C33

Multiple or Simultaneous Equation Models: Models with Panel Data

Monetary Transmission Mechanism and Time Variation in the Euro Area

JEL codes: 
C11, C32, C33, E50
Version Date: 
Nov 2012
Author/s: 
Abstract: 

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999:M1 through 2011:M12 is gathered for the euro area as an aggregate.

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Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

JEL codes: 
C33, C53, E52
Version Date: 
Jul 2005
Abstract: 

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set.

Model-based Clustering of Multiple Time Series

JEL codes: 
C11, C33, E32
Version Date: 
Aug 2004
Abstract: 

We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods.

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Has the Transmission Mechanism of European Monetary Policy Changed in the Run-Up to EMU?

JEL codes: 
C11, C33, E52
Version Date: 
Aug 2004
Abstract: 

This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion.

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