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Giorgia De Nora
- 10 October 2022
- MACROPRUDENTIAL BULLETIN - FOCUSMacroprudential Bulletin Issue 19, 2022Details
- Abstract
- For a comprehensive RRE risk assessment and to set macroprudential measures targeting RRE, it is important to understand the main drivers of RRE developments and the implications of the various scenarios for the RRE market outlook. In this focus, we propose a model framework based on Bayesian vector autoregressions to shed more light on these issues.
- JEL Code
- C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
R30 : Urban, Rural, Regional, Real Estate, and Transportation Economics→Real Estate Markets, Spatial Production Analysis, and Firm Location→General