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Members Research Papers

Modelling euro area GDP growth with dynamic factor models

JEL codes: 
E27
Keywords: 
GDP estimation and forecast, dynamic factor models
Version Date: 
Oct 2012
Author/s: 
Andrei Valentin Tanase
Abstract: 

Using structural models to estimate and forecast quarterly GDP conditional on a large
number of economic indicators raises parsimony problems, such as the need to define many
identification restrictions and also to deal with very sparse asymptotic distributions of the
coefficients. Factor models have the role to fill this gap in macroeconomic modelling. The

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Optimal fiscal policy in a DSGE model with heterogeneous agents

JEL codes: 
E62
Keywords: 
optimal fiscal policy, rule of thumb, welfare
Version Date: 
Sep 2012
Author/s: 
Jonathan Swarbrick
Abstract: 

This paper solves optimal scal policy in a simple real business cycle model with
agent heterogeneity. Introducing rule-of-thumb behaviour in some agents, I show
that the steady state optimal tax on capital in the long run should always be
zero regardless of the governments favouritism towards particular agents. Over

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Housing Cycles and Macroeconomic Fluctuations: A Global Perspective

JEL codes: 
C32, E32, F40
Keywords: 
global VAR, Housing Cycles, Identification of shocks, Emerging Market Economies, Boom and Bust Cycles
Version Date: 
Aug 2012
Author/s: 
Ambrogio Cesa-Bianchi
Abstract: 

This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies.

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Deriving the Taylor Principle when the Central Bank Supplies Money

JEL codes: 
E40
Keywords: 
velocity, Taylor rule, forward-looking, misspecification bias
Version Date: 
Jul 2012
Author/s: 
Ceri Davies, Max Gillman
Abstract: 

The paper presents a human-capital-based endogenous growth, cash-in-advance economy with endogenous velocity where exchange credit is produced in a decentralized banking sector, and money is supplied stochastically by the central bank. From this it derives an exact functional form for a general equilibrium `Taylor rule'.

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A New Real-Time Indicator for the Euro Area GDP

JEL codes: 
C13, C32, E32, E37
Keywords: 
real-time signal extraction; coincident indicator; multivariate direct filter approach
Version Date: 
Jul 2012
Author/s: 
Ginters Buss
Abstract: 

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data.

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Financial Crises, Money and Inflation

JEL codes: 
E41, E52, E58
Keywords: 
Quantitative easing; Financial crises; Monetary aggregates; Inflation
Version Date: 
May 2012
Author/s: 
Samuel Reynard
Abstract: 

Financial crises have been followed by different inflation paths which are
related to monetary aggregate developments during those crises. This paper
characterizes the empirical relationship between money and inflation, accounting
for monetary policy and financial sector transmission as well as equilibrium

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Money, credit, monetary policy and the business cycle in the euro area

JEL codes: 
C32, C51, E32, E51
Keywords: 
Euro area, Money, loans, banks
Version Date: 
Apr 2012
Author/s: 
Domenico Giannone, Michele Lenza, Lucrezia Reichlin
Abstract: 

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle.

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Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle

JEL codes: 
E31, E51, E52
Keywords: 
Money in new-Keynesian frameworks, time-varying effects, Bayesian structural estimations, Taylor rules
Version Date: 
Mar 2012
Author/s: 
Efrem Castelnuovo
Abstract: 

Is money's role relevant to describing the post-WWII U.S. macroeconomic dynamics? Has this relevance changed over time? These questions are answered using both fixed-coefficient and rolling-window Bayesian estimations of a structural model of the business cycle with money.

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MACRO-FINANCIAL LINKAGES: EVIDENCE FROM COUNTRYSPECIFIC VARS

JEL codes: 
A14
Keywords: 
business cycle, asset prices, autoregression, credit, financial shock
Version Date: 
Mar 2012
Author/s: 
Paolo Guarda
Abstract: 

This paper estimates the contribution of financial shocks to fluctuations in the
real economy by augmenting the standard macroeconomic vector
autoregression (VAR) with five financial variables (real stock prices, real
house prices, term spread, loans-to-GDP ratio and loans-to-deposits ratio).

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The role of money and monetary policy in crisis periods: the Euro area case

JEL codes: 
E00
Keywords: 
Bayesian estimation, DSGE model, Money
Version Date: 
Feb 2012
Author/s: 
Jonathan Benchimol
Abstract: 

In this paper, we test two models of the Eurozone, with a special emphasis on the role of money and monetary policy during crises. The role of separability between money and consumption is investigated further and we analyse the Euro area economy during three different crises: 1992, 2001 and 2007.

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