Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Marente Vlekke"'
Publikováno v:
Vlekke, M, Koopman, S J & Mellens, M 2021 ' An Empirical Assessment of the U.S. Phillips Curve over Time ' TI Discussion Paper Series, III edn, Tinbergen Institute . < https://papers.tinbergen.nl/21099.pdf >
Vrije Universiteit Amsterdam
Vrije Universiteit Amsterdam
We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phill
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::cf38d1b60888eae3569007b960404364
https://research.vu.nl/en/publications/6f800218-a695-4aba-b15f-f762bb4abf07
https://research.vu.nl/en/publications/6f800218-a695-4aba-b15f-f762bb4abf07
Autor:
Marente Vlekke, Siem Jan Koopman
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Galati, G, Hindrayanto, I, Koopman, S J M & Vlekke, M 2016, ' Measuring financial cycles in a model-based analysis : Empirical evidence for the United States and the euro area ', Economics Letters, vol. 145, no. August, pp. 83–87 . https://doi.org/10.1016/j.econlet.2016.05.034
Galati, E B G, Hindrayanto, A I W, Koopman, S J & Vlekke, M 2016, ' Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area ', Economics Letters, vol. 145, pp. 83-87 . https://doi.org/10.1016/j.econlet.2016.05.034
Economics Letters, 145, 83-87. Elsevier
Galati, E B G, Hindrayanto, A I W, Koopman, S J & Vlekke, M 2016, ' Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area ', Economics Letters, vol. 145, pp. 83-87 . https://doi.org/10.1016/j.econlet.2016.05.034
Economics Letters, 145, 83-87. Elsevier
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970-2014. We find that financial cycles can parsimoniously be estimated by house prices an
Publikováno v:
SSRN Electronic Journal.
The financial cycle captures systematic patterns in the financial system and is closely related to the concept of procyclicality of systemic risk. This paper investigates the characteristics of financial cycles using a multivariate model-based filter
Autor:
Marente Vlekke, Gerhard Rünstler
Publikováno v:
SSRN Electronic Journal.
Summary We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, w
Autor:
Rünstler, Gerhard, Marente Vlekke
We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies. With the exception of Germany, we find large and long cycles in c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fcecc76ea3d88375b268e6af46047cb1
https://hdl.handle.net/10419/154348
https://hdl.handle.net/10419/154348
Publikováno v:
SSRN Electronic Journal.
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-ter