Jerome Henry

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

15

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1,561

CITATIONS
Rank 3,191

SSRN RANKINGS

Top 3,191

in Total Papers Citations

249

Scholarly Papers (15)

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
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), 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), European Central Bank (ECB) and European Central Bank
Downloads 340 (87,264)
Citation 2

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

2.

An Area Wide Model (Awm) for the Euro Area

ECB Working Paper No. 42
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 269 (112,548)
Citation 2

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European Monetary Union; Macroeconometric Modelling; Euro Area

3.

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

ECB Working Paper No. 160
Number of pages: 52 Posted: 27 Apr 2003
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Universidad de Murcia and European Central Bank (ECB)
Downloads 209 (144,751)

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Equilibrium exchange rate, euro, model uncertainty

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 173 (172,086)

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forecast, euro area, dynamic factors, inflation

5.

Factor Analysis in a New-Keynesian Model

ECB Working Paper No. 510
Number of pages: 54 Posted: 25 Aug 2005
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 168 (176,577)

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

Interpolation and Backdating with a Large Information Set

ECB Working Paper No. 252
Number of pages: 41 Posted: 22 Jan 2004
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 97 (270,760)

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Interpolation, factor model, Kalman filter, spline

Interpolation and Backdating with a Large Information Set

CEPR Discussion Paper No. 4533
Number of pages: 36 Posted: 30 Sep 2004
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 17 (556,314)
Citation 2
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Interpolation, factor model, Kalman filter, spline

7.

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

ECB Working Paper No. 396
Number of pages: 51 Posted: 13 Dec 2004
European Central Bank (ECB), Banco de España and Bank of Italy
Downloads 78 (307,887)

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Euro area, model simulations, fiscal policy, prices

8.

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 61 (351,739)

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Inflation, euro area, dynamic factors, forecast

9.
Downloads 60 (354,572)
Citation 15

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

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 56 (372,366)
Citation 12

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 4 (646,068)
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database, euro area, real-time, revisions

10.

Determinants of the Effective Real Exchange Rate of the Synthetic Euro: Alternative Methodological Approaches

Australian Economic Papers, Vol. 41, pp. 404-436, 2002
Number of pages: 33 Posted: 13 Jan 2003
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Universidad de Murcia
Downloads 33 (450,807)
Citation 1
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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 2010
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 25 (505,334)

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Factor Analysis in a Model with Rational Expectations

Econometrics Journal, Vol. 11, Issue 2, pp. 271-286, July 2008
Number of pages: 16 Posted: 14 Jul 2008
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 3 (654,934)
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12.

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 19 (524,746)
Citation 1

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macro-financial linkages, overleveraging, credit supply

13.

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

ECB Occasional Paper No. 227
Number of pages: 88 Posted: 23 Jul 2019
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), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 9 (584,965)

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

14.

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

15.

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

Empirical Economics, Vol. 23, No. 3, 1998
Posted: 14 Jun 1999
Gabriel Fagan and Jerome Henry
European Central Bank (ECB) and European Central Bank (ECB)

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