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Inference on Impulse Response Functions in Structural VAR Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...

Persistent link: https://www.econbiz.de/10009493558

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10005000442

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Kilian, Lutz; Vega, Clara - C.E.P.R. Discussion Papers - 2008

Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...

Persistent link: https://www.econbiz.de/10005114377

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012

There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...

Persistent link: https://www.econbiz.de/10011083435

Speculation in the Oil Market

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...

Persistent link: https://www.econbiz.de/10011084143

The effects of global shocks on small commodity-exporting economies: New evidence from Canada

Charnavoki, Valery; Dolado, Juan J. - C.E.P.R. Discussion Papers - 2012

This paper presents a structural dynamic factor model of a small commodity-exporting economy using Canada as a representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and supply shocks that explain most of the volatility in...

Persistent link: https://www.econbiz.de/10011084371

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium

Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010

Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...

Persistent link: https://www.econbiz.de/10008550320

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10008468646

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005136642

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

Persistent link: https://www.econbiz.de/10011083358

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