Eleonora Granziera - Latest

• Monetary Policy, Private Debt and Financial Stability Risks

  Staff Working Paper 2016-59 Gregory Bauer, Eleonora Granziera

  Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of 18 advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability, Monetary policy, Monetary policy transmission JEL Code(s): C, C2, C21, C23, E, E5, E52, E58
• August 15, 2013

  The Accuracy of Short-Term Forecast Combinations

  Bank of Canada Review - Summer 2013 Eleonora Granziera, Corinne Luu, Pierre St-Amant

  This article examines whether combining forecasts of real GDP from different models can improve forecast accuracy and considers which model-combination methods provide the best performance. In line with previous literature, the authors find that combining forecasts generally improves forecast accuracy relative to various benchmarks. Unlike several previous studies, however, they find that, rather than assigning equal weights to each model, unequal weighting based on the past forecast performance of models tends to improve accuracy when forecasts across models are substantially different.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37

• House Price Dynamics: Fundamentals and Expectations

  Staff Working Paper 2012-12 Eleonora Granziera, Sharon Kozicki

  We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Domestic demand and components, Economic models JEL Code(s): E, E3, E6, E65, R, R2, R21