Sandra Eickmeier

Deutsche Bundesbank

Wilhelm-Epstein-Strasse 14

Frankfurt/Main D-60431

Germany

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

  • Deutsche Bundesbank

SCHOLARLY PAPERS

33

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476

Scholarly Papers (33)

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1.

Dynamic Factor Models

Downloads 875 (44,143)
Citation 26

Dynamic Factor Models

Journal of the German Statistical Society, Vol. 90, No. 1, pp. 27-40, 2006
Number of pages: 40 Posted: 30 Nov 2005
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 589 (73,535)

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Principal components, dynamic factors, forecasting

Dynamic Factor Models

Bundesbank Series 1 Discussion Paper No. 2005,38
Number of pages: 40 Posted: 08 Jun 2016
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 286 (169,887)
Citation 2

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Principal components, dynamic factors, forecasting

2.

Macroeconomic Factors and Micro-Level Bank Risk

Downloads 671 (63,187)
Citation 10

Macroeconomic Factors and Micro-Level Bank Risk

CESifo Working Paper Series No. 3194
Number of pages: 50 Posted: 08 Oct 2010
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 449 (102,732)

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FAVAR, bank risk, macro-finance linkages, monetary policy, microeconomic adjustment

Macroeconomic Factors and Micro-Level Bank Risk

Bundesbank Series 1 Discussion Paper No. 2010,20
Number of pages: 60 Posted: 08 Jun 2016
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 222 (218,860)
Citation 2

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FAVAR, bank risk, macro-finance linkages, monetary policy, microeconomic adjustment

3.

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

Downloads 320 (151,823)
Citation 6

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

CAMA Working Paper No. 43/2014
Number of pages: 44 Posted: 31 May 2014 Last Revised: 02 Jun 2014
Jörg Breitung and Sandra Eickmeier
University of Cologne and Deutsche Bundesbank
Downloads 221 (219,808)
Citation 9

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Factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

Bundesbank Discussion Paper No. 11/2014
Number of pages: 50 Posted: 21 Jun 2016
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Cologne
Downloads 99 (424,671)

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factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries

4.

Monetary Policy, Housing Booms and Financial (Im) Balances

Downloads 235 (207,848)
Citation 20

Monetary Policy, Housing Booms and Financial (Im) Balances

ECB Working Paper No. 1178
Number of pages: 68 Posted: 26 Apr 2010
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 191 (251,626)
Citation 18

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Monetary policy, asset prices, housing, private sector balance sheets, financial crisis, factor model

Monetary Policy, Housing Booms and Financial (Im)Balances

Bundesbank Series 1 Discussion Paper No. 2010,07
Number of pages: 80 Posted: 08 Jun 2016
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 44 (658,203)

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Monetary policy, asset prices, housing, private sector balance sheets, financial crisis, factor model

5.

How Good are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Downloads 219 (222,371)
Citation 7

How Good are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Number of pages: 38 Posted: 21 Dec 2006
Sandra Eickmeier, Christina Ziegler and Christina Ziegler
Deutsche Bundesbank and University of LeipzigCESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Downloads 176 (270,789)
Citation 10

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Factor models, forecasting, meta-analysis

How Good are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Bundesbank Series 1 Discussion Paper No. 2006,42
Number of pages: 60 Posted: 08 Jun 2016
Christina Ziegler, Christina Ziegler and Sandra Eickmeier
University of LeipzigCESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Deutsche Bundesbank
Downloads 43 (664,348)

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Factor models, forecasting, meta-analysis

6.

In Search for Yield? New Survey-Based Evidence on Bank Risk Taking

CESifo Working Paper Series No. 3375
Number of pages: 43 Posted: 24 Mar 2011
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 214 (227,224)
Citation 2

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FAVAR, bank risk taking, macro-finance linkages, monetary policy, commercial property prices

7.

Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area

Downloads 212 (229,219)
Citation 16

Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area

Bundesbank Discussion Paper Series No. 34/2006
Number of pages: 52 Posted: 22 Aug 2006
Sandra Eickmeier, Boris Hofmann and Andreas Worms
Deutsche Bundesbank, Bank for International Settlements (BIS) - Monetary and Economic Department and Deutsche Bundesbank, Economics Department
Downloads 184 (260,333)
Citation 10

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Business cycle fluctuations, bank lending, SVAR model, sign restrictions

Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area

Bundesbank Series 1 Discussion Paper No. 2006,34
Number of pages: 52 Posted: 08 Jun 2016
Sandra Eickmeier, Boris Hofmann and Andreas Worms
Deutsche Bundesbank, Bank for International Settlements (BIS) - Monetary and Economic Department and Deutsche Bundesbank, Economics Department
Downloads 28 (770,826)
Citation 8

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Business cycle fluctuations, bank lending, SVAR model, sign restrictions

8.

