Ferre De Graeve

Contact: ferredegraeve 'at' yahoo com
 
 

In progress

"A Structural Evaluation of VARs with Time-Varying Parameters and Stochastic Volatility"
            Presentations: European Central Bank, European University Institute (Workshop), GSMG, Universitat Pompeu Fabra

"Forward Guidance, Quantitative Easing, or both?", with K. Theodoridis
            Presentations: National Bank of Belgium

 

"Forward Guidance and Long Term Interest Rates: Inspecting the Mechanism", with P. Ilbas and R. Wouters

            Presentations: University College London, CEF (Oslo), NORMAC (Reykjavik) and BMW (Ghent)

 

 

Working papers

"Un-truncating VARs", with A. Westermark

Macroeconomic research often relies on structural vector autoregressions to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to DSGE-models. Empirically, short lag-length is deemed necessary as increased parametrization induces excessive uncertainty. The paper shows that this argument is incomplete. Longer lag-length simultaneously reduces misspecification, which in turn reduces variance. For data generated by frontier DSGE-models long-lag VARs are feasible, reduce bias and variance, and have better coverage. Thus, contrary to conventional wisdom, the trivial solution to the critique actually works.

            Presentations: Universitat Pompeu Fabra, Atlanta Fed, Dallas Fed, Cleveland Fed, EIEF, Leuven University, Swiss National Bank, NORMAC.

 

Publications

"Central Bank Policy Paths and Market Forward Rates: A Simple Model", with J. Iversen

Journal of Money, Credit and Banking, Forthcoming


"Identifying Fiscal Inflation", with V. Queijo von Heideken

European Economic Review, Volume 80, November 2015, 83-93


"Refining Stylized Facts from Factor Models of Inflation", with K. Walentin

Journal of Applied Econometrics, Volume 30, 2015, 1192-1209

 

Journal of the European Economic Association, Volume 12, Issue 4, August 2014
 
“Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model”, with Dossche, M., Emiris, M., Sneessens H. and R. Wouters
Journal of Economic Dynamics and Control, Volume 34, Issue 9, September 2010, 1680-1699
 

“A Structural Decomposition of the US Yield Curve”, with Emiris, M. and R. Wouters 
Journal of Monetary Economics, Volume 56, Issue 4, May 2009, 545-559

 

“The External Finance Premium and the Macroeconomy: US post-WWII Evidence” 

Journal of Economic Dynamics and Control, Volume 32, Issue 11, November 2008, 3415-3440

 

“Monetary Policy and Financial (In)Stability: An Integrated Micro-Macro Approach”, with Kick, T. and M. Koetter

Journal of Financial Stability, Volume 4, Issue 3, September 2008, 205-231

 

“Competition, Transmission and Bank Pricing Policies: Evidence from Belgian Loan and Deposit Markets”, with De Jonghe, O. and R. Vander Vennet

Journal of Banking and Finance, Volume 31, Issue 1, January 2007, 91-116

 
 

Professional service

Associate Editor:

  • Economic Inquiry, 2010 - present

Referee:

  • American Economic Journal: Macroeconomics
  • B.E. Journal of Macroeconomics
  • Canadian Journal of Economics
  • Economic Inquiry
  • Economic Journal
  • Economic Systems
  • Economics of Transition
  • European Economic Review
  • International Economic Review
  • Journal of Applied Econometrics
  • Journal of Banking and Finance
  • Journal of Econometrics
  • Journal of Economic Dynamics and Control
  • Journal of Financial Stability
  • Journal of International Economics
  • Journal of International Money and Finance
  • Journal of Macroeconomics
  • Journal of Monetary Economics
  • Journal of Money, Credit & Banking 
  • Oxford Bulletin of Economics and Statistics
  • Quantitative Economics
  • Review of Finance
  • Review of Financial Studies
  • Scandinavian Journal of Economics

Conference Organization: 

Seminar Organization: 2010 - 2013, Riksbank

 

Discussions:

  • “Rare Events, Financial Crisis, and the Cross Section of Asset Returns”, by F. Bianchi, BoE
  • “Large Firm Dynamics and the Business Cycle”, by V. Carvalho and Grassi, CEPR
  • “Is Government Spending at the Zero Lower Bound desirable?”, by Bilbiie, Monacelli and Perotti, CEPR (ESSIM)
  • “Banks' Price Setting and Lending Maturity”, by Luttini and Pedersen, BIS Latin-America
  • The Forward Guidance Puzzle”, by Del Negro, Giannoni and Patterson, DNB
  • “Spillover of Fiscal Shocks in the Euro Area”, by Canova, Ciccarelli and Dallari, WGEM 
  • “Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations”, by Ajello, CEPR
  • Expansionary and Contractionary Technology Improvements”, by Balleer and Enders, NORMAC
  • “The Dark Side of Bank Wholesale Funding”, by Huang and Ratnovski, FRB Boston
  • “Changes in Inflation Persistence: Lessons from Estimated Markov-Switching New Keynesian Models”, by Davig and Doh, FRB Dallas
  • “Credit Market and Macroeconomic Volatility”, by Mendicino, CEPR
  • “The Fed and the Stock Market”, by D’Amico and Farka, FMA

Teaching:

  • Macroeconomics - KU Leuven (2015-2016, 2016-2017)
  • Advanced Macroeconomics - KU Leuven (2016-2017)
  • Financial Stability & Regulation - Stockholm School of Economics (2011-2012, 2012-2013, 2013-2014)
  • Essentials of Financial Stability - Florence School of Banking and Finance (2016)
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Ferre De Graeve,
Sep 30, 2015, 3:35 AM