Central Bank Research Hub - JEL classification C4: Econometric and Statistical Methods: Special Topics

Title Author(s)

Measuring the Natural Rate of Interest: International Trends and Determinants

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016073, 07.09.2016)

JEL: C32, C43, E52, O40

Multi-layered interbank model for assessing systemic risk

European Central Bank Working papers [View] (Paper: 1944, 25.08.2016)

JEL: C45, C63, D85, G21

Analysis of the balance between U.S. monetary and fiscal policy using simulated wavelet-based optimal tracking control

Bank of Finland Discussion Papers [View] (Paper: 21/2016, 04.08.2016)

JEL: C49, C61, C63, C88, E58, E61

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-065, 05.07.2016)

JEL: C46, G11

Does one size fit all at all times? The role of country specificities and state dependencies in predicting banking crises.

National Bank of Belgium Working Papers [View] (Paper: 0297, 23.05.2016)

JEL: C40, E44, E47, E61, G21

Time-frequency characterization of the U.S. financial cycle

Bank of Finland Discussion Papers [View] (Paper: 14/2016, 23.05.2016)

JEL: C49, E32, E44

Toward robust early-warning models: a horse race, ensembles and model uncertainty

European Central Bank Working papers [View] (Paper: 1900, 02.05.2016)

JEL: C43, E44, F30, G01, G15

Credit risk spillover between financials and sovereigns in the euro area during 2007-2015

European Central Bank Working papers [View] (Paper: 1898, 27.04.2016)

JEL: C45, E44, E65, G01, G13, G28, H81

Measuring market liquidity in US fixed income markets: a new synthetic indicator

Bank of Spain Working Papers [View] (Paper: 1608, 20.04.2016)

JEL: C43, G10, G15

Distributional Policy Effects with Many Treatment Outcomes

Bank of Mexico Working Papers [View] (Paper: 2016-01, 30.01.2016)

JEL: C24, C4, G01, G23, G28

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