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Daily forecast, Liquidity Management, Time Series models, Seasonality, Cubic Splines
Price stability, inflation costs and benefits, downward nominal rigidities, inflation differentials, deflation
Forecasting, Monetary Policy, Factor Model, Real Time Data, Large datasets, News
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data
Output gap; Forecasting Inflation; Time Series models
excess reserves, monetary policy implementation, liquidity management
Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares
Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares
multiple time series, model specification, tests of rank
sovereign credit risk, CDS spreads, probability of default, loss given default, Poland
sovereign credit risk, CDS spreads, probability of default, loss given default
bank interest rate setting, bank financing, non-standard monetary policy and euro area crisis
sovereign credit risk, CDS spreads, euro area, probability of default
sovereign credit risk, CDS spreads, euro area, probability of default, loss given default
tests of rank, spectral density matrix
monetary policy implementation, risk control framework of credit operations, valuation haircuts
ECB Monetary Policy, Euro Area, Global Financial Crisis, Monetary Policy Transmission, Credit Easing, Quantitative Easing, Non-Standard Measures, Financial Fragmentation, and Financial Stability
inflation risks, portfolio choice, yields
Structural Deficit Ratio, State Space Modelling, Interpolation
Core Inflation, Dynamic Factor Models, Forecasting
Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo
Inflation and Money
Tests of Rank, Spectral Density Matrix, Canonical Correlations
Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator
bank debt issuance, collateral, crisis, monetary policy
bank loan pricing, bank financing, market fragmentation
Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models
