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Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States

Ravn, Morten O; Simonelli, Saverio - C.E.P.R. Discussion Papers - 2007

We use a 12-dimensional VAR to examine the dynamic effects on the labour market of four structural technology and policy shocks. For each shock, we examine the dynamic effects on the labour market, the importance of the shock for labour market volatility, and the comovement between labour market...

Persistent link: https://www.econbiz.de/10005123759

Hysteresis and Economic Fluctuations (Spain, 1970-94)

Dolado, Juan J.; López-Salido, J David - C.E.P.R. Discussion Papers - 1996

This paper uses long-run restrictions on a three-variable system containing output growth, real wage growth and the differenced unemployment rate, to isolate three 'structural' shocks which drove business cycle fluctuations in Spain during 1970-94. These shocks are interpreted as aggregate...

Persistent link: https://www.econbiz.de/10005124406

Testing for Sufficient Information in Structural VARs

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2011

We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we...

Persistent link: https://www.econbiz.de/10008854473

Does Information Help Recovering Structural Shocks from Past Observations?

Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2006

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and...

Persistent link: https://www.econbiz.de/10005666465

Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?

Kilian, Lutz - C.E.P.R. Discussion Papers - 2005

inflation. This study focuses on the modern OPEC period since 1973. The results differ along a number of dimensions from the … sustained reduction in economic growth for a year. They also suggest a spike in CPI inflation three quarters after the exogenous … oil supply shock rather than a sustained increase in inflation, as is sometimes conjectured. Finally, the results of this …

Persistent link: https://www.econbiz.de/10005124344

Aggregate and Regional Disaggregate Fluctuations

Quah, Danny - C.E.P.R. Discussion Papers - 1995

This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Persistent link: https://www.econbiz.de/10005504615

Noisy News in Business cycles

Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca - C.E.P.R. Discussion Papers - 2013

In a situation where agents can only observe a noisy signal of the shock to future economic fundamentals, SVAR models can still be successfully employed to estimate the shock and the associated impulse response functions. Identification is reached by means of dynamic rotations of the reduced...

Persistent link: https://www.econbiz.de/10011145478

Macro-Financial Linkages: evidence from country-specific VARs

Guarda, Paolo; Jeanfils, Philippe - C.E.P.R. Discussion Papers - 2012

This paper estimates the contribution of financial shocks to fluctuations in the real economy by augmenting the standard macroeconomic vector autoregression (VAR) with five financial variables (real stock prices, real house prices, term spread, loans-to-GDP ratio and loans-to-deposits ratio)....

Persistent link: https://www.econbiz.de/10011083242

Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions

Lippi, Francesco; Nobili, Andrea - C.E.P.R. Discussion Papers - 2008

We consider an economy where the oil price, industrial production, and other macroeconomic variables fluctuate in response to a variety of fundamental shocks. We estimate the effects of different structural shocks using robust sign restrictions suggested by theory using US data for the 1973-2007...

Persistent link: https://www.econbiz.de/10005791245

Fiscal Foresight and the Effects of Goverment Spending

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2010

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...

Persistent link: https://www.econbiz.de/10008468535

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