend to increase the risk appetite of investors and compress risk premia, or to the ability of unconventional measures to reduce expected default losses by improving investors' expectations about the economic and financial conditions of issuers.A quantitative analysis of risk premia in the corporate bond marketAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/index.htmlFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1141/en_tema_1141.pdfSara CecchettiSara Cecchetti2017-10Bank of Italy Working PapersB26C02F30G12G15Between hawks and doves: measuring central bank communication
http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2085.en.pdf?7722f85cd32898d2fedcf4cfb4487018
European Central Bank Working papers by Ellen Tobback, Stefano Nardelli, David MartensBetween hawks and doves: measuring central bank communication2017-07-04T12:37:59ZBetween hawks and doves: measuring central bank communicationECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2085.en.pdf?7722f85cd32898d2fedcf4cfb4487018Ellen TobbackDavid MartensStefano NardelliEllen Tobback, Stefano Nardelli, David Martens2017-07-04European Central Bank Working PapersC02C63E52E58Assessing the risks of asset overvaluation: models and challenges
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/index.html
Bank of Italy Working Papers by Sara Cecchetti and Marco TabogaAssessing the risks of asset overvaluation: models and challenges2017-05-31T23:11:04ZWe propose methods to compute confidence bands for the fundamental values of stocks and corporate bonds. These methods take into account uncertainty about future cash
lows and about the discount factors used to discount the cash flows. We use them to assess the current degree of under-/over-valuation of asset prices. We find no evidence of over-valuation of the stocks and corporate bonds of the major economies.Assessing the risks of asset overvaluation: models and challengesAbstracthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/index.htmlFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1114/en_tema_1114.pdfMarco TabogaSara CecchettiSara Cecchetti and Marco Taboga2017-05-03Bank of Italy Working PapersB26C02The time dimension of the links between loss given default and the macroeconomy
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2037.en.pdf
European Central Bank Working papers by Tomás Konecny, Jakub Seidler, Aelita Belyaeva, Konstantin BelyaevThe time dimension of the links between loss given default and the macroeconomy2017-03-15T12:37:00ZThe time dimension of the links between loss given default and the macroeconomyECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp2037.en.pdfJakub SeidlerKonstantin BelyaevAelita BelyaevaTomás KonecnyTomás Konecny, Jakub Seidler, Aelita Belyaeva, Konstantin Belyaev2017-03-15European Central Bank Working PapersC02G13G33Firm Networks and Asset Returns
https://www.federalreserve.gov/econres/feds/files/2017014r1pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Carlos RamirezFirm Networks and Asset Returns2017-01-01T00:00:14ZThis paper argues that changes in the propagation of idiosyncratic shocks along firm networks are important to understanding variations in asset returns. When calibrated to match key features of supplier-customer networks in the United States, an equilibrium model in which investors have recursive preferences and firms are interlinked via enduring relationships generates long-run consumption risks. Additionally, the model matches cross-sectional patterns of portfolio returns sorted by network centrality, a feature unaccounted for by standard asset pricing models.Firm Networks and Asset ReturnsFull texthttps://www.federalreserve.gov/econres/feds/files/2017014r1pap.pdfCarlos RamirezCarlos Ramirez2017-01Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC02C6D53E32G12L10Non-Stationary Dynamic Factor Models for Large Datasets
http://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Matteo Barigozzi, Marco Lippi, and Matteo LucianiNon-Stationary Dynamic Factor Models for Large Datasets2016-03-04T13:37:00ZWe develop the econometric theory for Non-Stationary Dynamic Factor models for large panels of time series, with a particular focus on building estimators of impulse response functions to unexpected macroeconomic shocks. We derive conditions for consistent estimation of the model as both the cross-sectional size, n, and the time dimension, T, go to infinity, and whether or not cointegration is imposed. We also propose a new estimator for the non-stationary common factors, as well as an information criterion to determine the number of common trends. Finally, the numerical properties of our estimator are explored by means of a MonteCarlo exercise and of a real-data application, in which we study the effects of monetary policy and supply shocks on the US economy.Non-Stationary Dynamic Factor Models for Large DatasetsFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdfMatteo BarigozziMatteo LucianiMarco LippiMatteo Barigozzi, Marco Lippi, and Matteo Luciani2016-03Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC0C01E0Non-Stationary Dynamic Factor Models for Large Datasets
