Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Katrin Assenmacher-Wesche"'
Publikováno v:
SSRN Electronic Journal.
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have
Publikováno v:
Applied Economics. 42:2909-2920
One criticism of Vector Autoregression (VAR) forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. A large amount of literature therefore focuses on nonlinear foreca
Publikováno v:
Economic Policy. 25:437-482
Following the financial crisis, many have argued that monetary policy should lean against asset price increases and that deviations of credit and asset prices from trend can be used to capture financial imbalances. We study quarterly data spanning 19
Publikováno v:
European Economic Review. 52:964-986
Several authors have recently interpreted the European Central Bank's (ECB's) two-pillar framework as separate approaches to forecast and analyse inflation at different time horizons or frequency bands. The ECB has publicly supported this understandi
Publikováno v:
BASE-Bielefeld Academic Search Engine
Many central banks have abandoned monetary targeting because the link between money growth and inflation seemed to disappear in the 1980s. Using spectral regression techniques, we show that for the euro area, Japan, the UK, and the US there is a unit
Autor:
Katrin Assenmacher-Wesche
Publikováno v:
European Economic Review. 50:1951-1974
We estimate monetary policy reaction functions for the United States, the United Kingdom, and Germany, using a Markov-switching model that allows for shifts in the coefficients of the central bank's reaction function as well as for independent shifts
This paper studies the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006. We estimate VARs for individual economies and panel VARs in which we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3becb9ff860d6e79b0eb12c41ee3b53
https://www.zora.uzh.ch/id/eprint/52315/
https://www.zora.uzh.ch/id/eprint/52315/
Publikováno v:
SSRN Electronic Journal.
This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of
Publikováno v:
SSRN Electronic Journal.
This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and signific
This paper uses vector error correction models of Switzerland for forecasting output, inflation and the short-term interest rate. It considers three different ways of dealing with forecast uncertainties. First, it investigates the effect on forecasti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7de5e894b889ed406047333a25b48f63
https://www.snb.ch/n/mmr/reference/working_paper_2008_03/source/working_paper_2008_03.n.pdf
https://www.snb.ch/n/mmr/reference/working_paper_2008_03/source/working_paper_2008_03.n.pdf