Details about Gonzalo Camba-Mendez

Access statistics for papers by Gonzalo Camba-Mendez.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pca1255

Working Papers

2023

1. The valuation haircuts applied to eligible marketable assets for ECB credit operations
   Occasional Paper Series, European Central Bank View citations (1)

2021

2. Risk aversion and bank loan pricing
   Working Paper Series, European Central Bank View citations (1)
   See also Journal Article Risk aversion and bank loan pricing, Economics Letters, Elsevier (2021) View citations (1) (2021)

2020

3. On the inflation risks embedded in sovereign bond yields
   Working Paper Series, European Central Bank

2017

4. The inflation risk premium in the post-Lehman period
   Working Paper Series, European Central Bank View citations (23)

2016

5. Bank interest rate setting in the euro area during the Great Recession
   Working Paper Series, European Central Bank View citations (5)
6. Pricing sovereign credit risk of an emerging market
   Working Paper Series, European Central Bank View citations (1)
   Also in NBP Working Papers, Narodowy Bank Polski (2014)

2015

7. An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies
   Working Paper Series, European Central Bank View citations (2)

2014

8. Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach
   Working Paper Series, European Central Bank View citations (5)
9. Market perception of sovereign credit risk in the euro area during the financial crisis
   Working Paper Series, European Central Bank View citations (12)
   Also in NBP Working Papers, Narodowy Bank Polski (2014) View citations (10)
   See also Journal Article Market perception of sovereign credit risk in the euro area during the financial crisis, The North American Journal of Economics and Finance, Elsevier (2016) View citations (8) (2016)

2008

10. Short-Term Forecasts of Euro Area GDP Growth
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (50)
    Also in Working Paper Series, European Central Bank (2008) View citations (53)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (62)
    See also Journal Article Short‐term forecasts of euro area GDP growth, Econometrics Journal, Royal Economic Society (2011) View citations (104) (2011)
11. Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling
    Working Paper Series, European Central Bank View citations (6)
    See also Journal Article Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling, Econometric Reviews, Taylor & Francis Journals (2009) View citations (15) (2009)

2005

12. Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling
    Working Papers, Queen Mary University of London, School of Economics and Finance
13. Structural filters for monetary analysis: the inflationary movements of money in the euro area
    Working Paper Series, European Central Bank View citations (46)

2004

14. Estimating the rank of the spectral density matrix
    Working Paper Series, European Central Bank
    See also Journal Article Estimating the Rank of the Spectral Density Matrix, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (3) (2005)
15. Excess reserves and implementation of monetary policy of the ECB
    Working Paper Series, European Central Bank View citations (10)
    See also Journal Article Excess reserves and the implementation of monetary policy of the ECB, Journal of Policy Modeling, Elsevier (2006) View citations (20) (2006)
16. Forecasting euro area inflation using dynamic factor measures of underlying inflation
    Working Paper Series, European Central Bank View citations (7)
    See also Journal Article Forecasting euro area inflation using dynamic factor measures of underlying inflation, Journal of Forecasting, John Wiley & Sons, Ltd. (2005) View citations (20) (2005)

2003

17. Relevant economic issues concerning the optimal rate of inflation
    Working Paper Series, European Central Bank View citations (31)
18. What Determines Industrial R&D Expenditure in the UK?
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research

2002

19. Bootstrap Statistical Tests of Rank Determination for System Identification
    Working Papers, Queen Mary University of London, School of Economics and Finance
20. Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
    Working Papers, Banco de España View citations (17)
    Also in Working Paper Series, European Central Bank (2002) View citations (21)
    See also Journal Article Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank, Journal of Forecasting, John Wiley & Sons, Ltd. (2009) View citations (6) (2009)
21. Short-term monitoring of fiscal policy discipline
    Working Paper Series, European Central Bank View citations (6)
    See also Journal Article Short-term monitoring of fiscal policy discipline, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2004) View citations (12) (2004)

