Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10009722689
We propose using sign restrictions to identify regional labor demand shocks in a panel VAR of US federal states. Observed migration responds significantly, but less persistently than the residual-based migration measure constructed by Blanchard and Katz (1992). -- regional labor markets ;...
Persistent link: https://www.econbiz.de/10009575122
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...
Persistent link: https://www.econbiz.de/10011380027
Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these...
Persistent link: https://www.econbiz.de/10011382001
analysis. A Jordan decomposition of Σt is used to obtain independent and identically distributed innovations. A general issue …
Persistent link: https://www.econbiz.de/10011301206
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011556166
We propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 - 2014Q2. The availability of a quarterly series for net immigration is...
Persistent link: https://www.econbiz.de/10012957661
A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper,...
Persistent link: https://www.econbiz.de/10012867387
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
Persistent link: https://www.econbiz.de/10010191084