Gonzalo Camba-Mendez

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

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    • Fax: 0044 69 1344 6000
SCHOLARLY PAPERS

22

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CROSSREF CITATIONS

208

Scholarly Papers (22)

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1.

Modelling the Daily Banknotes in Circulation in the Context of the Liquidity Management of the European Central Bank

Number of pages: 55 Posted: 20 Jan 2003
Alberto Cabrero, Gonzalo Camba-Mendez, Astrid Hirsch and Fernando Nieto
Banco de España, European Central Bank (ECB), European Central Bank (ECB) and Banco de España
Downloads 220 (155,150)
Citation 2

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Daily forecast, Liquidity Management, Time Series models, Seasonality, Cubic Splines

2.

Short-term Forecasts of Euro Area GDP Growth

Downloads 177 (189,382)
Citation 52

Short-term Forecasts of Euro Area GDP Growth

ECB Working Paper No. 949
Number of pages: 31 Posted: 16 Nov 2008
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 172 (194,207)
Citation 2

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Forecasting, Monetary Policy, Factor Model, Real Time Data, Large datasets, News

Short-Term Forecasts of Euro Area GDP Growth

CEPR Discussion Paper No. DP6746
Number of pages: 25 Posted: 10 Jun 2008
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 4 (721,281)
Citation 4
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

Short-Term Forecasts of Euro Area GDP Growth

The Econometrics Journal, Vol. 14, Issue 1, pp. C25-C44, 2011
Number of pages: 20 Posted: 28 Feb 2011
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rnstler
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and affiliation not provided to SSRN
Downloads 1 (756,005)
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Factor model, Forecasting, Large data sets, Monetary policy, News, Real-time data

3.

Relevant Economic Issues Concerning the Optimal Rate of Inflation

Number of pages: 46 Posted: 20 Jan 2004
Diego Rodriguez-Palenzuela, Gonzalo Camba-Mendez and Juan A. Garcia
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 173 (193,159)

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Price stability, inflation costs and benefits, downward nominal rigidities, inflation differentials, deflation

4.

Excess Reserves and the Implementation of Monetary Policy of the ECB

Number of pages: 42 Posted: 30 Nov 2004
Ulrich Bindseil, Gonzalo Camba-Mendez, Astrid Hirsch and Benedict Weller
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 164 (202,226)

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excess reserves, monetary policy implementation, liquidity management

5.

Assessment Criteria for Output Gap Estimates

Number of pages: 43 Posted: 15 May 2003
Gonzalo Camba-Mendez and Diego Rodriguez-Palenzuela
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 135 (237,236)
Citation 1

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Output gap; Forecasting Inflation; Time Series models

6.

Estimating the Rank of the Spectral Density Matrix

Downloads 132 (241,442)
Citation 2

Estimating the Rank of the Spectral Density Matrix

Number of pages: 30 Posted: 10 Sep 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 109 (279,463)

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tests of rank, spectral density matrix

Estimating the Rank of the Spectral Density Matrix

Number of pages: 12 Posted: 06 Jan 2005
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 23 (576,640)
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Tests of rank, spectral density matrix

7.

Short-Term Monitoring of Fiscal Policy Discipline

Number of pages: 40 Posted: 17 Jan 2003
Gonzalo Camba-Mendez and Ana Lamo
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 121 (257,895)

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Structural Deficit Ratio, State Space Modelling, Interpolation

8.

Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation

Number of pages: 34 Posted: 13 Dec 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 112 (272,709)

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Core Inflation, Dynamic Factor Models, Forecasting

9.

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

ECB Working Paper No. 850
Number of pages: 41 Posted: 27 Jan 2008
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 108 (279,708)

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multiple time series, model specification, tests of rank

10.

Pricing Sovereign Credit Risk of an Emerging Market

Downloads 90 (311,105)
Citation 1

Pricing Sovereign Credit Risk of an Emerging Market

ECB Working Paper No. 1924
Number of pages: 31 Posted: 29 Jun 2016
Gonzalo Camba-Mendez, Konrad Kostrzewa, Anna Marszal and Dobromil Serwa
European Central Bank (ECB), NBP, Independent and National Bank of Poland
Downloads 58 (408,175)

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sovereign credit risk, CDS spreads, probability of default, loss given default, Poland

Pricing Sovereign Credit Risk of an Emerging Market

Number of pages: 32 Posted: 19 Aug 2015
Gonzalo Camba-Mendez, Konrad Kostrzewa, Anna Marszal (Mospan) and Dobromil Serwa
European Central Bank (ECB), NBP, National Bank of Poland and National Bank of Poland
Downloads 32 (520,507)
Citation 1

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sovereign credit risk, CDS spreads, probability of default, loss given default

Pricing Sovereign Credit Risk of an Emerging Market

ECB Working Paper No. 1924
Posted: 08 Jul 2016
Gonzalo Camba-Mendez, Konrad Kostrzewa, Anna Marszal (Mospan) and Dobromil Serwa
European Central Bank (ECB), NBP, National Bank of Poland and National Bank of Poland

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sovereign credit risk, CDS spreads, probability of default, loss given default, Poland

11.

