Gonzalo Camba-Mendez

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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Top 8,998

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41

CROSSREF CITATIONS

146

Scholarly Papers (22)

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 271 (210,083)
Citation 2

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

2.

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 262 (217,330)

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

3.
Downloads 210 (268,843)
Citation 57

Short-term Forecasts of Euro Area GDP Growth

ECB Working Paper No. 949
Number of pages: 31 Posted: 16 Nov 2008
European Central Bank (ECB), European Central Bank (ECB), International Monetary Fund (IMF), London Business School and European Central Bank
Downloads 206 (272,862)
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
European Central Bank (ECB), European Central Bank (ECB), International Monetary Fund (IMF), London Business School and European Central Bank
Downloads 4 (1,153,212)
Citation 4
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

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 199 (282,435)

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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 192 (291,782)
Citation 2

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Output gap; Forecasting Inflation; Time Series models

6.
Downloads 157 (343,919)
Citation 1

Pricing Sovereign Credit Risk of an Emerging Market

ECB Working Paper No. 1924
Number of pages: 31 Posted: 29 Jun 2016
European Central Bank (ECB), NBP, Independent and Warsaw School of Economics (SGH)National Bank of Poland
Downloads 102 (486,676)

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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
European Central Bank (ECB), NBP, National Bank of Poland and Warsaw School of Economics (SGH)National Bank of Poland
Downloads 55 (698,759)
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
European Central Bank (ECB), NBP, National Bank of Poland and Warsaw School of Economics (SGH)National Bank of Poland

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

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
European Central Bank (ECB), King's College, London, King’s College London - King's Business School and National Institute of Economic and Social Research (NIESR)
Downloads 88 (536,980)

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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
European Central Bank (ECB), King's College, London, King’s College London - King's Business School and National Institute of Economic and Social Research (NIESR)
Downloads 56 (692,811)
Citation 2

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

8.

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 144 (373,095)
Citation 2

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multiple time series, model specification, tests of rank

9.

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 142 (377,180)

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Structural Deficit Ratio, State Space Modelling, Interpolation

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, Dobromil Serwa and Dobromil Serwa
European Central Bank (ECB) and Warsaw School of Economics (SGH)National Bank of Poland
Downloads 66 (636,635)
Citation 4

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

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, Dobromil Serwa and Dobromil Serwa
European Central Bank (ECB) and Warsaw School of Economics (SGH)National Bank of Poland
Downloads 65 (641,888)

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

11.

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 131 (401,832)
Citation 3

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Core Inflation, Dynamic Factor Models, Forecasting

12.

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 130 (404,175)

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tests of rank, spectral density matrix

13.

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 127 (411,430)

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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

14.

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 124 (418,817)
Citation 2

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

15.

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

ECB Working Paper No. 470
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 109 (461,064)
Citation 9

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Inflation and Money

16.

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 108 (464,063)

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

17.

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 98 (496,513)
Citation 1

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Tests of Rank, Spectral Density Matrix, Canonical Correlations

18.

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 83 (551,107)

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

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
European Central Bank (ECB), Universitat de València and European Central Bank (ECB)
Downloads 75 (584,695)
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 46 (740,397)

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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 42 (767,915)

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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
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