Gerhard Rünstler

European Central Bank

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

18

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1,849

SSRN CITATIONS
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Top 6,180

in Total Papers Citations

52

CROSSREF CITATIONS

161

Scholarly Papers (18)

1.

Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model

ECB Working Paper No. 953
Number of pages: 31 Posted: 31 Jan 2009
Elena Angelini, Marta Banbura and Gerhard Rünstler
European Central Bank (ECB), European Central Bank and European Central Bank
Downloads 211 (201,439)
Citation 1

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dynamic factor models, interpolation, nowcasting

2.

Short-Term Forecasting of GDP Using Large Monthly Datasets – A Pseudo Real-Time Forecast Evaluation Exercise

National Bank of Belgium Working Paper No. 133
Number of pages: 31 Posted: 03 Oct 2010
University of Angers - Research Group in Quantitative Saving (GREQAM), European Central Bank (ECB), Bank of Italy, Sveriges Riksbank - Monetary Policy, Vytautas Magnus University, European University Institute, Bank of Portugal - Economic Research Department, European Central Bank, J. W. Goethe University Frankfurt and National Bank of Belgium
Downloads 198 (213,501)
Citation 13

Abstract:

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Bridge models, Dynamic factor models, real-time data flow

Real and Financial Cycles in EU Countries: Stylised Facts and Modelling Implications

ECB Occasional Paper No. 205, ISBN: 978-92-899-3364-3
Number of pages: 68 Posted: 11 Jan 2018
European Central Bank, Bank of Greece, European Central Bank (ECB), Bank of Latvia, Bank of Lithuania - Economics Department, National Bank of Belgium, Catholic University of Leuven (KUL) - Department of Economics, Banque Centrale du Luxembourg, Bank of Finland - Research, De Nederlandsche Bank, Bank of Portugal - Economic Research Department, European Central Bank (ECB) - Directorate General Research, Bank of Estonia, Croatian National Bank, Bank of Slovenia, Banque de France, European Central Bank (ECB), Deutsche Bundesbank - Economics Department, Bank of Greece, National Bank of Denmark, Banco de España, Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK), Magyar Nemzeti Bank, Deutsche Bundesbank and European Central Bank
Downloads 146 (276,942)
Citation 3

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financial cycles, synchronicity, real-time estimates, DSGE models

Real and Financial Cycles in EU Countries - Stylised Facts and Modelling Implications

ECB Occasional Paper No. 2018/205
Number of pages: 68 Posted: 09 Oct 2021
European Central Bank, Bank of Greece, European Central Bank (ECB), Bank of Latvia, Bank of Lithuania - Economics Department, National Bank of Belgium, National Bank of Belgium, Banque Centrale du Luxembourg, Bank of Finland - Research, De Nederlandsche Bank, Bank of Portugal - Economic Research Department, European Central Bank (ECB) - Directorate General Research, Bank of Estonia, Croatian National Bank, Bank of Slovenia, Banque de France, European Central Bank (ECB), Deutsche Bundesbank - Economics Department, Bank of Greece, National Bank of Denmark, Banco de España, Central Bank of Ireland, Magyar Nemzeti Bank, Deutsche Bundesbank and European Central Bank
Downloads 47 (548,415)

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DSGE models, financial cycles, real-time estimates, synchronicity

4.
Downloads 186 (225,570)
Citation 52

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), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 182 (229,947)
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), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 4 (887,244)
Citation 4
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

5.

Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data

Number of pages: 34 Posted: 20 Jan 2004
Franck Sédillot and Gerhard Rünstler
Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO) and European Central Bank
Downloads 160 (256,427)

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Conjunctural analysis, bridge equations, incomplete monthly information

6.

The Information Content of Real-Time Output Gap Estimates: An Application to the Euro Area

Number of pages: 45 Posted: 28 May 2003
Gerhard Rünstler
European Central Bank
Downloads 147 (274,621)
Citation 7

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Output gap, UOC models, Filtering and information, Inflation dynamics

7.

A Look into the Factor Model Black Box: Publication Lags and the Role of Hard and Soft Data in Forecasting GDP

ECB Working Paper No. 751
Number of pages: 36 Posted: 31 May 2007
Marta Banbura and Gerhard Rünstler
European Central Bank and European Central Bank
Downloads 142 (282,139)
Citation 4

Abstract:

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dynamic factor models, forecasting, filter weights

8.

