Josefine Quast
Josefine Quast
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Welcome! Great to have you stop by.
Welcome! Great to have you stop by.
I am an Economist (EP) in the IMF's Western Hemisphere Department and conduct empirical research, particularly focusing on the robust and reliable measurement of business and financial cycles and real-time analysis. Beyond these topics, I am interested in measuring data transparency, macro-climate linkages, and international financial spillovers.
I am an Economist (EP) in the IMF's Western Hemisphere Department and conduct empirical research, particularly focusing on the robust and reliable measurement of business and financial cycles and real-time analysis. Beyond these topics, I am interested in measuring data transparency, macro-climate linkages, and international financial spillovers.
News:
News:
New Publication: Global financial stress and financial transmission channels, with Sandra Eickmeier, Norbert Metiu, and Sabine Tanneberger, Handbook of Financial Integration, Editor: Guglielmo M. Caporale, 2024, Chapter 6, 134-171.
For Matlab-Code on the Modified Hamilton Filter click here.
Abstract: This paper revisits the challenges of estimating and inferring time trends in real time and introduces novel tools to detect and illustrate spurious regression issues in empirical indicators that aim to capture such real-time trends and trend deviations. Basel credit-to-GDP trends and gaps, which are used to assess whether aggregate credit is excessive or not, serve as a policy-relevant and nontrivial case study. Historical reliability bands are introduced as an intuitive concept, which span the smallest to the largest value estimated between real-time and full sample assessment, accounting for all possible reevaluations in between. Applying them in the Basel credit-to-GDP context illustrates that estimates remain historically unreliable beyond endpoint considerations, yielding ever-changing narratives around the cyclical and trend positions. Data revisions can further aggravate these inconsistencies, while difference-filter-based approaches avoid them without sacrificing early warning properties for signaling systemic crises or gap dynamics and amplitudes that the regulator seems to deem important.
Publications:
Publications:
Global financial stress and financial transmission channels, with Sandra Eickmeier, Norbert Metiu, and Sabine Tanneberger, Handbook of Financial Integration, Editor: Guglielmo M. Caporale, 2024, Chapter 6, 134-171.
The Federal Reserve’s Output Gap: The Unreliability of Real-Time Reliability Tests, with Maik H. Wolters, Journal of Applied Econometrics, 2023, 38(7), 1101-1111.
Reliable Real-time Output Gap Estimates Based on a Modified Hamilton Filter, with Maik H. Wolters, Journal of Business & Economic Statistics, 2022, 40(1), pp. 152-168.
Stock Market Dynamics and the Relative Importance of Domestic, Foreign, and Common Shocks, with Martin Ademmer and Wolfram Horn, International Journal of Finance & Economics, 2022, 27(4), pp. 3911-3923.
Disclaimer: This is my personal website and the views expressed here should not be attributed to the IMF, its Executive Board, or IMF management.
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