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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
We use a new micro data set to estimate a stochastic industry-equilibrium model of the oil industry. This effort is a first step towards studying the importance of ongoing structural changes in the oil market in a general-equilibrium model of the world economy. We analyze the impact of the...
Persistent link: https://www.econbiz.de/10012455258
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Shocks
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
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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
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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
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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to...
Persistent link: https://www.econbiz.de/10012453915
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The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates
Bianchi, Francesco - 2020
typical unemployment shock, depending on race/gender, resulting in a 3.0% increase in mortality rate and a 0.5% drop in life … expectancy over the next 15 years for the overall American population. We also predict that the shock will disproportionately …
Persistent link: https://www.econbiz.de/10012482522
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions …
Persistent link: https://www.econbiz.de/10012467213
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Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia
Abeysinghe, Tilak - 2001
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …
Persistent link: https://www.econbiz.de/10012470116
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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
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Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates
Eichenbaum, Martin - 1993
rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …
Persistent link: https://www.econbiz.de/10012474691