Time-Varying Volatility, Financial Intermediation and Monetary Policy

Downloads 202 (239,508)
Citation 24

Time-Varying Volatility, Financial Intermediation and Monetary Policy

Bundesbank Discussion Paper No. 46/2016
Number of pages: 49 Posted: 14 Dec 2016
Sandra Eickmeier, Norbert Metiu and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 137 (334,013)

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monetary policy, credit spread, non-linearity, intermediary leverage, financial accelerator

Time-Varying Volatility, Financial Intermediation and Monetary Policy

CAMA Working Paper No. 32/2016
Number of pages: 55 Posted: 01 Jun 2016
Sandra Eickmeier, Norbert Metiu and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 65 (547,598)
Citation 30

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Monetary policy, credit spread, non-linearity, intermediary leverage, financial accelerator

9.

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Downloads 184 (260,465)
Citation 13

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 179 (266,774)
Citation 8

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FAVAR, time-varying parameters, monetary transmission, forecasting

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 5 (980,363)
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FAVAR, forecasting, monetary transmission, time-varying parameters

10.

The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves

Downloads 182 (262,993)
Citation 25

The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves

ECB Working Paper No. 1011
Number of pages: 46 Posted: 06 Mar 2009
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 87 (462,008)

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Inflation, globalization, Phillips curves, factor models, monetary policy rules

The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves

Number of pages: 36 Posted: 01 Sep 2008
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 75 (505,514)
Citation 5

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inflation, globalization, Phillips curves, factor models, monetary policy rules

The Global Dimension of Inflation: Evidence from Factor-Augmented Phillips Curves

Bundesbank Series 1 Discussion Paper No. 2008,16
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 20 (838,684)
Citation 6

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Inflation, globalization, Phillips curves, factor models, monetary policy rules

11.

Macroeconomic Effects of Bank Capital Regulation

Deutsche Bundesbank Discussion Paper No. 44/2018
Number of pages: 76 Posted: 07 Dec 2018 Last Revised: 18 Nov 2021
Sandra Eickmeier, Benedikt Kolb and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 166 (284,796)
Citation 1

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Narrative Approach, Bank Capital Requirements, Local Projections

12.

How Synchronized are New EU Member States with the Euro Area? Evidence from a Structural Factor Model

Downloads 161 (292,167)
Citation 9

How Synchronized are New EU Member States with the Euro Area? Evidence from a Structural Factor Model

Bundesbank Discussion Paper No. 20/2005
Number of pages: 33 Posted: 01 Jun 2005
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 161 (292,401)
Citation 9

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Dynamic factor models, international business cycles, EMU enlargement, sign restrictions

How Synchronized are New EU Member States With the Euro Area? Evidence from a Structural Factor Model

Journal of Comparative Economics, Vol. 34, pp. 538-563, 2006
Posted: 08 Aug 2006
Sandra Eickmeier
Deutsche Bundesbank

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Dynamic factor models, international business cycles, EMU enlargement, sign restrictions

13.

Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Downloads 161 (292,167)
Citation 10

Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Bundesbank Discussion Paper No. 02/2005
Number of pages: 36 Posted: 01 Jun 2005
Sandra Eickmeier
Deutsche Bundesbank
Downloads 125 (358,398)
Citation 19

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Dynamic factor models, factor rotation, common trends, international business cycles, international transmission channels

Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Bundesbank Series 1 Discussion Paper No. 2005,02
Number of pages: 56 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 36 (710,839)
Citation 1

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Dynamic factor models, factor rotation, common trends, international business cycles, international transmission channels

14.

Financial Shocks and Inflation Dynamics

Downloads 159 (295,356)
Citation 7

Financial Shocks and Inflation Dynamics

Bundesbank Discussion Paper No. 41/2016
Number of pages: 40 Posted: 25 Oct 2016
Angela Abbate, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 124 (360,626)

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financial shocks, inflation dynamics, monetary policy, financial frictions, cost channel, sign restrictions

Financial Shocks and Inflation Dynamics

CAMA Working Paper No. 53/2016
Number of pages: 38 Posted: 02 Sep 2016 Last Revised: 29 Sep 2016
Angela Abbate, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 35 (717,827)
Citation 8

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Financial Shocks, Inflation Dynamics, Monetary Policy, Financial Frictions, Cost Channel, Sign Restrictions

15.

