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  1. NiReMS
    a regional model at household level combining spatial econometrics with dynamic microsimulation
    Autor*in: Bhattacharjee, Arnab; Pabst, Adrian; Szendrei, Tibor; Hewings, Geoffrey
    Erschienen: February 2023
    Verlag:  National Institute of Economic and Social Research, London

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    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 538
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: NIESR discussion paper ; no. 547 (23 February 2023)
    Schlagworte: Microsimulation; Heterogenous Agents; Universal Credit; Spatial econometrics; Structural macroeconomic models
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. FISS
    a factor based index of systemic stress in the financial system = FSI : faktor alapú pénzügyi stressz index
    Autor*in: Szendrei, Tibor; Varga, Katalin
    Erschienen: August 2017
    Verlag:  Magyar Nemzeti Bank, Budapest

    Tracking and monitoring stress within the financial system is a key component of macroprudential policy. This paper introduces a new measure of contemporaneous stress: the Factor based Index of Systemic Stress (FISS). The aim of the index is to... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 200 (2017,9)
    Fernleihe:
    keine Fernleihe

     

    Tracking and monitoring stress within the financial system is a key component of macroprudential policy. This paper introduces a new measure of contemporaneous stress: the Factor based Index of Systemic Stress (FISS). The aim of the index is to capture the common components of data describing the financial system. This new index is calculated with a dynamic Bayesian factor model methodology, which compresses the available high frequency and high dimensional dataset into stochastic trends. Aggregating the extracted 4 factors into a single index is possible in a multitude of ways but averaging yields satisfactory results. The contribution of the paper is the usage of the dynamic Bayesian framework to measure financial stress, as well as producing the measure in a timely manner without the need for deep option markets. Applied to Hungarian data the FISS is planned to be a key element of the macroprudential toolkit.

     
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    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/189892
    Schriftenreihe: MNB working papers ; 2017, 9
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  3. The cyclical position of housing prices
    a VECM approach for Hungary = A lakásárak ciklikus pozíciója
    Autor*in: Berki, Tamás; Szendrei, Tibor
    Erschienen: February 2017
    Verlag:  Magyar Nemzeti Bank, Budapest

    This paper aims to estimate a long-term equilibrium price level for the Hungarian housing market by identifying key underlying macroeconomic factors. For this, in line with the empirical literature, a vector error correction model is employed. The... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 199 (126)
    Fernleihe:
    keine Fernleihe

     

    This paper aims to estimate a long-term equilibrium price level for the Hungarian housing market by identifying key underlying macroeconomic factors. For this, in line with the empirical literature, a vector error correction model is employed. The housing market price level is mapped by the newly established MNB housing price index. The results establish one stable cointegrating relationship between the housing prices and its longterm driving factors: average new housing loans, disposable income and housing stock. Credit channel plays a decisive role in determining equilibrium level of housing prices. Housing prices exhibit overshooting to various shocks potentially due to the protracted supply side adjustment. Due to the short sample size the estimated price gap might be underestimated in magnitude; nevertheless the fairly slow price adjustment coefficient ensures a persistent gap. Therefore, the sign of the estimated price gap is informative for policy makers from a macroprudential perspective.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/173448
    Schriftenreihe: MNB occasional papers ; 126
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen