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Identifying global and national output and fiscal policy shocks using a GVAR

Chudik, Alexander; Pesaran, M. Hashem; Mohaddes, Kamiar - 2019

The paper contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of the proposed approach is illustrated in an application to the analysis of the interactions between public debt and real output...

Persistent link: https://www.econbiz.de/10011956353

Long-term macroeconomic effects of climate change : a cross-country analysis

Kahn, Matthew E.; Mohaddes, Kamiar; Ng, Ryan N. C.; … - 2019

We study the long-term impact of climate change on economic activity across countries, using a stochastic growth model where labour productivity is affected by country-specific climate variables. defined as deviations of temperature and precipitation from their historical norms. Using a panel...

Persistent link: https://www.econbiz.de/10012031151

Climate change and economic activity : evidence from U.S. states

Mohaddes, Kamiar; Ng, Ryan N. C.; Pesaran, M. Hashem; … - 2022

We investigate the long-term macroeconomic effects of climate change across 48 U.S. states over the period 1963.2016 using a novel econometric strategy which links deviations of temperature and precipitation (weather) from their long-term moving-average historical norms (climate) to various...

Persistent link: https://www.econbiz.de/10012806494

Counterfactual analysis in macroeconometrics : an empirical investigation into the effects of quantitative easing

Pesaran, M. Hashem; Smith, Ron - 2012

This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it...

Persistent link: https://www.econbiz.de/10009571104

Tests of policy ineffectiveness in macroeconometrics

Pesaran, M. Hashem; Smith, Ron - 2014

This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...

Persistent link: https://www.econbiz.de/10010375404

Causal effects of the Fed's large-scale asset purchases on firms' capital structure

Nocera, Andrea; Pesaran, M. Hashem - 2022

This paper investigates the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry variations...

Persistent link: https://www.econbiz.de/10013176956

Oil exports and the Iranian economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2009

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil … set on the Iranian economy over the period 1979Q1-2006Q4. Building an error correction specification in real output, real … the world. We also find that the Iranian economy adjusts quite quickly to the shocks in foreign output and oil exports …

Persistent link: https://www.econbiz.de/10003897747

Oil prices and the global economy : is it different this time around?

Mohaddes, Kamiar; Pesaran, M. Hashem - 2016

for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a … after the shock). We then re-examine the effects of low oil prices on the US economy over different sub-periods using …

Persistent link: https://www.econbiz.de/10011502542

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

What if the UK had joined the euro in 1999? : An empirical evaluation using a Global VAR

Pesaran, M. Hashem (contributor); … - 2005

This paper attempts to provide a conceptual framework for the analysis of counterfactual scenarios using macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK nominal exchange rates and interest rates to be the same as...

Persistent link: https://www.econbiz.de/10003109826