Jerome Henry

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

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SCHOLARLY PAPERS

14

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212

Scholarly Papers (14)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 986 (50,754)
Citation 46

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

Macroprudential Policy at the ECB: Institutional Framework, Strategy, Analytical Tools and Policies

Number of pages: 88 Posted: 23 Jul 2019
Vitor Constâncio, Inês Cabral, Carsten Detken, John Fell, Jerome Henry, Paul Hiebert, Sujit Kapadia, Sujit Kapadia, Sergio Nicoletti Altimar, Fatima Pires and Carmelo Salleo
European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bank of EnglandEuropean Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 510 (120,051)
Citation 17

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ESRB, financial imbalances, financial regulation, Financial stability, macroprudential, monetary policy, SSM, stress testing, systemic risk

3.

An Area Wide Model (Awm) for the Euro Area

Number of pages: 62 Posted: 08 Jan 2003
Gabriel Fagan, Jerome Henry and Ricardo Mestre
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 358 (180,893)
Citation 84

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European Monetary Union; Macroeconometric Modelling; Euro Area

4.

Diffusion Index-Based Inflation Forecasts for the Euro Area

ECB Working Paper No. 61
Number of pages: 34 Posted: 19 Feb 2003
Elena Angelini, Jerome Henry and Ricardo Mestre
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 321 (204,253)
Citation 14

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forecast, euro area, dynamic factors, inflation

5.

Model Uncertainty and the Equilibrium Value of the Real Effective Euro Exchange Rate

Number of pages: 52 Posted: 27 Apr 2003
Carsten Detken, Alistair Dieppe, Jerome Henry, Carmen Marin and Frank Smets
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Universidad de Murcia and Ghent University - Department of General Economics
Downloads 257 (256,791)

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Equilibrium exchange rate, euro, model uncertainty

6.

Factor Analysis in a New-Keynesian Model

ECB Working Paper No. 510
Number of pages: 54 Posted: 25 Aug 2005
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of Warwick, European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 217 (303,112)
Citation 4

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New-Keynesian Phillips curve, forward looking output equation, Taylor rule, rational expectations, factor analysis, determinacy of equilibrium.

7.

Interpolation and Backdating with a Large Information Set

Downloads 148 (426,569)
Citation 5

Interpolation and Backdating with a Large Information Set

Number of pages: 41 Posted: 22 Jan 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 130 (475,279)

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Interpolation, factor model, Kalman filter, spline

Interpolation and Backdating with a Large Information Set

Number of pages: 36 Posted: 30 Sep 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 18 (1,220,596)
Citation 5
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Interpolation, factor model, Kalman filter, spline

8.

The Short-Term Impact of Government Budgets on Prices: Evidence from Macroeconomic Models

Number of pages: 51 Posted: 13 Dec 2004
Jerome Henry, Pablo Hernández de Cos and Sandro Momigliano
European Central Bank (ECB), Banco de España and Bank of Italy
Downloads 101 (573,227)
Citation 6

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Euro area, model simulations, fiscal policy, prices

9.

An Area-Wide Real-Time Database for the Euro Area

Downloads 98 (585,028)
Citation 34

An Area-Wide Real-Time Database for the Euro Area

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
International Monetary Fund (IMF), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 92 (615,699)
Citation 33

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real-time, euro area, revisions, database

An Area-Wide Real-Time Database for the Euro Area

CEPR Discussion Paper No. DP7673
Number of pages: 119 Posted: 08 Feb 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
International Monetary Fund (IMF), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 6 (1,359,712)
Citation 1
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database, euro area, real-time, revisions

10.

A Multi-Country Trend Indicator for Euro Area Inflation: Computation and Properties

ECB Working Paper No. 60
Number of pages: 46 Posted: 19 Feb 2003
Elena Angelini, Jerome Henry and Ricardo Mestre
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (677,373)

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Inflation, euro area, dynamic factors, forecast

11.

Destabilizing Effects of Bank Overleveraging on Real Activity - An Analysis Based on a Threshold MCS-GVAR

ECB Working Paper No. 2081
Number of pages: 24 Posted: 28 Jun 2017
Marco Gross, Jerome Henry and Willi Semmler
International Monetary Fund (IMF), European Central Bank (ECB) and The New School - Department of Economics
Downloads 73 (698,043)
Citation 2

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macro-financial linkages, overleveraging, credit supply

12.

Factor Analysis in a Model with Rational Expectations

NBER Working Paper No. w13404
Number of pages: 30 Posted: 14 Sep 2007 Last Revised: 18 Aug 2022
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of Warwick, European Central Bank (ECB) and Bocconi University - Department of Economics
Downloads 54 (816,483)

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13.

The Euro Area Viewed as a Single Economy: How Does it Respond to Shocks?

Economic Modeling, Vol. 21, No. 5, 2004
Posted: 06 Feb 2012
Alistair Dieppe and Jerome Henry
European Central Bank (ECB) and European Central Bank (ECB)

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Euro area, Macroeconometric modelling, Monetary policy

14.

Long Run Money Demand in the EU: Evidence for Area-Wide Aggregates

Posted: 14 Jun 1999
Gabriel Fagan and Jerome Henry
European Central Bank (ECB) and European Central Bank (ECB)

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