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Downloads 151 (308,246)
Citation 6

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 147 (315,669)

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international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and Bocconi University - Department of Economics
Downloads 4 (989,156)
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financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

16.

Understanding Global Liquidity

Downloads 141 (325,647)
Citation 31

Understanding Global Liquidity

BIS Working Paper No. 402
Number of pages: 36 Posted: 12 Apr 2013
Sandra Eickmeier, Leonardo Gambacorta and Boris Hofmann
Deutsche Bundesbank, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 101 (418,774)
Citation 12

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global liquidity, monetary policy, credit supply, credit demand, international business cycles, factor model, sign restrictions

Understanding Global Liquidity

Bundesbank Discussion Paper No. 03/2013
Number of pages: 40 Posted: 21 Jun 2016
Sandra Eickmeier, Leonardo Gambacorta and Boris Hofmann
Deutsche Bundesbank, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 40 (683,492)
Citation 2

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global liquidity, monetary policy, credit supply, credit demand, international business cycles, factor model, sign restrictions

17.

Business Cycle Transmission from the Us to Germany - a Structural Factor Approach

Downloads 134 (338,986)
Citation 16

Business Cycle Transmission from the Us to Germany - a Structural Factor Approach

Bundesbank Discussion Paper No. 12/2004
Number of pages: 36 Posted: 01 Jun 2005
Sandra Eickmeier
Deutsche Bundesbank
Downloads 118 (374,194)
Citation 14

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International business International business cycles, international transmission channels, dynamic factor models, shock identification

Business Cycle Transmission from the US to Germany: A Structural Factor Approach

Bundesbank Series 1 Discussion Paper No. 2004,12
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 16 (875,999)
Citation 2

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International business cycles, international transmission channels, dynamic factor models, structural VAR techniques

18.

How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach

Downloads 121 (365,760)
Citation 72

How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach

Bundesbank Series 1 Discussion Paper No. 2011,27
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 114 (383,736)
Citation 34

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international business cycles, credit supply shocks, trade and financial integration, Global VAR, sign restrictions

How do Credit Supply Shocks Propagate Internationally? A GVAR Approach

CEPR Discussion Paper No. DP8720
Number of pages: 48 Posted: 22 Dec 2011
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 7 (962,305)
Citation 18
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credit supply shocks, global VAR, international business cycles, sign restrictions, trade and financial integration

19.

Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Dynamic Factor Model

Downloads 116 (377,070)

Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Dynamic Factor Model

Bundesbank Discussion Paper No. 31/2006 (revised)
Number of pages: 49 Posted: 08 Aug 2006
Sandra Eickmeier
Deutsche Bundesbank
Downloads 116 (378,893)
Citation 9

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Dynamic factor models, sign restrictions, common trends, common cycles, international business cycles, EMU, output and inflation differentials, inflation persistence, monetary policy

Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Dynamic Factor Model

Journal of Applied Econometrics, Forthcoming
Posted: 03 Sep 2008
Sandra Eickmeier
Deutsche Bundesbank

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dynamic factor models, sign restrictions, common trends, international business cycles, EMU, output and inflation differentials, monetary policy

20.

China's Role in Global Inflation Dynamics

Bundesbank Discussion Paper No. 07/2013
Number of pages: 49 Posted: 21 Jun 2016
Sandra Eickmeier and Markus Kühnlenz
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 96 (430,257)
Citation 3

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global inflation, China, international business cycles, structural dynamic factor model, sign restrictions

21.

Effects of Bank Capital Requirement Tightenings on Inequality

Downloads 74 (503,375)
Citation 2

Effects of Bank Capital Requirement Tightenings on Inequality

Deutsche Bundesbank Discussion Paper No. 54/2018
Number of pages: 18 Posted: 11 Feb 2019 Last Revised: 18 Nov 2021
Sandra Eickmeier, Benedikt Kolb and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 52 (611,900)
Citation 1

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Narrative Approach, Bank Capital Requirements, Local Projections, Inequality

Effects of Bank Capital Requirement Tightenings on Inequality

CAMA Working Paper No. 43/2018
Number of pages: 16 Posted: 21 Sep 2018
Sandra Eickmeier, Benedikt Kolb and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 22 (820,980)
Citation 1

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Narrative Approach, Bank Capital Requirements, Local Projections, Inequality

22.

