 | Biases in Survey Inflation Expectations: Evidence from the Euro Area Author/Editor: Jiaqian Chen, Lucyna Gornicka, Vaclav Zdarek. Release Date:September, 2022 This paper documents five facts about inflation expectations in the euro area. First, individual inflation forecasts overreact to individual news. Second, the cross-section average of individual more...
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| Quarterly Projection Model for Vietnam: A Hybrid Approach for Monetary Policy Implementation Author/Editor: Natan P Epstein, Lucyna Gornicka, Nga Ha, Karel Musil, Valeriu Nalban. Release Date:June, 2022 We present a newly developed Quarterly Projection Model (QPM) for Vietnam. This QPM represents an extended version of the canonical New Keynesian semi-structural model, accounting for more...
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| Corporate Sector Resilience in India in the Wake of the COVID-19 Shock Author/Editor: Lucyna Gornicka, Sumiko Ogawa, TengTeng Xu. Release Date:November, 2021 To assess the resilience of India's corporate sector against COVID-19-related shocks, we conducted a series of stress tests using firm-level corporate balance sheet data. The results reveal a more...
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| Leakages from Macroprudential Regulations: The Case of Household-Specific Tools and Corporate Credit Author/Editor: Apoorv Bhargava, Lucyna Gornicka, Peichu Xie. Release Date:April, 2021 Sector-specific macroprudential regulations increase the riskiness of credit to other sectors. Using firm-level data, this paper computed the measures of the riskiness of corporate credit allocation more...
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| Stress Testing and Calibration of Macroprudential Policy Tools Author/Editor: Lucyna Gornicka, Laura Valderrama. Release Date:August, 2020 We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank more...
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| Measuring Output Gap: Is It Worth Your Time? Author/Editor: Jiaqian Chen, Lucyna Gornicka. Release Date:February, 2020 We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better more...
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| Optimal Macroprudential Policy and Asset Price Bubbles Author/Editor: Nina Biljanovska, Lucyna Gornicka, Alexandros Vardoulakis. Release Date:August, 2019 An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. more...
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| Brexit Referendum and Business Investment in the UK Author/Editor: Lucyna Gornicka. Release Date:November, 2018 In this paper I apply firm-level analysis to examine how the Brexit process has affected business investment in the UK. An interaction term of potential trade costs after exiting the EU and a measure more...
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| Measuring Concentration Risk - A Partial Portfolio Approach Author/Editor: Pierpaolo Grippa, Lucyna Gornicka. Release Date:August, 2016 Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover more...
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