Members Research Papers

Exchange Rate Volatility and Labour Markets in the CEE Countries

JEL codes: 
E42, F36, F42
Version Date: 
Nov 2004
Author/s: 
Abstract: 

According to the traditional 'optimum currency area' approach, the case for adopting a common currency is stronger if the countries are subject to relatively similar output shocks. This Paper takes a different approach and highlights the fact that high exchange rate volatility may as well signal high costs for labour markets.

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Convergence and Cycles in the Euro Zone

JEL codes: 
C32, O40
Version Date: 
Oct 2004
Author/s: 
Abstract: 

Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the euro zone. The aim is to establish stylized facts about convergence as it relates both to long-run income levels and to cycles.

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The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7

JEL codes: 
E32, F02, F43
Version Date: 
Sep 2004
Author/s: 
Abstract: 

This Paper examines the changing relationships between the G7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate.

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Interpolation and Backdating with A Large Information Set

JEL codes: 
C32, C43, C82
Version Date: 
Sep 2004
Abstract: 

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly estimated.

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Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons

JEL codes: 
C12, C32, F40
Version Date: 
Aug 2004
Author/s: 
Abstract: 

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been proposed in the literature may be computationally challenging.

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What Does A Technology Shock Do? A VAR Analysis with Model-based Sign Restrictions

JEL codes: 
C30, E30
Version Date: 
Aug 2004
Author/s: 
Abstract: 

This Paper estimates the effects of technology shocks in VAR models of the United States, Japan and Germany, identified imposing restrictions on the sign of impulse responses. These restrictions are motivated with priors on the parameters of a class of DSGE models with both real and nominal frictions.

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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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Similarities and Convergence in G7 Cycles

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

This Paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role.

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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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Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model

JEL codes: 
C53
Version Date: 
Apr 2004
Author/s: 
Abstract: 

This Paper considers forecasting by econometric and time series models using preliminary (or provisional) data. The standard practice is to ignore the distinction between provisional and final data.

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