This paper presents an unobserved component model for real GDP, real household consumption, and real investment of an oil-exporting economy. The model decomposes domestic variables’ dynamics into permanent and transitory components, accounting for dependence on oil prices in the short and...

This paper examines the dynamic relationship between interest rates, inflation and economic growth using the longest available dataset for the UK and a vector autoregression (VAR). The approach adopted enables structural breaks to be identified in the dynamic system. It then can ascribe breaks...

In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of economic policy uncertainty and financial market uncertainty on a set of macroeconomic variables such as production, consumption and investment. In this paper, we apply a...

Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven...

In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...

This paper seeks to identify the largest two shocks that can explain the movement in Canadian GDP for the period 1981Q1 to 2011Q4. I employ a very flexible identification method proposed by Uhlig (2003) that allows us to identify the key shocks from the time series data without imposing any...

Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from...

We take the neoclassical perspective and apply the business cycle accounting method as proposed by Chari, Kehoe, and McGrattan (2007, Econometrica) for the Great Recession and the associated stimulus program in Germany 2008-2009. We include wedges to the variables government consumption,...

This paper investigates private net saving in the US economy - divided into its principal components, households and (nonfinancial) corporate financial balances - and its impact on the GDP cycle from the 1980s to the present. Furthermore, we investigate whether the financial markets (stock...