a r t i c l e i n f o JEL classification: C53 G17 Keywords: GARCH Higher conditional moments Approximate predictive distributions Value-at-Risk S&P 500 Treasury bill rate Euro–US dollar exchange rate It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency...

We develop a multisector sticky-price DSGE model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages (standard) monetary policy rule contribute slow response In turn, labor market segmentation at the level induces within-sector strategic substitutability in price-setting decisions, which helps fast sector-specific est...

This paper investigates the e¤ects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating international parity relationships found by Juselius and MacDonald (2000). Our empirical analysis outstandingly produced results similar to the ones obtained by Juselius and MacDonald, suggesting that the cointegration relationships in the international parity...

Is credit expansion a sign of desirable financial deepening or the prelude to an inevitable bust? We study this question in modern US data using structural VAR model 10 monthly frequency variables, identified by heteroskedasticity. Negative reduced-form responses output growth are caused endogenous monetary policy response shocks. On average, and remain positively associated. “Financial stress”...

Linearity-generating” processes offer a tractable procedure to model cash-flows and pricing kernels in a way that yields exact closed form expressions for bond and stock prices. Prices are simply affine (not exponential-affine) in the factors. The linearity-generating class operates in discrete and continuous time with an arbitrary number of factors. This paper presents novel and general regula...

We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/ dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before schedule...

EU enlargement revives the debate around the participation to the EMU. We use a gravity model to see whether informal barriers have changed over a ten-year period covering the creation of the EMU, and whether their impact on European member countries’ agricultural and food trade has been modified. We find that it has led to lower information costs. We observe a diminishing marginal trade impact...

The euro area economy has shown resilience in the aftermath of Russia’s invasion Ukraine and largest terms trade loss several decades, reflecting strong policy efforts to secure gas supplies cushion disposable incomes. Nonetheless, activity weakened, with slipping into a mild technical recession early 2023, inflation is far above target. While headline started decline easing supply bottlenecks ...

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it associated with their capacity to obtain secured funding. This occasional paper summarises work carried out by task force on asset encumbrance, bringing together analyses ECB and those national competent authorities working topic. First, we describe how has evolved euro area banks, focusing country business ...

This research aims to analyze and to compare the ability of different mathematical models, such as artificial neural networks (ANN) and ARCH and GARCH models, to forecast the daily exchange rates Euro/U.S. dollar (USD), identifying which, among all the models applied, produces more accurate forecasts. By empirically comparing the different mathematical models developed in this research, the tra...