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Title:Three essays in monetary and macroprudential policies Author(s):KOLB, Benedikt Mario EUI affiliated

Date:2017Citation: Florence : European University Institute, 2017 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis focuses on recent monetary and macroprudential policies addressing the Financial Crisis. Chapter 1 stresses the role of central-bank communication. In particular, shocks derived from movements in federal funds ...

Title:Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis Author(s):DROUMAGUET, MatthieuDate:2012Citation: Florence : European University Institute, 2012 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, ...

Title:Granger-Causal Analysis of Conditional Mean and Volatility Models Author(s):WOŹNIAK, TomaszDate:2012Citation: Florence : European University Institute, 2012 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...

Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...

Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract:Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...

Title:On the Dynamic Effects of Government Stimulus Measures in a Changing Economy Author(s):HAUZENBERGER, KlemensDate:2011Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:No abstract available

Title:Vector autoregressive models Author(s):LUETKEPOHL, Helmut EUI affiliated

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:Dynamic factor models in macro-finance Author(s):SCHERRER, DavidDate:2011Citation: Florence : European University Institute, 2011 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Macroeconomic concepts such as inflation and real economic activity are not directly observed. Researchers often use factor models in order to measure these unobserved concepts. The underlying view is that a small number ...

Title:Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights Author(s):LUETKEPOHL, Helmut EUI affiliated

Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/11Abstract:Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...

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