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All Blog Posts Tagged 'ECB' (5)

How the ECB uses PCA to analyze Sovereign Bond Markets

I have extracted 4 pages from the ECB FSR of June 2011 to a summary '.pdf' file;

these pages are a box in that FSR (if u are familiar with the FSR you will gettit); the box is titled;-

COMMON TRENDS IN EURO AREA SOVEREIGN CREDIT DEFAULT SWAP PREMIA

& it contains a beautiful & succint description of how the ECB uses the PCA technique in this space.

I have placed the summary file on a url on my website (for…

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Added by John A Morrison on July 27, 2012 at 11:15am — No Comments

Factor Modeling in the European Context: The ECB

The present paper focuses on the factor modelling, which has been widely used in macroeconomic forecasting in recent years. Within that approach, there are a number of technical issues that require attention. These include (i) the number of factors to include in a factor augmented forecasting equation, (ii) the speci…cation of the dynamics in the aforementioned equation, (iii) the information from which to extract the factors, including the issue of whether and how to select a subset of the… Continue

Added by John A Morrison on July 6, 2009 at 1:08am — No Comments

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

by Audrone Jakaitiene and Stéphane Dées

THE EUROPEAN CENTRAL BANK







Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, …1st, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods… Continue

Added by John A Morrison on June 18, 2009 at 10:42pm — No Comments

European Central Bank: Integrated Economic Capital Models

AN ECONOMIC CAPITAL MODEL INTEGRATING CREDIT AND INTEREST RATE RISK IN THE BANKING BOOK

by Piergiorgio Alessandri and Mathias Drehmann



I think this is a version of a paper I have already referred either here or over in the asymptotix blogs. What is interesting is that this paper is in the European Central Bank working papers series. Are these ideas becoming finally mainstream? Would that not be just "the business". Instead of highlighting the abstract in a blog post, as I… Continue

Added by John A Morrison on May 7, 2009 at 12:33am — No Comments

WHAT DO ASSET PRICES HAVE TO SAY ABOUT RISK APPETITE AND UNCERTAINTY?

by

Geert Bekaert (Columbia Business School) &

Marie Hoerova and Martin Scheicher (European Central Bank)



EUROPEAN CENTRAL BANK WORKING PAPER SERIES



EXECUTIVE SUMMARY (ABSTRACT)



In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by the dynamic asset pricing literature. We view…

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Added by John A Morrison on April 17, 2009 at 11:00am — No Comments

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