Showing 1 - 10 of 198
This essay reviews progress in empirical economics since Leamer's (1983) critique. Leamer highlighted the benefits of sensitivity analysis, a procedure in which researchers show how their results change with changes in specification or functional form. Sensitivity analysis has had a salutary but...
Persistent link: https://www.econbiz.de/10008619290
This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients,...
Persistent link: https://www.econbiz.de/10010906084
En este artículo se propone una extensión de la metodología multivariada de desagregación temporal de Di Fonzo [1990]. Esta supone que los errores de las series de alta frecuencia siguen un modelo VAR(1) en lugar de un proceso ruido blanco. Adicionalmente, se realiza una reseña de...
Persistent link: https://www.econbiz.de/10008629472
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005774407
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR...
Persistent link: https://www.econbiz.de/10005089012
Este documento caracteriza los efectos dinámicos de los choques en el gasto y los ingresos del gobierno sobre la actividad económica en Colombia, durante el periodo 1980:1 - 2004:1. Esto mediante un VAR estructural mixto. El SVAR se estima utilizando el procedimiento de Blanchard y Perotti...
Persistent link: https://www.econbiz.de/10005274358
Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...
Persistent link: https://www.econbiz.de/10005113915
Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a pesofor- peso ($/$) effect on output of a shock to public spending and to...
Persistent link: https://www.econbiz.de/10005113931
En este documento se construye un Indice de Percepción de Riesgo de los inversionistas institucionales en los mercados industrializados. Este índice se estima con base en un modelo de análisis factorial dinámico, que explora las tendencias comunes de las volatilidades de los retornos de una...
Persistent link: https://www.econbiz.de/10005113974
The correlation between instruments and explanatory variables is a key determinant of the performance of the instrumental variables estimator. The R-squared from regressing the explanatory variable on the instrument vector is a useful measure of relevance in univariate models, but can be...
Persistent link: https://www.econbiz.de/10005248982