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The end of cheap labour : are foreign investors leaving China?
Donaubauer, Julian; Dreger, Christian - 2016 - This version: July 2016
China’s government is promoting the shift towards a consumption-based economy since a few years. The explicit goal to significantly raise the percentage of wages in the national household income is integral part of the 12th Five-Year Plan (2011-15). The changes in the economic strategy are...
Persistent link: https://www.econbiz.de/10011514864
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010361372
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10010233991
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Monetary policy, external instruments and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - 2021 - This version: June 18, 2021
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …
Persistent link: https://www.econbiz.de/10012545191
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Heteroskedastic proxy vector autoregressions : testing for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin; Lütkepohl, Helmut - 2022 - This version: May 2, 2022
We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is...
Persistent link: https://www.econbiz.de/10013198929
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes …. Heteroskedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary …
Persistent link: https://www.econbiz.de/10011810177
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Monetary policy, external instruments and heteroskedasticity
Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10011880710
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Monetary policy, external instruments and heteroskedasticity
Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019
We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the … identifying information in heteroskedasticity are less efficient and tend to underestimate the effects of monetary policy. …
Persistent link: https://www.econbiz.de/10012041145
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Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - 2012
autoregression ; heteroskedasticity ; rude oil market …
Persistent link: https://www.econbiz.de/10009579219
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Estimating heterogeneous returns to education in Germany via conditional heteroskedasticity
Saniter, Nils Peter - 2012
new method by Klein and Vella (2010) that bases identification on the presence of conditional heteroskedasticity. Compared …
Persistent link: https://www.econbiz.de/10009579237