Title:The Financial Implications of a Banking Union
Author(s):ALLEN, Franklin; CARLETTI, Elena; GIMBER, AndrewDate:2012Type of Publication:Contribution to bookAbstract:With calls for a banking union to resolve the issue of banking interdependence within the Eurozone, this paper explores the reasons behind such a policy, how it should be implemented and the possible ramifications.
Title:Forecasting Volatility Using High-Frequency Data
Author(s):HANSEN, Peter Reinhard; LUNDE, AsgerDate:2011Type of Publication:Contribution to bookAbstract:This article focuses on some aspects of high-frequency data and their use in volatility forecasting. High-frequency data can be used to construct volatility forecasts. The article reviews two leading approaches to this. ...
Title:Pensions and Children
Author(s):CORSETTI, GiancarloDate:2009Type of Publication:Contribution to book
Title:Financial Architecture
Author(s):CORSETTI, GiancarloDate:2009Type of Publication:Contribution to book
Title:Factor Augmented Error Correction Models
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type of Publication:Contribution to bookAbstract:This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Title:New Open Economy Macroeconomics
Author(s):CORSETTI, GiancarloDate:2008-01-01Type of Publication:Contribution to bookAbstract:‘New open economy macroeconomics’ (NOEM) refers to a body of literature embracing a new theoretical framework for policy analysis in open economy, aiming to overcome the limitations of the Mundell-Fleming model while ...
Title:Impulse Response Function
Author(s):LUETKEPOHL, HelmutDate:2008-01-01Type of Publication:Contribution to bookAbstract:Impulse response functions are useful for studying the interactions between variables in a vector autoregressive model. They represent the reactions of the variables to shocks hitting the system. It is often not clear, ...
Title:Vintage Capital
Author(s):BOUCEKKINE, Raouf; DE LA CROIX, David; LICANDRO, OmarDate:2008-01-01Type of Publication:Contribution to bookAbstract:This article reviews the early vintage capital literature of the 1960s, and identifies the factors behind the revival of topic from the 1990s. The fundamental properties of the seminal vintage capital growth models are ...
Title:Variance Decomposition
Author(s):LUETKEPOHL, HelmutDate:2008-01-01Type of Publication:Contribution to book