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Cochrane, John H. - 1994

What are the shocks that drive economic fluctuations? I examine technology and money shocks in some detail, and briefly review the evidence on oil price and credit shocks. I conclude that none of these popular candidates accounts for the bulk of economic fluctuations. I then examine whether...

Persistent link: https://www.econbiz.de/10012474230

Structural Interpretation of Vector Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane J.S. - 2017

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

Persistent link: https://www.econbiz.de/10012453546

Shock Restricted Structural Vector-Autoregressions

Ludvigson, Sydney C. - 2017

Identifying assumptions need to be imposed on dynamic models before they can be used to analyze the dynamic effects of economically interesting shocks. Often, the assumptions are only rich enough to identify a set of solutions. This paper considers two types of restrictions on the structural...

Persistent link: https://www.econbiz.de/10012455456

Fear of Sudden Stops : Lessons from Australia and Chile

Caballero, Ricardo - 2004

Latin American economies are exposed to substantial external vulnerability. Domestic imbalances and terms of trade shocks are often exacerbated by sudden stops of capital inflow. In this paper we explore ways of overcoming external vulnerability, drawing lessons from a detailed comparison of the...

Persistent link: https://www.econbiz.de/10012468174

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10012467213

Monetary Policy in a Data-Rich Environment

Bernanke, Ben - 2001

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10012470341

Global Savings and Global Investment : The Transmission of Identified Fiscal Shocks

Feyrer, James - 2009

US tax policy identified by Romer & Romer, we trace the impact of an exogenous shock to savings through the income … shock is transmitted abroad as an increase in the US current account. Positive shocks to US savings generate current account … deficits and increases in investment in other countries in the world. We cannot reject that the shock is uniformly transmitted …

Persistent link: https://www.econbiz.de/10012463537

Sudden Stops : Determinants and Output Effects in the First Era of Globalization, 1880-1913

Bordo, Michael D. - 2007

Using a sample of 20 emerging countries from 1880 to 1913, we study the determinants and output effects of sudden stops in capital inflows during an era of intensified globalization. We find that higher levels of original sin (hard currency debt to total debt) and large current account deficits...

Persistent link: https://www.econbiz.de/10012465157

Optimal Reserves in Financially Closed Economies

Jeanne, Olivier - 2016

Financially closed economies insure themselves against current-account shocks using international reserves. We characterize the optimal management of reserves using an open-economy model of precautionary savings and emphasize several results. First, the welfare-based opportunity cost of reserves...

Persistent link: https://www.econbiz.de/10012456536

The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan

Fukunaga, Ichiro - 2010

. The way oil price changes affect each industry depends on what kind of underlying shock drives oil price changes as well …

Persistent link: https://www.econbiz.de/10012462859

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