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Core inflation in the Euro area : evidence from the structural VAR approach

Hahn, Elke - 2002 - This version: April 2002

Against the difficult background of analysing aggregated data in this paper core inflation in the euro area is estimated by means of the structural vector autoregressive approach. We demonstrate that the HICP sometimes seems to be a misleading indicator for monetary policy in the euro area. We...

Persistent link: https://www.econbiz.de/10009767687

The role of the prior in estimating VAR models with sign restrictions

Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR … distribution and show that there is no evidence that typical sign-identified VAR models estimated using conventional priors tend to … alternative Bayesian approach to estimating sign-identified VAR models proposed by Baumeister and Hamilton (2015) suffers from …

Persistent link: https://www.econbiz.de/10012661969

Forty years of oil price fluctuations : why the price of oil may still surprise us

Baumeister, Christiane; Kilian, Lutz - 2015

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

Persistent link: https://www.econbiz.de/10011411360

On the importance of sectoral shocks for price-setting

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - 2009

We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectoral as done in other papers). Employing a new method to extract factors from...

Persistent link: https://www.econbiz.de/10003947456

Microeconometric evidence on demand-side real rigidity and implications for monetary non-neutrality

Beck, Günter W.; Lein-Rupprecht, Sarah M. - 2016

To model the observed slow response of aggregate real variables to nominal shocks, most macroeconomic models incorporate real rigidities in addition to nominal rigidities. One popular way of modelling such a real rigidity is to assume a non-constant demand elasticity. By using a homescan data...

Persistent link: https://www.econbiz.de/10011532828

Optimal monetary policy with imperfect common knowledge

Adam, Klaus - 2003

We study optimal nominal demand policy in an economy with monopolistic competition and flexible prices when firms have imperfect common knowledge about the shocks hitting the economy. Parametrizing firms' information imperfections by a (Shannon) capacity parameter that constrains the amount of...

Persistent link: https://www.econbiz.de/10009765354

Financial shocks and the real economy in a nonlinear world : from theory to estimation

Silvestrini, Andrea; Zaghini, Andrea - 2015

We examine the inter-linkages between financial factors and real economic activity. We review the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models. We outline, from a policy perspective, the most recent empirical papers focusing on the...

Persistent link: https://www.econbiz.de/10011279726

Macroeconomic responses to uncertainty shocks : the perils of recursive orderings

Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2022

structural vector autogressive (VAR) models. When the implied impulse responses look similar, the estimates are considered … prove by counterexample that this practice is invalid in general, whether the data generating process is a structural VAR …

Persistent link: https://www.econbiz.de/10014486599