Short-Term Forecasting of GDP Using Large Monthly Datasets - A Pseudo Real-Time Forecast Evaluation Exercise

ECB Occasional Paper No. 84
Number of pages: 25 Posted: 18 Jun 2008
University of Angers - Research Group in Quantitative Saving (GREQAM), European Central Bank (ECB), Bank of Italy, Sveriges Riksbank - Monetary Policy, Vytautas Magnus University, European University Institute, Bank of Portugal - Economic Research Department, European Central Bank, J. W. Goethe University Frankfurt and National Bank of Belgium
Downloads 136 (291,812)

Abstract:

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Bridge models, Dynamic factor models, real-time data flow

9.

On the Effectiveness of Macroprudential Policy

ECB Working Paper No. 2021/2559
Number of pages: 42 Posted: 01 Jun 2021
European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB), European Central Bank (ECB), Banco de España, European Central Bank and European Central Bank (ECB)
Downloads 102 (357,967)
Citation 1

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10.

Business, Housing and Credit Cycles

ECB Working Paper No. 1915
Number of pages: 50 Posted: 19 Jun 2016
Gerhard Rünstler and Marente Vlekke
European Central Bank and CPB Netherlands Bureau of Economic Policy Analysis
Downloads 98 (367,423)
Citation 19

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unobserved components models, model-based filters, financial cycles, credit cycle, house prices

11.

Identifying SVARS from Sparse Narrative Instruments: Dynamic Effects of U.S. Macroprudential Policies

Number of pages: 43 Posted: 07 Jan 2020
Katarzyna Barbara Budnik and Gerhard Rünstler
European Central Bank (ECB) and European Central Bank
Downloads 63 (472,051)

Abstract:

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Bayesian proxy VAR, capital requirements, discriminant analysis, mortgage underwriting standards, sign concordance

12.

A Narrative Database of Labour Market Reforms in Euro Area Economies

ECB Working Paper No. 2022/2657
Number of pages: 63 Posted: 18 Mar 2022
Romain Aumond, Valerio Di Tommaso and Gerhard Rünstler
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Northwestern University and European Central Bank
Downloads 43 (557,574)

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Employment Protection, Quarterly Indicators, Unemployment Benefits

13.

The Macroeconomic Impact of Euro Area Labour Market Reforms: Evidence from a Narrative Panel VAR

ECB Working Paper No. 2021/2592
Number of pages: 50 Posted: 02 Oct 2021
Gerhard Rünstler
European Central Bank
Downloads 41 (567,699)

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discriminant regression, employment protection legislation, narrative identification, unemployment benefits

14.

On the Design of Data Sets for Forecasting with Dynamic Factor Models

ECB Working Paper No. 1893
Number of pages: 32 Posted: 26 Apr 2016
Gerhard Rünstler
European Central Bank
Downloads 36 (594,312)

Abstract:

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Dynamic factor models, forecasting, variable selection, LARS

15.

Short-Term Forecasting of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise

Banque de France Working Paper No. 215
Number of pages: 29 Posted: 21 Sep 2010
affiliation not provided to SSRN, European Central Bank, Bank of Italy, Sveriges Riksbank - Monetary Policy, Vilnius university, European University Institute, Bank of Portugal - Economic Research Department, J. W. Goethe University Frankfurt, European Central Bank (ECB) and National Bank of Belgium
Downloads 35 (599,951)
Citation 7

Abstract:

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Bridge models, Dynamic factor models, real-time data flow

16.

Monetary Policy Transmission Over the Leverage Cycle: Evidence for the Euro Area

ECB Working Paper No. 20202421
Number of pages: 56 Posted: 17 Jun 2020
Gerhard Rünstler and Leonie Bräuer
European Central Bank and University of Geneva
Downloads 32 (617,574)
Citation 1

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Bayesian Threshold Panel VAR, financial cycle, monetary policy

17.

Network Dependence in the Euro Area Money Market

ECB Working Paper No. 1887
Number of pages: 27 Posted: 25 Apr 2016
Gerhard Rünstler
European Central Bank
Downloads 26 (656,963)

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Euro area money markets, financial crisis, network analysis, spatial regressions

18.

The Transmission Channels of Monetary, Macro- and Microprudential Policies and Their Interrelations

ECB Occasional Paper No. 191
Posted: 13 Jun 2017
European Central Bank (ECB), European Central Bank (ECB), Central Bank of Cyprus, European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)

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Central bank policies, non-standard measures, banking, financial regulation, DSGE models