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How do fiscal and technology shocks affect real exchange rates? New evidence for the United States

Enders, Zeno; Müller, Gernot J.; Scholl, Almuth - Center for Financial Studies - 2008

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive...

Persistent link: https://www.econbiz.de/10010986488

How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States

Enders, Zeno; Müller, Gernot J.; Scholl, Almut - Center for Financial Studies - 2008

Persistent link: https://www.econbiz.de/10005138848

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

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …

Persistent link: https://www.econbiz.de/10011812167

Codependent VAR models and the pseudo-structural form

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …

Persistent link: https://www.econbiz.de/10011489949

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

Persistent link: https://www.econbiz.de/10011490564