Econometric and statistical methods

• The Role of Card Acceptance in the Transaction Demand for Money

  Staff Working Paper 2014-44 Kim Huynh, Philipp Schmidt-Dengler, Helmut Stix

  The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

  Staff Working Paper 2014-40 Rodrigo Sekkel

  This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

• Real-Time Nowcasting of Nominal GDP Under Structural Breaks

  Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon

  This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32

• A New Approach to Infer Changes in the Synchronization of Business Cycle Phases

  Staff Working Paper 2014-38 Danilo Leiva-Leon

  This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Regional economic developments JEL Code(s): C, C3, C32, C4, C45, E, E3, E32

• Predicting Financial Stress Events: A Signal Extraction Approach

  Staff Working Paper 2014-37 Ian Christensen, Fuchun Li

  The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C14, C4, E, E3, E37, E4, E47, F, F3, F36, F37, G, G0, G01, G1, G17