A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both possible dynamics in the Desk's daily operations and for day-to-day time varying responses of the Desk to changing conditions in the reserves markets and in the short-term interest rates. Ensuing computational complications are overcome by employing Markov Chain Monte Carlo techniques for the estimation of the model. The results reveal a rich pattern of dynamic behavior by the Open Market Desk both inside the maintenance period and across maintenance periods and point towards a Desk which is highly adaptable to evolving conditions both in the economy in general and in the market for reserves in particularReserves, Federal Funds Rate, Open Market Operations, Open Market Desk, Censored Models, Data Augmentation, Markov Chain Monte Carlo, Gibbs Sampling, Time-Varying Parameter Models

Growth forecasts using time series and growth models

The authors consider two alternative methods of forecasting real per capita GDP at various horizons: 1) univariate time series models estimated country by country; and 2) cross-country growth regressions. They evaluate the out-of-sample forecasting performance of both approaches for a large sample of industrial and developing countries. They find only modest differences between the two approaches. In almost all cases, differences in median (across countries) forecast performance are small relative to the large discrepancies between forecasts and actual outcomes. Interestingly, the performance of both models is similar to that of forecasts generated by the World Bank's Unified Survey. The results do not provide a compelling case for one approach over another, but they do indicate that there are potential gains from combining time series and growth-regression-based forecasting approaches.Statistical&Mathematical Sciences,Economic Theory&Research,Scientific Research&Science Parks,Educational Technology and Distance Education,Public Health Promotion,Economic Forecasting,Economic Theory&Research,Achieving Shared Growth,Scientific Research&Science Parks,Science Education

The challenge of restoring debt sustainability in a deep economic recession: the case of Greece

The present paper studies the evolution of the Greek public debt ratio under different assumptions regarding the size and the degree of persistence of fiscal multiplies, the implementation profile of the applied fiscal adjustment and the response of financial markets to fiscal consolidation. The main results of our simulation exercise can be summarized as follows: a) taking into account Greece’s present debt ratio, a fiscal adjustment can lead to a contemporaneous increase in the ratio if the fiscal multiplier is higher than ca 0.5; b) despite the unprecedented improvement in the underlying fiscal position since 2010, the concomitant increase in the public debt ratio can be mainly attributed to its high initial level, a very wide initial structural deficit as well as the ensuing economic recession; c) notwithstanding its negative initial effects on domestic economic activity, the enormous fiscal effort undertaken over the last 5 years leaves the country’s debt ratio in a more sustainable path relative to a range of alternative scenarios assuming no adjustment or a more gradual implementat

On the effect of varying spectral conditions on amorphous silicon solar cell performance

An opto-electrical modelling platform has been designed to model the effects of illumination spectra on amorphous silicon solar cells of different i-layer thickness and degradation state. The illumination spectra, which were investigated in this work, are solar simulator spectra and solar spectra recorded outdoors at CREST, Loughborough. These spectra are used to probe the effect of spectral variation on a-Si:H solar cell performance and its co-dependence with the state of the device. For the case of indoor evaluation of performance of a-Si:H solar cells, it is shown that the performance of the device remains relative to the illumination source of the solar simulator. Spectra with Average Photon Energy (APE) higher than AM1.5G tend to overestimate the performance parameters (JSC, MPP, VOC) of the device, while spectra with APE lower than AM1.5G tend to underestimate the values of the performance parameters of the device. The maximum power deviation of most class-A solar simulators is less than 1% of the actual STC values, but the performance deviation may arise up to 4% for the case of LED light sources. It is suggested to apply voltage dependant corrections to the J-V characteristics, whenever the spectral mismatch between the illumination spectra and AM1.5G is significant. The effects of outdoor spectral variation on the performance of a-Si:H solar cells has been investigated. The results show that light intensity is primarily responsible for a- Si:H outdoor performance. The APE of the outdoor spectra is also identified a significant factor for the variation of performance. The magnitude of maximum power deviations due to APE changes is in the range of ±3% as compared to power output of the device under the AM1.5G spectrum. The percentage of performance variation to STC differed for a-Si:H solar cells of different i-layer thickness and level of degradation. Specifically devices with thicker i-layer, which have suffered degradation, are prone to performance variations. Finally, the energy yield and the performance ratio of amorphous silicon solar cells were reviewed in respect to outdoor spectral changes. The performance ratio is a useful method for cases where prediction of power output is necessary. However, it is suggested that PV modules should be rated on the basis of their annual energy yield, when possible

Dynamic Limited Dependent Variable Modeling and US Monetary Policy

I estimate, using real-time data, a forward-looking monetary policy reaction function that is dynamic and that also accounts for the fact that there are substantial restrictions in the period-to-period changes of the Fed's policy instrument. I find a substantial contrast between the periods before and after Paul Volcker's appointment as Fed Chairman in 1979, both in terms of the Fed's response to expected inflation and in terms of its response to the (perceived) output gap: In the pre-Volcker era the Fed's response to inflation was substantially weaker than in the Volcker-Greenspan era; conversely, the Fed seems to have been more responsive to real activity in the pre-Volcker era than later

Nowcasting in Real Time Using Popularity Priors

This paper proposes a Bayesian nowcasting approach that utilizes information coming both from large real-time data sets and from priors constructed using internet search popularity measures. Exploiting rich information sets has been shown to deliver significant gains in nowcasting contexts, whereas popularity priors can lead to better nowcasts in the face of model and data uncertainty in real time, challenges which can be particularly relevant during turning points. It is shown, for a period centered on the latest recession in the United States, that this approach has the potential to deliver particularly good real-time nowcasts of GDP growth

On the effect of varying spectral conditions on amorphous silicon solar cell performance

An opto-electrical modelling platform has been designed to model the effects of illumination spectra on amorphous silicon solar cells of different i-layer thickness and degradation state. The illumination spectra, which were investigated in this work, are solar simulator spectra and solar spectra recorded outdoors at CREST, Loughborough. These spectra are used to probe the effect of spectral variation on a-Si:H solar cell performance and its co-dependence with the state of the device. For the case of indoor evaluation of performance of a-Si:H solar cells, it is shown that the performance of the device remains relative to the illumination source of the solar simulator. Spectra with Average Photon Energy (APE) higher than AM1.5G tend to overestimate the performance parameters (JSC, MPP, VOC) of the device, while spectra with APE lower than AM1.5G tend to underestimate the values of the performance parameters of the device. The maximum power deviation of most class-A solar simulators is less than 1% of the actual STC values, but the performance deviation may arise up to 4% for the case of LED light sources. It is suggested to apply voltage dependant corrections to the J-V characteristics, whenever the spectral mismatch between the illumination spectra and AM1.5G is significant. The effects of outdoor spectral variation on the performance of a-Si:H solar cells has been investigated. The results show that light intensity is primarily responsible for a- Si:H outdoor performance. The APE of the outdoor spectra is also identified a significant factor for the variation of performance. The magnitude of maximum power deviations due to APE changes is in the range of ±3% as compared to power output of the device under the AM1.5G spectrum. The percentage of performance variation to STC differed for a-Si:H solar cells of different i-layer thickness and level of degradation. Specifically devices with thicker i-layer, which have suffered degradation, are prone to performance variations. Finally, the energy yield and the performance ratio of amorphous silicon solar cells were reviewed in respect to outdoor spectral changes. The performance ratio is a useful method for cases where prediction of power output is necessary. However, it is suggested that PV modules should be rated on the basis of their annual energy yield, when possible.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Nowcasting in Real Time Using Popularity Priors

This paper proposes a Bayesian nowcasting approach that utilizes information coming both from large real-time data sets and from priors constructed using internet search popularity measures. Exploiting rich information sets has been shown to deliver significant gains in nowcasting contexts, whereas popularity priors can lead to better nowcasts in the face of model and data uncertainty in real time, challenges which can be particularly relevant during turning points. It is shown, for a period centered on the latest recession in the United States, that this approach has the potential to deliver particularly good real-time nowcasts of GDP growth

Explaining non-performing loans in Greece: a comparative study on the effects of recession and banking practices

Using a new dataset of macroeconomic and banking-related variables we attempt to explain the evolution of “bad” loans in Greece over the period 2005-2015. Our findings suggest that the primary cause of the sharp increase in non-performing loans (NPLs) following the outbreak of the sovereign debt crisis can be mainly attributed to the unprecedented contraction of domestic economic activity and the subsequent rise in unemployment. Furthermore, our results offer no empirical evidence in support of a range of examined hypotheses assuming overly aggressive lending practices by major Greek credit institutions or any systematic efforts to boost current earnings by extending credit to lower credit quality clients. We find that the transmission of macroeconomic shocks to NPLs takes place relatively fast, with the estimated magnitude of the respective responses being broadly comparable with that documented in some earlier studies for other euro area periphery economies. Overall, our results support a swift implementation of reforms agreed with official lenders in the context of the new (3rd) bailout programme. These envisage the modernization the county’s private sector insolvency framework and the creation of a more efficient model for the management of NPLs. A vigorous implementation of these reforms is key for allowing a resumption of positive credit creation, by freeing up valuable resources that are currently trapped in unproductive sectors of the domestic economy. This, in turn, would facilitate a speedier return to positive economic growth and a gradual reduction in unemployment

The determinants of loan loss provisions:an analysis of the Greek banking systemin light of the sovereign debt crisis

We utilize a new set of macroeconomic and regulatory data to analyze the evolution of loan loss provisioning practices in the Greek banking system over the period 2005-2015. We explore the determinants of the aggregate loan loss reserves to total loans ratio, which reflects the accumulation of provisions net of write-offs, and constitutes an important metric of the credit quality of loan portfolios. Our results suggest that domestic credit institutions respond relatively quickly to macroeconomic shocks, though the latter’s effects on the provisioning behavior of the domestic banking system show significant persistence. Furthermore, the impact of macroeconomic shocks on the loan loss reserves ratio has become stronger (both in terms of magnitude and statistical significance) following the outbreak of the Greek sovereign debt crisis. From a macro policy perspective, this result indicates that a sustainable stabilization of macroeconomic conditions is a key precondition for safeguarding domestic financial stability. For a regulatory standpoint, it suggests that the possibility of macroeconomic regime-related effects on banks’ provisioning policies should be taken into account when macro prudential stress tests of the banking system are designed and implemented