Michele Lenza
Datos Biográficos
| ID | 5736041 |
|---|---|
| NOMBRE | Michele Lenza |
| NOMBRES | Michele |
| APELLIDO | Lenza |
| FIRMA | LENZA M |
| AFILIACIONES | Université Libre de Bruxelles |
| VERIFICADO | No |
| TOTAL DE OBRAS | 5 |
| TOTAL DE CITAS | 8 |
| TOTAL COMO AUTOR | 5 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2012 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2024 |
| ÍNDICE H | 1 |
How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area
This paper evaluates the impact of quantitative easing on income and wealth of individual euro area households. We first estimate the aggregate effects of a quantitative easing (QE) shock, identified by means of external instruments, in a multi‐country vector autoregression (VAR) model with unemployment, wages, gross operating surplus, interest rates, house prices, and stock prices. We then distribute the aggregate effects across households using…
How to estimate a vector autoregression after March 2020
This paper illustrates how to handle a sequence of extreme observations—such as those recorded during the COVID‐19 pandemic—when estimating a vector autoregression, which is the most popular time‐series model in macroeconomics. Our results show that the ad hoc strategy of dropping these observations may be acceptable for the purpose of parameter estimation. However, disregarding these recent data is inappropriate for forecasting the future evolut…
Prior Selection for Vector Autoregressions
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables. A solution to this problem is to use informative priors in order to shrink the richly parameterized unrestricted model toward a parsimonious naıve benchma…
Corporate Finance and Economic Activity in the Euro Area
The ECB and the Interbank Market
We analyse the impact on the euro area economy of the ECB's non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial Institutions (MFI) balance sheet, which allow us to construct a measure of the 'policy shock' represented by the ECB's increasing role as a financial intermediary. …
The ECB and the Interbank Market
We analyse the impact on the euro area economy of the ECB's non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial Institutions (MFI) balance sheet, which allow us to construct a measure of the 'policy shock' represented by the ECB's increasing role as a financial intermediary. …
The ECB and the Interbank Market
We analyse the impact on the euro area economy of the ECB's non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial Institutions (MFI) balance sheet, which allow us to construct a measure of the 'policy shock' represented by the ECB's increasing role as a financial intermediary. …
Corporate Finance and Economic Activity in the Euro Area
Prior Selection for Vector Autoregressions
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables. A solution to this problem is to use informative priors in order to shrink the richly parameterized unrestricted model toward a parsimonious naıve benchma…
How to estimate a vector autoregression after March 2020
This paper illustrates how to handle a sequence of extreme observations—such as those recorded during the COVID‐19 pandemic—when estimating a vector autoregression, which is the most popular time‐series model in macroeconomics. Our results show that the ad hoc strategy of dropping these observations may be acceptable for the purpose of parameter estimation. However, disregarding these recent data is inappropriate for forecasting the future evolut…
How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area
This paper evaluates the impact of quantitative easing on income and wealth of individual euro area households. We first estimate the aggregate effects of a quantitative easing (QE) shock, identified by means of external instruments, in a multi‐country vector autoregression (VAR) model with unemployment, wages, gross operating surplus, interest rates, house prices, and stock prices. We then distribute the aggregate effects across households using…
Economics (4 obras) · Econometrics (3 obras) · Macroeconomics (3 obras) · Monetary policy (3 obras) · Monetary Policy and Economic Impact (3 obras) · Artificial Intelligence (2 obras) · Computer Science (2 obras) · European Monetary and Fiscal Policies (2 obras) · Finance (2 obras) · Financial system (2 obras)