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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959
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Which Sectors of a Modern Economy are Most Central?
Bloechl, Florian - 2010
We analyze input-output matrices for a wide set of countries as weighted directed networks. These graphs contain only 47 nodes, but they are almost fully connected and many have nodes with strong self-loops. We apply two measures: random walk centrality and one based on count-betweenness. Our...
Persistent link: https://www.econbiz.de/10013137865
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Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
Luetkepohl, Helmut - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …
Persistent link: https://www.econbiz.de/10013023197
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Identifying Monetary Policy Shocks Via Changes in Volatility
Lanne, Markku - 2013
data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …
Persistent link: https://www.econbiz.de/10012754187
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Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - 2021
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10013315817
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Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem - 2011
financial institutions in the transmission of credit and technology shocks to the real economy. A positive credit shock, defined … between loan and deposit rates. The effects of the credit shock tend to be highly persistent even without price rigidities and …
Persistent link: https://www.econbiz.de/10013119521
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Price Rigidities and the Granular Origins of Aggregate Fluctuations
Pasten, Ernesto - 2017
volatility from sectoral shocks, (ii) amplifies both the “granular” and the “network” effects, (iii) alters the identity and …
Persistent link: https://www.econbiz.de/10012947907
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The Changing Macroeconomic Response to Stock Market Volatility Shocks
Beetsma, Roel M. W. J. - 2011
activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …
Persistent link: https://www.econbiz.de/10013117909
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Uncertainty Across Volatility Regimes
Angelini, Giovanni - 2018
volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in …
Persistent link: https://www.econbiz.de/10012927574
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Fiscal Shocks and Real Exchange Rate Dynamics : Some Evidence for Latin America
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021
This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...
Persistent link: https://www.econbiz.de/10013316574