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Is Germany a hub of Factory Europe for CEE countries? : the sink approach in GVC decomposition
Kordalska, Aleksandra; Olczyk, Magdalena - 2019
The goal of the paper is to decompose gross exports/imports to/from Germany for seven selected economies in Central and Eastern Europe (CEE): the Czech Republic, Estonia, Hungary, Lithuania, Latvia, Poland, and Slovakia for 2000 and 2014, to identify the role of German in absorbing, reflecting,...
Persistent link: https://www.econbiz.de/10012033048
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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10011604635
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The economic effects of exogenous fiscal shocks in Spain: a SVAR approach
de Castro Fernández, Francisco; Hernández de Cos, Pablo - 2006
This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure …
Persistent link: https://www.econbiz.de/10011604693
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, Hashem - 2009
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10011605044
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The role of financial variables in predicting economic activity
Espinoza, Raphael; Fornari, Fabio; Lombardi, Marco J. - 2009
help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR … between 1999 and 2002. Results from the historical decomposition of a VAR model indeed suggest that in that period shocks were …
Persistent link: https://www.econbiz.de/10011605154
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Market power and fiscal policy in OECD countries
Afonso, António; Costa, Luís F. - 2010
and macroeconomic variables in a VAR framework. From impulse-response functions the results, with annual data for a set of …
Persistent link: https://www.econbiz.de/10011605219
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco J.; Pagano, Patrizio - 2010
empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in …
Persistent link: https://www.econbiz.de/10011605278
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Predicting recession probabilities with financial variables over multiple horizons
Fornari, Fabio; Lemke, Wolfgang - 2010
-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any …
Persistent link: https://www.econbiz.de/10011605301
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Using the global dimension to identify shocks with sign restrictions
Chudik, Alexander; Fidora, Michael - 2011
(2005) and a large scale model, introducing the sign restrictions approach to the global VAR (GVAR) literature, that allows …
Persistent link: https://www.econbiz.de/10011605364
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A global perspective on inflation and propagation channels
Gattini, Luca; Pill, Huw; Schuknecht, Ludger - 2012
the basis of a VAR analysis, the study finds that i) global money demand shocks affect global inflation and also global …
Persistent link: https://www.econbiz.de/10011605507