Using panel data for 99 countries, we confirm that the measured elasticity of prices with respect to money is higher, and closer to unity, the higher is money growth and [...]

Standard Gaussian term structure models impose the Markov property: the conditional mean is a function of the risk factors. We relax this assumption and consider models w[...]

Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard imp[...]

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese[...]

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]

We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We u[...]

The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct mem[...]

The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP a[...]

We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers[...]