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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

Bayesian analysis of econometric time series models using hybrid integration rules

Moreira, Ajax; Gamerman, Dani - 2015

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...

Persistent link: https://www.econbiz.de/10012018632

The impact of uncertainty and certainty shocks

Schüler, Yves - 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

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

Globalization and international business cycle dynamics : a conditional GVAR approach

Binder, Michael; Offermanns, Christian J. - 2014

We examine the effects of increased international integration of both goods and financial markets on business cycle dynamics. To do so, we develop a new econometric framework for modelling cross-country spillovers in which the magnitude of these spillovers is an empirically determined function...

Persistent link: https://www.econbiz.de/10010414228

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

Heterogeneity in euro-area monetary policy transmission : results from a large multi-country BVAR model

Mandler, Martin; Scharnagl, Michael; Volz, Ute - 2016

We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...

Persistent link: https://www.econbiz.de/10011444752

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

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

The (ir)relevance of rule-of-thumb consumers for U.S. business cycle fluctuations

Albonico, Alice; Ascari, Guido; Haque, Qazi - 2020

Persistent link: https://www.econbiz.de/10012601687