Template-Type: ReDIF-Paper 1.0
Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru


Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Anna Rozhkova
Author-Email: RozhkovaAM@cbr.ru


Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Sergei Seleznev
Author-Email: SeleznevSM@cbr.ru


Author-Workplace-Name: Bank of Russia, Russian Federation




Title: Macro-financial linkages: the role of liquidity dependence

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.


Length: 29 pages
Creation-Date: 2017-12
Revision-Date:
Publication-Status:
File-URL: http://cbr.ru/Content/Document/File/87558/wp_24_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps24
Classification-JEL: G2, o16, C32.
Keywords: liquidity dependence, macro-financial linkages, Smooth Transition Bayesian VAR 
Handle:RePEc:bkr:wpaper:wps24