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Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates

Badinger, Harald - 2020

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

Persistent link: https://www.econbiz.de/10012822501

The Econometrics of Oil Market VAR Models

Kilian, Lutz - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012839764

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme …

Persistent link: https://www.econbiz.de/10014262412

Macroeconomics with a Thick Pen

Gronwald, Marc; Jin, Xin - 2023

This paper introduces two co-movement measures based on the Thick Pen Transform into the macroeconomic literature: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). Both measures are non-parametric, time-varying, and ﬂexible....

Persistent link: https://www.econbiz.de/10014356480

Macroeconomics and the Environment : A Selective Survey

Sen, Partha - 2020

? National income accounts do not take into account non-market activities. Some progress has been made in the theory and …

Persistent link: https://www.econbiz.de/10012839360

Identifying Global and National Output and Fiscal Policy Shocks Using a Gvar

Chudik, Alexander - 2019

due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock …

Persistent link: https://www.econbiz.de/10012892134

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012838235

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

Persistent link: https://www.econbiz.de/10012824829

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...

Persistent link: https://www.econbiz.de/10012842676

Hartz IV and the Decline of German Unemployment : A Macroeconomic Evaluation

Hochmuth, Brigitte; Kohlbrecher, Britta; Merkl, Christian; … - 2021

This paper proposes a new approach to evaluate the macroeconomic effects of the “Hartz IV” reform, which reduced the generosity of long-term unemployment benefits. We propose a model with different unemployment durations, where the reform initiates both a partial effect and an equilibrium...

Persistent link: https://www.econbiz.de/10013239563