WorldCat Identities

Pataracchia, Beatrice

Overview
Works: 15 works in 28 publications in 1 language and 37 library holdings
Roles: Author
Classifications: HC241.2, 332.042
Publication Timeline
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Most widely held works by Beatrice Pataracchia
International capital flows and the boom-bust cycle in Spain by Jan in 't Veld( )

6 editions published in 2014 in English and held by 11 WorldCat member libraries worldwide

We study the joint dynamics of foreign capital flows and real activity during the recent boom-bust cycle of the Spanish economy, using a three-country New Keynesian model with credit constrained households and firms, a construction sector and a government. We estimate the model using 1995Q1-2013Q2 data for Spain, the rest of the Euro Area (REA) and the rest of the world. We show that falling risk premia on Spanish housing and non-residential capital, a loosening of collateral constraints for Spanish households and firms, as well as a fall in the interest rate spread between Spain and the REA fuelled the Spanish output boom and the persistent rise in foreign capital flows to Spain, before the global financial crisis. During and after the global financial crisis, falling house prices, and a tightening of collateral constraints for Spanish borrowers contributed to a sharp reduction in capital inflows, and to the persistent slump in Spanish real activity. The credit crunch was especially pronounced for Spanish households; firm credit constraints tightened later and more gradually, and contributed much less to the slump
Endogenous housing risk in an estimated DSGE model of the Euro Area by Beatrice Pataracchia( )

2 editions published in 2013 in English and held by 6 WorldCat member libraries worldwide

"The paper provides an extension to first generation DSGE models with a financial sector -- for which QUEST III would be a typical example -- by explicitly modelling (mortgage) loan demand and supply decisions. We estimate a DSGE model with a housing sector where housing capital is used as collateral against which impatient consumers borrow from more patient lenders. While in existing estimated models with a construction sector the Loan-to-Value (LTV) ratio is imposed exogenously and constant (e.g., Iacoviello and Neri, 2010, In't Veld et al., 2011), we introduce an endogenous LTV ratio by explicitly modelling the riskiness of loans in order to capture changing credit conditions. Using data of the Euro Area, we show that, compared to similar models with an exogenous LTV ratio, the business cycle properties of our model improve. The endogenous default mechanism allows estimating an important amplification mechanism driven by the riskiness of collateral values and propagating, in turn, into the real economy. Housing market-related shocks appear to be the main driver of the pre-crisis growth of mortgage-backed loans and a subsequent reversal of the sentiment on the housing market may have been a trigger that led to a credit crunch, house price bubble burst and a collapse in the construction sector. Shocks on the housing market had also a substantial impact on several demand aggregates, in particular, consumption."--Document home page
The post-crisis slump in the Euro Area and the US : evidence from an estimated three-region DSGE model by Robert Kollmann( Book )

3 editions published in 2016 in English and held by 4 WorldCat member libraries worldwide

The global financial crisis (2008-09) led to a sharp contraction in both Euro Area (EA) and US real activity, and was followed by a long-lasting slump. However, the post-crisis adjustment in the EA and the US shows striking differences -- in particular, the EA slump has been markedly more protracted. We estimate a three-region (EA, US and Rest of World) New Keynesian DSGE model (using quarterly data for 1999-2014) to quantify the drivers of the divergent EA and US adjustment paths. Our results suggest that financial shocks were key drivers of the 2008-09 Great Recession, for both the EA and the US. The post-2009 slump in the EA mainly reflects a combination of adverse aggregate demand and supply shocks, in particular lower productivity growth, and persistent adverse shocks to capital investment, linked to the continuing poor health of the EA financial system. Adverse financial shocks were less persistent for the US. The financial shocks identified by the model are consistent with observed performance indicators of the EA and US banking systems
How much Keynes and how much Schumpeter? : an estimated macromodel for the US economy by Guido Cozzi( )

2 editions published in 2017 in English and held by 3 WorldCat member libraries worldwide

The macroeconomic experience of the last decade stressed the importance of jointly studying the growth and business cycle fluctuations behavior of the economy. To analyze this issue, we embed a model of Schumpeterian growth into an estimated medium-scale DSGE model. Results from a Bayesian estimation suggest that investment risk premia are a key driver of the slump following the Great Recession. Endogenous innovation dynamics amplifies financial crises and helps explain the slow recovery. Moreover, financial conditions also account for a substantial share of R [and] D investment dynamics
The Global multi-country Model (GM) : an estimated DSGE Model for euro area countries by Alice Albonico( )

3 editions published between 2017 and 2019 in English and held by 3 WorldCat member libraries worldwide