http://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Matteo Barigozzi, Marco Lippi, and Matteo LucianiNon-Stationary Dynamic Factor Models for Large Datasets2016-03-04T13:37:00ZWe develop the econometric theory for Non-Stationary Dynamic Factor models for large panels of time series, with a particular focus on building estimators of impulse response functions to unexpected macroeconomic shocks. We derive conditions for consistent estimation of the model as both the cross-sectional size, n, and the time dimension, T, go to infinity, and whether or not cointegration is imposed. We also propose a new estimator for the non-stationary common factors, as well as an information criterion to determine the number of common trends. Finally, the numerical properties of our estimator are explored by means of a MonteCarlo exercise and of a real-data application, in which we study the effects of monetary policy and supply shocks on the US economy.Non-Stationary Dynamic Factor Models for Large DatasetsFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016024pap.pdfMatteo BarigozziMatteo LucianiMarco LippiMatteo Barigozzi, Marco Lippi, and Matteo Luciani2016-03Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC0C01E0Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
http://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Matteo Barigozzi, Marco Lippi, and Matteo LucianiDynamic Factor Models, Cointegration, and Error Correction Mechanisms2016-02-08T13:37:00ZThe paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F are I(1) and singular, i.e. F has dimension r and is driven by a q-dimensional white noise, the common shocks, with q < r, and (2) the idiosyncratic components are I(1). We show that F is driven by r-c permanent shocks, where c is the cointegration rank of F, and q-(r-c) < c transitory shocks, thus the same result as in the non-singular case for the permanent shocks but not for the transitory shocks. Our main result is obtained by combining the classic Granger Representation Theorem with recent results by Anderson and Deistler on singular stochastic vectors: if (1-L)F is singular and has rational spectral density then, for generic values of the parameters, F has an autoregressive representation with a finite-degree matrix polynomial fulfilling the restrictions of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non-Stat ionary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is also discussed.Dynamic Factor Models, Cointegration, and Error Correction MechanismsFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdfMatteo BarigozziMatteo LucianiMarco LippiMatteo Barigozzi, Marco Lippi, and Matteo Luciani2016-03Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC0C01E0Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
http://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Matteo Barigozzi, Marco Lippi, and Matteo LucianiDynamic Factor Models, Cointegration, and Error Correction Mechanisms2016-02-08T13:37:00ZThe paper studies Non-Stationary Dynamic Factor Models such that: (1) the factors F are I(1) and singular, i.e. F has dimension r and is driven by a q-dimensional white noise, the common shocks, with q < r, and (2) the idiosyncratic components are I(1). We show that F is driven by r-c permanent shocks, where c is the cointegration rank of F, and q-(r-c) < c transitory shocks, thus the same result as in the non-singular case for the permanent shocks but not for the transitory shocks. Our main result is obtained by combining the classic Granger Representation Theorem with recent results by Anderson and Deistler on singular stochastic vectors: if (1-L)F is singular and has rational spectral density then, for generic values of the parameters, F has an autoregressive representation with a finite-degree matrix polynomial fulfilling the restrictions of a Vector Error Correction Mechanism with c error terms. This result is the basis for consistent estimation of Non-Stat ionary Dynamic Factor Models. The relationship between cointegration of the factors and cointegration of the observable variables is also discussed.Dynamic Factor Models, Cointegration, and Error Correction MechanismsFull texthttp://www.federalreserve.gov/econresdata/feds/2016/files/2016018pap.pdfMatteo BarigozziMatteo LucianiMarco LippiMatteo Barigozzi, Marco Lippi, and Matteo Luciani2016-03Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesC0C01E0Do financial reforms help stabilize inequality?
