edited by ISPI

Understanding the causes of the Great Recession (part 1 of 2)

Due to the euro area sovereign debt crisis, recovery from the Great Recession has not proceeded at a similar pace worldwide, with Europe still lagging behind. The severity of the recession and the sizeable increase in macroeconomic fluctuations ensued by the financial crisis have led analysts and scholars to question whether the prolonged period of subdued macroeconomic volatility, known as the Great Moderation, has come to an end.

Understanding the causes of the Great Recession and the interrelation between the overall favorable macroeconomic conditions, the financial crisis, and the third oil price shock is mandatory not only to assess whether higher macroeconomic uncertainty will persistently affect the global economy in the future, but also to uncover the early warning signals of deteriorating macro-financial conditions, which were neglected while imbalances were growing.

The investigation of these issues is part and parcel of the RAstaNEWS project. In the first issue of this special two-part newsletter, we introduce papers which specifically deal with econometric modeling of large-scale macro-financial systems, the early extraction of latent information on growing imbalances, and the assessment of the recessionary effects of the third oil-price shock.

 

ABOUT RAstaNEWS

RAstaNEWS investigates many aspects of the future of macro-economic and monetary integration in Europe, paving the way to a revised governance of the EMU, and the EU as a whole, in the wake of the debt crisis.
Our project is based on the premise that rethinking the future of macroeconomic and monetary integration in Europe requires a substantial revision and integration of the underlying macroeconomic model and a new vision about what markets and policy-makers can accomplish.
Read more

 

RESEARCH AND PUBLICATIONS

Factor vector autoregressive estimation of heteroskedastic persistent and non persistent processes subject to structural breaks

Claudio Morana (University of Milano Bicocca) Read it here

Inference for impulse response functions from multivariate strongly persistent processes

Richard Baillie (Queen Mary University London) et al. Read it here

The fundamental properties of time varying AR models with non stochastic coefficients

Menelaos Karanasos (Brunel University London) et al. Read it here

Cross sectional evidence on the relation between monetary policy, macroeconomic conditions and low-frequency inflation uncertainty

Christian Conrad and Matthias Hartmann (Ruprecht-Karls-Universitšt Heidelberg) Read it here

Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns

Claudio Morana (University of Milan Bicocca) Read it here

Bandwidth selection by cross-validation for forecasting long memory financial time series

Richard Baillie (Queen Mary University London) et al. Read it here

The oil price-macroeconomy relationship since the mid-1980s: A global perspective

Claudio Morana (University of Milan Bicocca) Read it here

Modified information criteria and selection of long memory time series models

Richard Baillie (Queen Mary University London) et al. Read it here

May

Brunel University and University of Milan Bicocca, two of RAstaNEWS partners, organized the 10th BMRC-DEMS Conference on Macro and Financial Economics/Econometrics, which was held at Brunel University on 28-30th May.

June

Universitŗ Politecnica delle Marche, one of RAstaNEWS partners, organized the 3rd Money and Finance Research (MoFiR) Workshop on Banking, which was held in Ancona, Italy, on June 25-27th.

June

RAstaNEWS organized a special session at the 1st Conference of the International Association for Applied Econometrics, which was held at Queen Mary University of London, on June 26-28th.

July

RAstaNEWS organized a special session at the 5th World Finance Conference, which was held in Venice, Italy, on July 2-4th.

 

September

RastaNews will organize a special session on Macro-Financial Risk at the 46th Annual Conference of the Money, Macro, and Finance Research Group, to be held on September 17-19 September at the Durham University Business School.

 
 
 

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