In its communication on Short-term EU health preparedness for COVID-19 outbreaks (COM(2020) 318 final) the Commission calls for “targeted and localised non-medical countermeasures, informed by research and evidence” to avoid major social and economic consequences from large-scale lockdown measur...
We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector autoregression. Financial shocks have a negative, but asymmetric impact on the real economy: they substantially increase growth at risk, but have limited impact on upside potential. ...
The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use...
This paper develops an early warning model of systemic banking crises that combines regression tree technology with a statistical algorithm to improve its accuracy and overcome some drawbacks of more standard models....
The technical report describes the structure, the equations and the data that constitute the model FIDELIO 3. FIDELIO is a multi-sectoral model developed by the unit B.5 of the Directorate General Joint Research Centre (JRC) — the circular economy and industrial leadership unit. The model is des...
We consider a standard result of customer market theory: if firms have stable customer relations and face financial frictions, they may keep prices relatively high on their locked-in shoppers to maintain short-term profits at the expense of future market shares in times of low demand and vice v...
Following the financial crisis, the share of non-performing loans has significantly increased, while the regulatory guidelines on the Internal-Ratings Based (IRB) approach for capital adequacy calculation related to defaulted exposures remains too general. As a result, the high-risk nature of th...
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to forma...
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil pr...
The Consolidated Banking Data (CBD) are a key component of the ECB/ESCB statistical toolbox for financial stability analysis. This dataset, which contains all the relevant dimensions of systemic risk stemming from and affecting national banking systems, is compiled from firm-level supervisory re...