This paper introduces the Global Multi-country (GM) model, an estimated multi-country Dynamic Stochastic General Equilibrium (DSGE) model of the world economy. We present the model in 3-region configurations for Euro area (EA) countries that include an individual EA Member State, the rest of the EA (REA), and the rest of the world (RoW). We provide and compare estimates of this model structure for the four largest EA countries (Germany, France, Italy, and Spain). The novelty of the paper is the estimation of ex-ante identical country models on the basis of a unified information set, which allows for clean crosscountry comparison of parameter estimates and drivers of economic dynamics. The paper also provides an overview of applications of the GM model such as the structural interpretation of business cycle dynamics, the contribution to the European Commission's economic forecast, the scenario analysis and policy counterfactuals
EU competitiveness : recent trends, drivers, and links to economic policy : a synthesis report by Robert Marschinski( )

2 editions published in 2021 in English and held by 2 WorldCat member libraries worldwide

This report informs the debate on Europe's economic competitiveness and how it can be sustained under the pressures of globalisation. It presents a series of research findings from different areas of analytical work carried out at the 'Growth and Innovation' Directorate of the Joint Research Centre. The focus is on current challenges, with topics ranging from global value chains analysis to competition policy, and from the possible reasons for the recent EU productivity stagnation to the economic damage implied by FDI restrictions. The common denominator of all contributions is their aim to inform discussions on competitiveness and their relevance for EU economic policy
Ambiguity aversion and heterogeneity in financial markets an empirical and theoretical perspective by Beatrice Pataracchia( )

1 edition published in 2013 in English and held by 1 WorldCat member library worldwide

Design limits in regime-switching cases by Beatrice Pataracchia( Book )

1 edition published in 2008 in English and held by 1 WorldCat member library worldwide

The spectral representation of Markov-Switching ARMA models by Beatrice Pataracchia( Book )

1 edition published in 2008 in English and held by 1 WorldCat member library worldwide

Ambiguity and volatility asset pricing implications by Beatrice Pataracchia( )

1 edition published in 2011 in English and held by 1 WorldCat member library worldwide

International capital flows and the boom-bust cycle in Spain( )

1 edition published in 2014 in English and held by 1 WorldCat member library worldwide

The spectral representation of Markov-switching arma models by Beatrice Pataracchia( )

1 edition published in 2008 in English and held by 1 WorldCat member library worldwide

Waves of optimism and pessimism( Book )

2 editions published in 2013 in English and held by 1 WorldCat member library worldwide

We consider a simple consumption-based asset pricing model with two types of investors who have access to the same observations but who use different updating rules to infer information about the growth state of the economy. In particular, we consider an optimistic and pessimistic group of agents who use distorted Bayesian updating rules. The aim of the work is to understand to what extent the interaction of such distorted Bayesian rules can explain low and medium frequency characterization of dynamics movements observed in the price dividend ratios and can give rise endogenously to waves of pessimism and optimism which are associated with sustained asset price booms and busts. The analysis shows that heterogeneity in ambiguity loving/aversion preferences appears to be an important factor to capture medium-frequency waves observed on asset prices
Design limits in regime-switching cases by Beatrice Pataracchia( )

1 edition published in 2008 in English and held by 1 WorldCat member library worldwide

Endogenous housing risk in an estimated DSGE model of the euro area by European Commission( )

1 edition published in 2013 in English and held by 0 WorldCat member libraries worldwide

We estimate a DSGE model with a housing sector where housing capital is used as collateral against which impatient consumers borrow from more patient lenders. While in existing estimated models with a construction sector the Loan-to-Value (LTV) ratio is imposed exogenously and constant (e.g., Iacoviello and Neri, 2010, In't Veld et al., 2011), we introduce an endogenous LTV ratio by explicitly modeling the riskiness of loans in order to capture changing credit conditions. Using data of the Euro Area, we show that, compared to similar models with an exogenous LTV ratio, the business cycle properties of our model improve. The endogenous default mechanism allows to estimate an important amplification mechanism driven by the riskiness of collateral values and propagating, in turn, into the real economy. Housing market-related shocks appear to be the main driver of the pre-crisis growth of mortgage-backed loans and a subsequent reversal of the sentiment on the housing market may have been a trigger that led to a credit crunch, house price bubble burst and a collapse in the construction sector. Shocks on the housing market had also a substantial impact on several demand aggregates, in particular, consumption. -- EU Bookshop
 
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Audience level: 0.91 (from 0.83 for How much K ... to 1.00 for Endogenous ...)

Languages
English (28)