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1780.en.pdf
European Central Bank Working papers by Dimitris Christopoulos, Peter McAdamDo financial reforms help stabilize inequality?2015-04-08T12:31:59ZWe explore the relationship between financial reforms and income inequality using a panel of 29 countries over 1975-2005. We extend panel unit root tests to allow for the presence of some financial-reform covariates and further suggest an associated but novel, semi-parametric approach. Results demonstrate that although both gross and net Gini indices follow a unit root process, this picture can change when financial reform indices are accounted for. In particular, whilst gross Gini coefficients are generally not stabilized by financial reforms, net measures are (more likely to be). Thus financial reforms enacted in the presence of a strong safety net would seem preferable.Do financial reforms help stabilize inequality?ECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1780.en.pdfPeter McAdamDimitris ChristopoulosDimitris Christopoulos, Peter McAdam2015-04European Central Bank Working PapersC01C12D63G15Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective
http://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957
Bank of Italy Working Papers by Michele Leonardo BianchiAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective2014-07-08T12:33:00ZAre the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspectiveAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957Full texthttp://www.bancaditalia.it/pubblicazioni/econo/temidi/td14/td957_14/en_td957/en_tema_957.pdfMichele Leonardo BianchiMichele Leonardo Bianchi4Bank of Italy Working PapersC02C46G23Real Term Structure and Inflation Compensation in the Euro Area
http://www.ijcb.org/journal/ijcb14q1a1.pdf
IJCB International Journal of Central Banking by Marcello PericoliReal Term Structure and Inflation Compensation in the Euro Area2014-02-28T17:34:59ZThis paper estimates the term structure of zero-coupon real interest rates for the euro area implied by French indexlinked bonds with a smoothing spline methodology, which is very effective in capturing the general shape of the real term structure, while smoothing through idiosyncratic variations in the yields. A comparison shows that the chosen spline outperforms other methodologies commonly used in the literature across several dimensions. The paper also estimates a liquidity-adjusted nominal term structure to compute the constant-maturity inflation compensation. This compensation is compared with the surveyed inflation expectation in order to obtain a measure of the inflation risk premium in the euro area during the last decade.Real Term Structure and Inflation Compensation in the Euro AreaAbstracthttp://www.ijcb.org/journal/ijcb14q1a1.htmFull texthttp://www.ijcb.org//www.ijcb.org/journal/ijcb14q1a1.pdfMarcello PericoliMarcello Pericoli2014-03IJCB International Journal of Central BankingC02G1G12Marginal quantiles for stationary processes
http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1228e.pdf
Bank of Spain Working Papers by Yves Dominicy, Siegfried Hörmann, Hiroaki Ogata and David VeredasMarginal quantiles for stationary processes2012-08-14T16:16:00ZWe establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.Marginal quantiles for stationary processesFull texthttp://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/12/Fich/dt1228e.pdfSiegfried HörmannHiroaki OgataDavid VeredasYves DominicyYves Dominicy, Siegfried Hörmann, Hiroaki Ogata and David Veredas2012-08Bank of Spain Working PapersC01Macroeconomic shocks in an oil market VAR
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1432.pdf
European Central Bank Working papers by Marko MelolinnaMacroeconomic shocks in an oil market VAR2012-05-04T17:34:59ZThis paper studies oil market and other macroeconomic shocks in a structural vector autoregression with sign restrictions. It introduces a new indicator for oil demand, and uniquely, performs a sign restriction set-up with a penalty function approach in an oil market vector autoregression. The model also allows for macroeconomic shocks in the US. The results underline the importance of the source of an oil shock for its macroeconomic consequences. Oil supply shocks have been less relevant in driving real oil prices, and had less of an effect on US inflation than demand shocks. Overall, the effects of oil shocks on US real activity have been relatively limited, as also highlighted by a counterfactual experiment of recent oil market developments.Macroeconomic shocks in an oil market VARECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1432.pdfMarko MelolinnaMarko Melolinna2012-05-04European Central Bank Working PapersC01C32E32Sharing a risky cake
http://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdf
Reserve Bank of New Zealand Discussion Papers by David Baqaee and Richard Watt (PDF 213KB)Sharing a risky cake2010-10-01T06:23:00ZConsider an n-person bargaining problem where players bargain over the division of a cake whose size is stochastic. In such a game, the players are not only bargaining over the division of a cake, but they are also sharing risk. This paper presents the Nash bargaining solution to this problem, investigates its properties, and highlights a few special cases.Sharing a risky cakeFull texthttp://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdfRichard WattDavid BaqaeeDavid Baqaee and Richard Watt (PDF 213KB)2010Reserve Bank of New Zealand Discussion PapersC02C71C78Redshirting, Compulsory Schooling Laws, and Educational Attainment
http://www.clevelandfed.org/research/workpaper/2010/wp1012.pdf
Cleveland Fed Working papers by Dionissi AliprantisRedshirting, Compulsory Schooling Laws, and Educational Attainment2010-09-14T06:23:00ZA wide literature uses date of birth as an instrument to study the causal effects of educational attainment. This paper shows how parents delaying their children¿s initial enrollment in kindergarten, a practice known as redshirting, can make estimates obtained through this identification framework all but impossible to interpret. A latent index model is used to illustrate how the monotonicity assumption in this framework is violated if redshirting decisions are made in a setting of essential heterogeneity. Empirical evidence is presented from the ECLS-K data set that favors this scenario; redshirting is common and heterogeneity in the treatment effect of educational attainment is likely a factor in parents¿ redshirting decisions.Redshirting, Compulsory Schooling Laws, and Educational AttainmentFull texthttp://www.clevelandfed.org/research/workpaper/2010/wp1012.pdfDionissi AliprantisDionissi Aliprantis2010-09Federal Reserve Bank of Cleveland Working PapersC01C21I21J01