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

Downloads 87 (322,137)

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

quantf research Working Paper Series: WP09/2014
Number of pages: 23 Posted: 02 Jun 2014
Gonzalo Camba-Mendez, George Kapetanios, Fotis Papailias and Martin R. Weale
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 47 (449,870)

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Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

ECB Working Paper No. 1773
Number of pages: 33 Posted: 02 Apr 2015
Gonzalo Camba-Mendez, George Kapetanios, Fotis Papailias and Martin R. Weale
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 40 (480,470)

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Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares

12.

Testing the Rank of the Hankel Matrix: A Statistical Approach

Number of pages: 25 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 84 (329,179)

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Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo

13.

Structural Filters for Monetary Analysis: The Inflationary Movements of Money in the Euro Area

Number of pages: 33 Posted: 20 May 2005
Annick Bruggeman, Gonzalo Camba-Mendez, Björn Fischer and João Sousa
National Bank of Belgium, European Central Bank (ECB), European Central Bank (ECB) and Banco de Portugal
Downloads 83 (331,583)
Citation 1

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Inflation and Money

14.

Spectral Based Methods to Identify Common Trends and Common Cycles

Number of pages: 19 Posted: 20 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 79 (341,428)

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Tests of Rank, Spectral Density Matrix, Canonical Correlations

15.

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Downloads 68 (371,223)
Citation 2

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

ECB Working Paper No. 1710
Number of pages: 37 Posted: 12 Aug 2014
Gonzalo Camba-Mendez and Dobromil Serwa
European Central Bank (ECB) and National Bank of Poland
Downloads 42 (471,339)

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sovereign credit risk, CDS spreads, euro area, probability of default, loss given default

Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis

Number of pages: 46 Posted: 19 Aug 2015
Gonzalo Camba-Mendez and Dobromil Serwa
European Central Bank (ECB) and National Bank of Poland
Downloads 26 (556,250)
Citation 3

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sovereign credit risk, CDS spreads, euro area, probability of default

16.

Policy Responses in Europe Since the Onset of the Crisis (2007-Mid 2017)

Number of pages: 37 Posted: 22 Nov 2017 Last Revised: 20 Oct 2019
Gonzalo Camba-Mendez and Francesco Paolo Mongelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 65 (380,002)

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ECB Monetary Policy, Euro Area, Global Financial Crisis, Monetary Policy Transmission, Credit Easing, Quantitative Easing, Non-Standard Measures, Financial Fragmentation, and Financial Stability

17.

Bootstrap Statistical Tests of Rank Determination for System Identification

U of London Queen Mary Economics Working Paper No. 468
Number of pages: 23 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 64 (382,993)

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Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator

18.

Bank Interest Rate Setting in the Euro Area During the Great Recession

ECB Working Paper No. 1965
Number of pages: 36 Posted: 20 Sep 2016
Gonzalo Camba-Mendez, Alain Durré and Francesco Paolo Mongelli
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 47 (441,804)
Citation 1

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bank interest rate setting, bank financing, non-standard monetary policy and euro area crisis

19.

Financial Reputation, Market Interventions and Debt Issuance by Banks: A Truncated Two-Part Model Approach

ECB Working Paper No. 1741
Number of pages: 37 Posted: 19 Nov 2014
Gonzalo Camba-Mendez, Santiago Carbo-Valverde and Diego Rodriguez-Palenzuela
European Central Bank (ECB), Bangor Business School and European Central Bank (ECB)
Downloads 40 (470,569)
Citation 1

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bank debt issuance, collateral, crisis, monetary policy

20.

Loan Pricing by Euro Area Risk Averse Banks in an Environment of Extended Central Bank Liquidity Provision

Number of pages: 29 Posted: 28 Oct 2019
Gonzalo Camba-Mendez and Francesco Paolo Mongelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 21 (571,823)

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bank loan pricing, bank financing, market fragmentation

21.

On the Inflation Risks Embedded in Sovereign Bond Yields: A Revisit

Number of pages: 33 Posted: 02 Mar 2020
Gonzalo Camba-Mendez
European Central Bank (ECB)
Downloads 13 (625,340)

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Inflation Risks, Yields, Portfolio Choice

22.

An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries

Posted: 27 Sep 2001
Gonzalo Camba-Mendez, George Kapetanios, Richard J. Smith and Martin R. Weale
European Central Bank (ECB), King's College, London, University of Warwick - Department of Economics and National Institute of Economic and Social Research (NIESR)

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Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models