Narrow search
Showing 1 - 10 of 1,229
Cover Image
Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)
Caggiano, Giovanni - 2020
This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...
Persistent link: https://www.econbiz.de/10012824829
Cover Image
Time-Varying Dynamics of the German Business Cycle : A Comprehensive Investigation
Reif, Magnus - 2021
over time. German trend inflation has strongly decreased and settled at a historically low level. GDP growth volatility … do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi …
Persistent link: https://www.econbiz.de/10013214330
Cover Image
Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital
Malley, Jim - 2011
Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...
Persistent link: https://www.econbiz.de/10013120659
Cover Image
Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates
Badinger, Harald - 2020
We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area...
Persistent link: https://www.econbiz.de/10012822501
Cover Image
Labor Market Institutions, Fiscal Multipliers, and Macroeconomic Volatility
Böck, Maximilian; Crespo Cuaresma, Jesus; Glocker, … - 2022
, and (iii) employment protection – shape fiscal multipliers and output volatility. Our theoretical model highlights that … more stringent labor market institutions attenuate both fiscal spending multipliers and macroeconomic volatility. This is …
Persistent link: https://www.econbiz.de/10014083477
Cover Image
Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis
Lanne, Markku; Luetkepohl, Helmut - 2008
The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...
Persistent link: https://www.econbiz.de/10010264444
Cover Image
Inflation and GDP Dynamics in Production Networks : A Sufficient Statistics Approach
Afrouzi, Hassan; Bhattarai, Saroj - 2023
We derive closed-form solutions and sufficient statistics for inflation and GDP dynamics in multi-sector New Keynesian … of inflation and GDP responses to monetary and sectoral shocks and (2) increase the pass-through of sectoral shocks to … aggregate inflation. Quantitatively, we confirm the significant role of production networks in shock propagation, emphasizing …
Persistent link: https://www.econbiz.de/10014356604
Cover Image
A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …
Persistent link: https://www.econbiz.de/10013282457
Cover Image
Monetary Commitment, Institutional Constraints and Inflation : Empirical Evidence for OECD Countries Since the 1970s
Freytag, Andreas; Schneider, Friedrich - 2021
Central bank independence (CBI) is a very important precondition for price stability. However, the empirical evidence for a correlation between both is relatively weak. In this paper, this weakness is countered with a) an extended measure of monetary commitment, which includes well-known...
Persistent link: https://www.econbiz.de/10013317032
Cover Image
How strongly did the 2007/08 oil price hike contribute to the subsequent recession?
Carstensen, Kai; Elstner, Steffen; Paula, Georg - 2011
In this paper we challenge the view that the oil price has lost its influence on economic activity after the mid-1980s. While we concede that typical VAR models put forward in the literature fail to identify oil price shocks that significantly affect aggregate production, we obtain clearly...
Persistent link: https://www.econbiz.de/10010274918