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Title:Liquidity, government bonds and sovereign debt crises Author(s):MOLTENI, Francesco
Date:2019Type:Working PaperSeries/Number:EUI MWP; 2019/02Abstract:This paper analyzes the Eurozone financial crisis through the lens of sovereign bond liquidity. Using novel data, I show that following the emergence of sovereign risk, repo haircuts on peripheral government bonds sharply ...
Date:2019Type:Working PaperSeries/Number:EUI MWP; 2019/02Abstract:This paper analyzes the Eurozone financial crisis through the lens of sovereign bond liquidity. Using novel data, I show that following the emergence of sovereign risk, repo haircuts on peripheral government bonds sharply ...
Title:Sources of borrowing and fiscal multipliers Author(s):PRIFTIS, Romanos; ZIMIC, SreckoDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/01Abstract:We find that debt-financed government spending multipliers vary considerably depending on the location of the debt holder. In a sample of 59 countries we find that government spending multipliers are larger when government ...
; ZIMIC, SreckoDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/01Abstract:We find that debt-financed government spending multipliers vary considerably depending on the location of the debt holder. In a sample of 59 countries we find that government spending multipliers are larger when government ...
Title:Vector autoregressive models Author(s):LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Title:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Title:Econometric Analysis with Vector Autoregressive Models Author(s):LUETKEPOHL, HelmutDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Title:Structural Vector Autoregressive Analysis for Cointegrated Variables Author(s):LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO; 2005/02
Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/02
Title:Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2005Type:Working PaperSeries/Number:EUI ECO 2005/08
Date:2005Type:Working PaperSeries/Number:EUI ECO 2005/08
Title:Recent Advances in Cointegration Analysis Author(s):LUETKEPOHL, HelmutDate:2004Type:Working PaperSeries/Number:EUI ECO; 2004/12
Date:2004Type:Working PaperSeries/Number:EUI ECO; 2004/12