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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - CESifo - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010668472
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2007
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10005766069
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Effectiveness and Transmission of the ECB's Balance Sheet Policies
Boeckx, Jef; Dossche, Maarten; Peersman, Gert - CESifo - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …
Persistent link: https://www.econbiz.de/10010887047
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Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit
Pesaran, M. Hashem; Chudik, Alexander - CESifo - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10008583635
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Exit Dynamics of Start-up Firms: Does Profit Matter?
Golombek, Rolf; Raknerud, Arvid - CESifo - 2015
We estimate by means of indirect inference a structural economic model where firms’ exit and investment decisions are the solution to a discrete-continuous dynamic programming problem. In the model the exit probability depends on the current capital stock and a measure of short-run...
Persistent link: https://www.econbiz.de/10011124892
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On the Effects of Monetary Policy Shocks on Exchange Rates
Binder, Michael; Chen, Qianying; Zhang, Xuan - CESifo - 2010
In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent...
Persistent link: https://www.econbiz.de/10008498996
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Monetary Policy Transmission and House Prices: European Cross-country Evidence
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2009
transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995–2006 to generate impulse …
Persistent link: https://www.econbiz.de/10005010145
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The Interest Rate Pass-Through in the Euro Area During the Global Financial Crisis
Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2012
This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...
Persistent link: https://www.econbiz.de/10010877927
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Forward Guidance in a Simple Model with a Zero Lower Bound
Illing, Gerhard; Siemsen, Thomas - CESifo - 2014
In this paper we present a three period setup to model central bank forward guidance in a liquidity trap. We analyze the role of long-run and short-run price stickiness under discretion and commitment in a straightforward and intuitive way. Despite the impact of price rigidity on welfare being...
Persistent link: https://www.econbiz.de/10010877957
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Catching-up and Inflation in Europe: Balassa-Samuelson, Engel's Law and other Culprits
Egert, Balazs - CESifo - 2010
This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special focus on the new member countries of Central and Eastern Europe. Using an array of estimation methods, we show that the Balassa-Samuelson effect is not an important driver of...
Persistent link: https://www.econbiz.de/10008596582