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Empirical evidence on the dynamics of investment under uncertainty in the U.S.
Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019
Persistent link: https://www.econbiz.de/10012208719
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The impact of uncertainty and certainty shocks
Schüler, Yves S. - 2020
's (2009) two identification steps into one. I find that an uncertainty shock widens the conditional distribution of future … real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing … that the two shocks are different shocks. Each shock impacts the real economy uniquely. I support this with the underlying …
Persistent link: https://www.econbiz.de/10012180723
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Economic theories and macroeconomic reality
Loria, Francesca; Matthes, Christian; Wang, Mu-Chun - 2021
that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the …
Persistent link: https://www.econbiz.de/10012792815
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
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Bank loan supply shocks and alternative financing of non-financial corporations in the euro area
Mandler, Martin; Scharnagl, Michael - 2019
-bank loans to be substitutes for bank loans with negative responses to a positive loan supply shock while trade credit is a …
Persistent link: https://www.econbiz.de/10012034573
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Partial pooling with cross-country priors : an application to house price shocks
Roth, Markus - 2020
A structural Bayesian vector autoregression model predicts that - when accompanied by a decline in consumer confidence - a one-percent decrease in house prices is associated with a contraction of economic activity by 0.2 to 1.2 percent after one year. Results point to important second-round...
Persistent link: https://www.econbiz.de/10012173539
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Vector autoregression analysis and the great moderation
Benati, Luca (contributor); Surico, Paolo (contributor) - 2007
Most analyses of the U.S. Great Moderation have been based on VAR methods, and have consistently pointed toward good luck as the main explanation for the greater macroeconomic stability of recent years. Using data generated by a New-Keynesian model in which the only source of change is the move...
Persistent link: https://www.econbiz.de/10003563240
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013184356
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Multivariate spatial regression models
Gamerman, Dani; Moreira, Ajax - 2015
This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are...
Persistent link: https://www.econbiz.de/10012019328
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709