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International spillovers and feedback : modelling in a disequilibrium framework
Winker, Peter - 2000
German unifikation hit the West German economy in a prosperous and appeared as a huge demand shock at least for the … those resulting from the demand shock of German unification, to effect not only German trade flows, but also real variables … modelling approach and estimation results for the trade submodels are presented in some detail and simmulation results for the …
Persistent link: https://www.econbiz.de/10013428333
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …
Persistent link: https://www.econbiz.de/10010373684
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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 global financial cycle and macroeconomic tail risks
Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...
Persistent link: https://www.econbiz.de/10013459721
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Optimal unemployment insurance and international risk sharing
Moyen, Stéphane; Stähler, Nikolai; Winkler, Fabian - 2016
We discuss how cross-country unemployment insurance can be used to improve international risk sharing. We use a two-country business cycle model with incomplete financial markets and frictional labor markets where the unemployment insurance scheme operates across both countries. Cross-country...
Persistent link: https://www.econbiz.de/10011532638
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Disaggregating the international business cycle
Gilhooly, Robert; Weale, Martin; Wieladek, Tomasz - 2012
This paper investigates the international business cycle with new sector level data on hours and output for Canada, Germany, France, Italy, the United Kingdom and the United States from 1992 Q1 to 2011 Q3. We estimate a Bayesian dynamic common factor model on this disaggregate data to decompose...
Persistent link: https://www.econbiz.de/10009580709
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885
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US business cycle dynamics at the zero lower bound
Böhl, Gregor; Strobel, Felix - 2020
the estimation severely distorts the analysis of the latest economic dynamics. …
Persistent link: https://www.econbiz.de/10012406022
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(Un)expected monetary policy shocks and term premia
Kliem, Martin; Meyer-Gohde, Alexander - 2017
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...
Persistent link: https://www.econbiz.de/10011740263
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …
Persistent link: https://www.econbiz.de/10012215285