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How robust are SVARs at measuring monetary policy in small open economies?
Carrillo, Julio A.; Elizondo, Rocio - 2015
Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we … recovers the transmission of the shock, whereas exclusion restrictions show large sensitivity to the assumed monetary …
Persistent link: https://www.econbiz.de/10011337610
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Macroeconomic regimes, technological shocks and employment dynamics
Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016
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...
Persistent link: https://www.econbiz.de/10011483831
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2016
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for … strategies for structural shock identification. Applying our methodology to US macroeconomic data (FRED QD) reveals indeed a high … 52 percent of the variation in the data. We simultaneously identify a monetary policy, a productivity and a news shock by …
Persistent link: https://www.econbiz.de/10011558192
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Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models
Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …
Persistent link: https://www.econbiz.de/10011563120
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010501257
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010503909
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010509631
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach
Fiori, Roberta - 2011
monetary policy shock on credit risk is amplified when considering the feedback effect deriving from macroeconomic and equity …
Persistent link: https://www.econbiz.de/10013128108