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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets

Romain, Houssa; Mohimont, Jolan; Otrok, Chris - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10010317005

A Model for International Spillovers to Emerging Markets

Houssa, Romain; Mohimont, Jolan; Otrok, Chris - 2019

This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the specificities of both economies (e.g. primary commodity,...

Persistent link: https://www.econbiz.de/10012052808

A Model for International Spillovers to Emerging Markets

Houssa, Romain - 2019

Persistent link: https://www.econbiz.de/10012866875

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

Persistent link: https://www.econbiz.de/10010276215

Inflation Tales: The Heterogenous Price Effects from Current Account Dynamics

Afonso, António; Alves, José; Jalles, João; … - 2024

This paper examines the impact of current account balances on energy, headline, and core inflation across developed and developing economies from 1980 to 2023. Using Panel OLS fixed effects, Panel-IV 2SLS and Panel Vector Autoregressive models, we find that an improvement in the current account...

Persistent link: https://www.econbiz.de/10015175315

Climate Policies, Energy Shocks and Spillovers Between Green and Brown Stock Price Indices

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2025

This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate GARCH-BEKK models including dummy variables controlling...

Persistent link: https://www.econbiz.de/10015398895

Effectiveness and Transmission of the ECB's Balance Sheet Policies

Boeckx, Jef; Dossche, Maarten; Peersman, Gert - 2014

crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …

Persistent link: https://www.econbiz.de/10010398646

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, Mohammad Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10010276270

Exit Dynamics of Start-up Firms: Does Profit Matter?

Golombek, Rolf; Raknerud, Arvid - 2015

We estimate by means of indirect inference a structural economic model where firms' exit and investment decisions are the solution to a discrete-continuous dynamic programming problem. In the model the exit probability depends on the current capital stock and a measure of short-run...

Persistent link: https://www.econbiz.de/10010480899

Will stability last?

Martin, William; Rowthorn, Robert - 2004

There is no consensus about the causes of the reduction in business cycle volatility seen in many major economies over the last decade. Using stylised models of the economies of the US, Euro area, UK and Japan, we argue that economic stability has been fostered by improved monetary policy and by...

Persistent link: https://www.econbiz.de/10010261075