ListarCOFIN_Articles por tema "particle filter"

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    • openAccess   Disentangling permanent and transitory monetary shocks with a nonlinear Taylor rule 

      Lafuente-Luengo, Juan Angel; Monfort Bellido, Mercedes; Pérez, Rafaela; Ruiz, Jesus De Gruyter (2021)
      This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation ...

    • closedAccess   Dissecting interbank risk using basis swap spreads 

      Lafuente-Luengo, Juan Angel; Petit, Nuria; Ruiz, Jesus; Serrano, Pedro Wiley (2019)
      This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To identify ...