EconPapers    
Economics at your fingertips  
 

Macro-financial linkages: the role of liquidity dependence

Alexey Ponomarenko, Anna Rozhkova () and Sergei Seleznev
Additional contact information
Anna Rozhkova: Bank of Russia, Russian Federation

No wps24, Bank of Russia Working Paper Series from Bank of Russia

Abstract: We estimate a panel Bayesian vector autoregression model for a cross-section of seven advanced European economies and produce out-of-sample forecasts of GDP conditionally on observed developments of interest rates and credit. We show that by using a smooth transition version of the model and allowing the parameters to vary across economies conditionally on their liquidity dependence, it is possible to improve the accuracy of the forecasts. We conclude that the degree of liquidity dependence is likely to be among the important predictors of heterogeneity in macro-financial linkages across countries.

Keywords: liquidity dependence; macro-financial linkages; Smooth Transition Bayesian VAR (search for similar items in EconPapers)
JEL-codes: G2 O16 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://cbr.ru/Content/Document/File/27865/wp_24_e.pdf (application/pdf)

Related works:
Working Paper: Macro-financial linkages: the role of liquidity dependence (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps24

Access Statistics for this paper

More papers in Bank of Russia Working Paper Series from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by BoR Research ().

 
Page updated 2020-01-15
Handle: RePEc:bkr:wpaper:wps24