Monetary Policy and the Oil Futures Market

Downloads 74 (503,375)

Monetary Policy and the Oil Futures Market

Number of pages: 32 Posted: 20 Jun 2013
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 45 (651,992)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

Monetary Policy and the Oil Futures Market

Bundesbank Discussion Paper No. 35/2012
Number of pages: 32 Posted: 21 Jun 2016
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 29 (762,882)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

23.

What Drives Inflation? Disentangling Demand and Supply Factors

Downloads 71 (515,088)

What Drives Inflation? Disentangling Demand and Supply Factors

Deutsche Bundesbank Discussion Paper No. 46/2022
Number of pages: 1 Posted: 14 Jan 2023
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 59 (575,705)

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inflation, aggregate demand and supply, factor model, sign restrictions, monetary policy

What Drives Inflation? Disentangling Demand and Supply Factors

Number of pages: 43 Posted: 09 Mar 2023
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 12 (914,285)

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inflation, aggregate demand and supply, factor model, sign restrictions, monetary policy

24.

In Search for Yield? Survey-Based Evidence on Bank Risk Taking

Bundesbank Series 1 Discussion Paper No. 2011,10
Number of pages: 60 Posted: 08 Jun 2016
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 65 (539,608)
Citation 11

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FAVAR, bank risk taking, macro-finance linkages, monetary policy, commercial property prices

25.

The Macroeconomic Effects of Bank Capital Requirement Tightenings: Evidence from a Narrative Approach

CAMA Working Paper No. 42/2018
Number of pages: 74 Posted: 21 Sep 2018
Sandra Eickmeier, Benedikt Kolb and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 52 (600,203)
Citation 4

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Narrative Approach, Bank Capital Requirements, Local Projections

26.

Testing for Structural Breaks in Dynamic Factor Models

Bundesbank Series 1 Discussion Paper No. 2009,05
Number of pages: 68 Posted: 08 Jun 2016
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 52 (600,203)
Citation 11

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Dynamic factor models, structural breaks, number of factors, Great Moderation, EMU

27.

The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis

Bundesbank Discussion Paper No. 10/2015
Number of pages: 58 Posted: 21 Jun 2016
Julia von Borstel, Julia von Borstel, Sandra Eickmeier and Leo Krippner
Deutsche BundesbankUniversity of the German Federal Armed Forces - Helmut Schmidt Universität, Deutsche Bundesbank and Reserve Bank of New Zealand
Downloads 45 (637,643)
Citation 8

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interest rate pass-through, factor model, sovereign debt crisis, unconventional monetary policy

28.

Analyse Der Übertragung Us-Amerikanischer Schocks Auf Deutschland Auf Basis Eines FAVAR

Bundesbank Series 1 Discussion Paper No. 2009,35
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 36 (692,195)

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International business cycles, factor models, trade, financial market integration

29.

Time Variation in Macro-Financial Linkages

Bundesbank Discussion Paper No. 13/2013
Number of pages: 54 Posted: 21 Jun 2016
Esteban Prieto, Sandra Eickmeier and Massimiliano Giuseppe Marcellino
affiliation not provided to SSRN, Deutsche Bundesbank and Bocconi University - Department of Economics
Downloads 35 (698,675)
Citation 7

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financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

30.

Forecasting National Activity Using Lots of International Predictors: An Application to New Zealand

Bundesbank Series 1 Discussion Paper No. 2009,11
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 26 (762,961)
Citation 3

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Forecasting, factor models, shrinkage methods, principal components, targeted predictors, weighted principal components, partial least squares

31.

Comovements and Heterogeneity in the Comovements and Heterogeneity in the Dynamic Factor Model

Bundesbank Series 1 Discussion Paper No. 2006,31
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 25 (770,835)

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Dynamic factor models, sign restrictions, common trends, common cycles, international business cycles, EMU, output and inflation differentials

32.

How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor Model

Bundesbank Series 1 Discussion Paper No. 2005,20
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 16 (846,263)

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Dynamic factor models, international business cycles, EMU enlargement, counterfactual experiment

33.

How Successful are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Journal of Forecasting, Forthcoming
Posted: 07 Sep 2007
Sandra Eickmeier, Christina Ziegler and Christina Ziegler
Deutsche Bundesbank and University of LeipzigCESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

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Factor models, forecasting, meta-analysis

Other Papers (1)

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1.

Business Cycle Transmission from the Us to Germany - a Structural Factor Approach

European Economic Review, Vol. 51, No. 3, pp. 521-551
Posted: 08 Aug 2006
Sandra Eickmeier
Deutsche Bundesbank

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International business International business cycles, international transmission channels, dynamic factor models, shock identification