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Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011431276
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News Shocks under Financial Frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020
. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un …
Persistent link: https://www.econbiz.de/10012425634
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Productivity and firm dynamics over the business cycle
Assefa, Abraham; Lapitskaya, Darya; Uusküla, Lenno - 2022
Persistent link: https://www.econbiz.de/10013253091
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Fiscal policy and stock prices in the United States
Mumtaz, Haroon; Theodoridis, Konstantinos - 2021
Persistent link: https://www.econbiz.de/10013186196
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Fiscal policy shocks and stock prices in the United States
Mumtaz, Haroon; Theodoridis, Konstantinos - 2017
This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices. After 1980, along with a decline in the fiscal...
Persistent link: https://www.econbiz.de/10011627039