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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
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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
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A Model for International Spillovers to Emerging Markets
Houssa, Romain - 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/10012866875
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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
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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
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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
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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
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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
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Aggregate wage flexibility in selected new EU member states
Babetskii, Ian - 2007
A fixed exchange rate regime eliminates one degree of freedom in absorbing macroeconomic shocks. Therefore, there is a call for higher labor market flexibility in countries which are members of the monetary union or those which intend to join the monetary union. Focusing on the cross-country...
Persistent link: https://www.econbiz.de/10010264068
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Monetary policy transmission and house prices : European cross-country evidence
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009
transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse …
Persistent link: https://www.econbiz.de/10010271967