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Structural Unemployment and the Output Gap in Germany: Evidence from an SVAR Analysis within a Hysteresis Framework
Fritsche, Ulrich; Logeay, Camille - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2002
The German unemployment rate shows strong signs if non-stationarity over the course of the previous decades. This is in line with an insider-outsider model under full hysteresis. We applied a "theory-guided view" to the data using the structural VAR model as developed by Balmaseda, Dolado and...
Persistent link: https://www.econbiz.de/10005068660
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Bayesian Inference for the Mixed-Frequency VAR Model
Viefers, Paul - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to...
Persistent link: https://www.econbiz.de/10009371746
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Business Cycles, International Trade and Capital Flows: Evidence from Latin America
Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...
Persistent link: https://www.econbiz.de/10010592915
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Time-varying Nairu and Real Interest Rates in the Euro Area
Logeay, Camille; Tober, Silke - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003
This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique is applied here for the first time using explicit...
Persistent link: https://www.econbiz.de/10004963663
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Asymmetric Monetary Policy Effects in Germany
Kuzin, Vladimir; Tober, Silke - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004
In a small structural model we find asymmetries in the effects of monetary policy in Germany depending on whether the economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and the Kalman filter. Our results indicate that the...
Persistent link: https://www.econbiz.de/10004963955
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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified...
Persistent link: https://www.econbiz.de/10011128854
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Reducing Confidence Bands for Simulated Impulse Responses
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
as Bayesian or bootstrap methods are used. The confidence intervals heavily depend on which variable is used for fixing …
Persistent link: https://www.econbiz.de/10011128870
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Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
Caporale, Guglielmo Maria; Skare, Marinko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory …
Persistent link: https://www.econbiz.de/10010786996
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Monetary Policy, Global Liquidity and Commodity Price Dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
useful information about variables such as commodity prices which matter for aggregate demand and thus inflation. Given this …
Persistent link: https://www.econbiz.de/10008636404
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Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine
Siliverstovs, Boriss; Bilan, Olena - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005
The paper explores dynamics of inflation in Ukraine in the period of relative macroeconomic stability. The analysis of … interrelationship between inflation, money growth, wage growth, and a proxy for devaluation expectations is based on impulse responses … the most important factor driving price development, while money supply growth has negligible impact on inflation. In …
Persistent link: https://www.econbiz.de/10005068693