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We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends … to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy …
Persistent link: https://www.econbiz.de/10011735982
countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural …
Persistent link: https://www.econbiz.de/10003730274
type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank …
Persistent link: https://www.econbiz.de/10010257361
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10008697545
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/10003751230
Persistent link: https://www.econbiz.de/10003364334
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...
Persistent link: https://www.econbiz.de/10003833344
policy shock leads to a persistent fall in international output, a drop in global inflation rates, a rise in international … shock to foreign real GDP growth. …
Persistent link: https://www.econbiz.de/10011444866
We model U.S. post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions....
Persistent link: https://www.econbiz.de/10011864417
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the ZeroLower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...
Persistent link: https://www.econbiz.de/10011718014