line with theory, induce a negative nowcast error but raise economic activity in the short run. They account for up to 30 …

between multiplier size and the import share. Employing an interacted panel VAR model for EU countries, we estimate the effect …

In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or … findings survive three identification strategies and across subsamples. Then, they are rationalized via the estimation of a two …

drawbacks. It thereby enables researchers wishing to use identification of structural VAR models via heteroskedasticity to make …A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used …

-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high …

We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on … at least fifteen times since 1999. This information is used to restrict the sign and magnitude of the structural … residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that … inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the …