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Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; 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/10011418016

Growth expectations, undue optimism, and short-run fluctuations

Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013

We assess the contribution of "undue optimism" (Pigou) to short-run fluctuations. In our analysis, optimism pertains to total factor productivity which determines economic activity in the long run, but is not contemporaneously observed by market participants. In order to recover optimism shocks...

Persistent link: https://www.econbiz.de/10010224834

Effectiveness and transmission of the ECB's balance sheet policies

Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014

crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …

Persistent link: https://www.econbiz.de/10010383862

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/10012373126

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to …

Persistent link: https://www.econbiz.de/10012245103

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