2001

22. Assessemt Criteria for Output Gap Estimates
    Working Papers, Quebec a Montreal - Recherche en gestion View citations (2)
    Also in Working Paper Series, European Central Bank (2001) View citations (21)
    See also Journal Article Assessment criteria for output gap estimates, Economic Modelling, Elsevier (2003) View citations (59) (2003)
23. Spectral based methods to identify common trends and common cycles
    Working Paper Series, European Central Bank View citations (10)
24. Testing the rank of the Hankel matrix: a statistical approach
    Working Paper Series, European Central Bank View citations (19)

1999

25. A Bootstrap Test of Cointegration Rank
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (1)
26. The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (5)

1998

27. Can real equilibrium models account for the fluctuations of the UK business cycle?
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research
28. UK Consumption in the long run: the determinants of consumer spending 1925-1995
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (1)

Journal Articles

2021

1. Risk aversion and bank loan pricing
   Economics Letters, 2021, 200, (C) View citations (1)
   See also Working Paper Risk aversion and bank loan pricing, Working Paper Series (2021) View citations (1) (2021)

2018

2. The Financial Crisis and Policy Responses in Europe (2007–2018)
   Comparative Economic Studies, 2018, 60, (4), 531-558 View citations (3)
3. The recent slowdown in euro area output growth reflects both cyclical and temporary factors
   Economic Bulletin Boxes, 2018, 4 View citations (1)

2016

4. Market perception of sovereign credit risk in the euro area during the financial crisis
   The North American Journal of Economics and Finance, 2016, 37, (C), 168-189 View citations (8)
   See also Working Paper Market perception of sovereign credit risk in the euro area during the financial crisis, Working Paper Series (2014) View citations (12) (2014)
5. Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market
   Emerging Markets Finance and Trade, 2016, 52, (12), 2687-2705 View citations (1)

2012

6. Conditional forecasts on SVAR models using the Kalman filter
   Economics Letters, 2012, 115, (3), 376-378 View citations (15)

2011

7. Short‐term forecasts of euro area GDP growth
   Econometrics Journal, 2011, 14, (1), C25-C44 View citations (104)
   Also in Econometrics Journal, 2011, 14, C25-C44 (2011) View citations (81)
   See also Working Paper Short-Term Forecasts of Euro Area GDP Growth, Working Papers ECARES (2008) View citations (50) (2008)

2009

8. Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
   Journal of Forecasting, 2009, 28, (3), 194-217 View citations (6)
   See also Working Paper Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank, Working Papers (2002) View citations (17) (2002)
9. Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
   Econometric Reviews, 2009, 28, (6), 581-611 View citations (15)
   See also Working Paper Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling, Working Paper Series (2008) View citations (6) (2008)

2006

10. Excess reserves and the implementation of monetary policy of the ECB
    Journal of Policy Modeling, 2006, 28, (5), 491-510 View citations (20)
    See also Working Paper Excess reserves and implementation of monetary policy of the ECB, Working Paper Series (2004) View citations (10) (2004)

2005

11. Estimating the Rank of the Spectral Density Matrix
    Journal of Time Series Analysis, 2005, 26, (1), 37-48 View citations (3)
    See also Working Paper Estimating the rank of the spectral density matrix, Working Paper Series (2004) (2004)
12. Forecasting euro area inflation using dynamic factor measures of underlying inflation
    Journal of Forecasting, 2005, 24, (7), 491-503 View citations (20)
    See also Working Paper Forecasting euro area inflation using dynamic factor measures of underlying inflation, Working Paper Series (2004) View citations (7) (2004)

2004

13. Short-term monitoring of fiscal policy discipline
    Journal of Applied Econometrics, 2004, 19, (2), 247-265 View citations (12)
    See also Working Paper Short-term monitoring of fiscal policy discipline, Working Paper Series (2002) View citations (6) (2002)

2003

14. Assessment criteria for output gap estimates
    Economic Modelling, 2003, 20, (3), 529-562 View citations (59)
    See also Working Paper Assessemt Criteria for Output Gap Estimates, Working Papers (2001) View citations (2) (2001)
15. Tests of Rank in Reduced Rank Regression Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 145-55 View citations (20)

2001

16. An automatic leading indicator of economic activity: forecasting GDP growth for European countries
    Econometrics Journal, 2001, 4, (1), 37 View citations (81)

1998

17. Filtered least squares and measurement error
    Economics Letters, 1998, 59, (2), 163-168 View citations (1)