In this paper we propose a two step procedure for modelling the propagation of financial shocks. The first step consists in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility while, in the second step such indicators are included in...

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...

No matter its source, financial- or policy-related, uncertainty can feed onto itself, concealing its true origin and leading to identification challenges in empirical applications. We add to the existing stock of analytical methods able to disentangle among various types of uncertainty shocks,...

We estimate the short-run effects of severe weather shocks on local economic activity and assess cross-border spillovers operating through economic linkages between U.S. states. We measure weather shocks using a detailed county-level database on emergency declarations triggered by natural...

This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected to be statistically indistinguishable from each other....

This paper presents a simple model in which debt management stabilizes the debt-to-GDP ratio in face of shocks to real returns and output growth and thus supports fiscal restraint in ensuring sustainability. The optimal composition of public debt is derived by looking at the relative impact of...