Josefine Quast
Welcome! Great to have you stop by.
I am an Economist (EP) in the IMF's Statistics 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 and contribute to the literature on macro-climate linkages and international financial spillovers.
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.
New Publication: 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.
For Matlab-Code on the Modified Hamilton Filter click here.
Abstract: Estimating trend-cycle decompositions to distinguish shorter- from longer-run developments is often of relevance to economic policymakers and for policy design. One case study for such decompositions are Basel III credit-to-GDP gaps which are used to assess whether aggregate credit is excessive or not. Basel III suggested estimates, however, remain historically unreliable beyond endpoint biases because the prescribed detrending method is prone to spurious regression issues. In consequence, official estimates are continuously reevaluated, do not converge to full sample estimates, are associated with ever-changing trend histories, and inconsistent ex post policy evaluation. Data revisions can further aggravate these issues. To illustrate that the historical variability in the derived gap and trend measures can get quite large, I introduce historical reliability bands as an intuitive concept which can also be applied to other indicators. These bands span the smallest to largest value estimated between initial and full sample assessment, accounting for all possible reevaluations in between. In the context of credit-to-GDP gaps, difference-filter-based approaches provide straightforward alternatives that resolve these inconsistencies while maintaining gap dynamics and amplitudes that the regulator seems to deem important.
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.