if this message does not display correctly, click here | Table of Contents Gianluca Cubadda, University of Rome II - Department of Economics and Finance
Alain Hecq, Maastricht University - Department of Quantitative Economics
Antonio Riccardo, ICE Data Services Italy Barbara Annicchiarico, University of Rome, Tor Vergata - Department of Economics and Finance, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Silvia Surricchio, University of Rome, Tor Vergata - Department of Economics and Finance
Robert Waldmann, Universita di Roma Tor Vergata, National Bureau of Economic Research (NBER) Luisa Corrado, University of Rome Tor Vergata Department of Economics and Finance
Edgar Silgado-Gómez, University of Rome 'Tor Vergata' | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector" 
CEIS Working Paper No. 445 GIANLUCA CUBADDA, University of Rome II - Department of Economics and Finance
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ALAIN HECQ, Maastricht University - Department of Quantitative Economics
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ANTONIO RICCARDO, ICE Data Services Italy This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range dependence, we use several modelling approaches that are able to capture such feature. We look at the forecasting accuracy of the considered models to make inference on the underlying mechanism that has generated volatilities of the assets. Our main conclusion is that the contagion effect among the considered volatilities is small or, at least, not well captured by the considered multivariate models. "A Behavioral Model of the Credit Cycle"
CEIS Working Paper No. 446 BARBARA ANNICCHIARICO, University of Rome, Tor Vergata - Department of Economics and Finance, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
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SILVIA SURRICCHIO, University of Rome, Tor Vergata - Department of Economics and Finance
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ROBERT WALDMANN, Universita di Roma Tor Vergata, National Bureau of Economic Research (NBER)
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In a behavioral variant of a New Keynesian model, in which individuals use simple heuristic rules to forecast future inflation and output gap, if there are limits on the amount of debt that economic agents are allowed to bear, we observe occasionally severe downturns. Differences in beliefs combined with borrowing constraints tend to dampen expansions, but give rise to a chain reaction that exacerbates the recessions.
The model is an example of endogenous credit cycles with expansions, severe recessions, and persistent inequality in the distribution of wealth. Monetary policy can both
stabilize the economy and cause increased average output. "Assessing the Effects of Fiscal Policy News Under Imperfect Information: Evidence from Aggregate and Individual Data"
CEIS Working Paper No. 447 LUISA CORRADO, University of Rome Tor Vergata Department of Economics and Finance
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EDGAR SILGADO-GÓMEZ, University of Rome 'Tor Vergata'
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We study the transmission of fiscal policy under imperfect information where government spending is composed by permanent and transitory components. Agents learn about the previous processes by only observing overall public spending and a noisy signal. Under this setting and employing maximum likelihood techniques, we construct a novel measure of fiscal policy news and show that the estimated variable agrees with the historical narrative evidence for the U.S. economy. We then use macro and micro datasets to document the effects of this proxy on real wages and consumption. The qualitative responses obtained with aggregate data are significantly the same as those using individual PSID data at the median of the empirical distributions – on impact, real consumption falls and real wages do not move, whereas both increase after one year. A potential explanation for these results relies on expectations about future policy adjustments. When we consider the tails of the distributions, real wages fall (rise) upon impact for rich (poor) households.
However, the effects on consumption only differ at longer horizons where poor households increase consumption more persistently than those at the top of the distribution. | | ^top
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