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 trends and deviations from trend in real time and introduces historical reliability bands as a novel diagnostic tool to detect and illustrate spurious regression issues in empirical indicators. 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, spanning the smallest to the largest value estimated between real-time and full sample assessment, are introduced as an intuitive concept to account for and visualize all possible reevaluations in between. Applying them in the Basel credit-to-GDP context illustrates that estimates remain historically unreliable beyond endpoint considerations and yield ever-changing narratives around the cyclical and trend positions. Data revisions can further aggravate these inconsistencies, while difference-filter-based approaches avoid them by design without sacrificing early warning properties 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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