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Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, Mohammad Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10010276270

Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis

Lanne, Markku; Luetkepohl, Helmut - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10010264444

Assets returns volatility and investment horizon: the french case

Bec, Frédérique; Gollier, Christian - 2009

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

Persistent link: https://www.econbiz.de/10010264616

The VARying effect of foreign shocks in Central and Eastern Europe

Jiménez-Rodriguez, Rebeca; Morales-Zumaquero, Amalia; … - 2010

- already euro area members - react stronger to foreign industrial production shocks than other countries and that the responses … substantial differences in responses to foreign interest rate shocks that originate from the US or the euro area. …

Persistent link: https://www.econbiz.de/10010273871

Real effects of quantitative easing at the zero-lower bound: Structural VAR-based evidence from Japan

Schenkelberg, Heike; Watzka, Sebastian - 2011

Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative...

Persistent link: https://www.econbiz.de/10010274778

How strongly did the 2007/08 oil price hike contribute to the subsequent recession?

Carstensen, Kai; Elstner, Steffen; Paula, Georg - 2011

In this paper we challenge the view that the oil price has lost its influence on economic activity after the mid-1980s. While we concede that typical VAR models put forward in the literature fail to identify oil price shocks that significantly affect aggregate production, we obtain clearly...

Persistent link: https://www.econbiz.de/10010274918

Macroeconomic factors and micro-level bank risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010

The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...

Persistent link: https://www.econbiz.de/10010274932

Loan supply shocks during the financial crisis: Evidence for the Euro Area

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2011

This paper employs a panel vector autoregressive model for the member countries of the Euro Area to explore the role of … crisis. However, concerning both, the timing and the magnitude of the shocks our results also indicate that the Euro Area was …

Persistent link: https://www.econbiz.de/10010274998

Exploring the international linkages of the euro area : a global VAR analysis

Dees, Stephane; di Mauro, Filippo; Pesaran, Mohammad Hashem - 2005

VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important … the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …

Persistent link: https://www.econbiz.de/10010276161

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets. …

Persistent link: https://www.econbiz.de/10010276212