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Bayesian structural VAR models : a new approach for prior beliefs on impulse responses
Bruns, Martin; Piffer, Michele - 2019
Structural VAR models are frequently identified using sign restrictions on contemporaneous impulse responses. We develop a methodology that can handle a set of prior distributions that is much larger than the one currently allowed for by traditional methods. We then develop an importance sampler...
Persistent link: https://www.econbiz.de/10011987867
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011771740
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No taxation without reallocation : the distributional effects of tax changes
Ettmeier, Stephanie - 2022
This paper investigates the dynamic effects of tax changes on the cross-sectional distribution of disposable income in the United States using a narrative identification approach. I distinguish between changes in personal and corporate income taxes and quantify the distributional effects on...
Persistent link: https://www.econbiz.de/10013435278
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The impact of oil revenues on the Iranian economy and the Gulf States
Dreger, Christian; Rahmani, Teymur - 2014
In line with the neoclassical growth model a persistent stream of oil revenues might have a long lasting impact on GDP per capita in oil exporting countries through higher investment activities. This relationship is explored for Iran and the countries of the Gulf Cooperation Council (GCC) using...
Persistent link: https://www.econbiz.de/10010259533
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Trends and cycles in macro series : the case of US real GDP
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US … be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for somedegree … cyclical component is stationary, with cycles repeating themselves every 6-10 years. …
Persistent link: https://www.econbiz.de/10011746636
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Long memory in German energy price indices
Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012
This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...
Persistent link: https://www.econbiz.de/10009580123
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The macroeconomic consequences of import tariffs and trade policy uncertainty
Boer, Lukas; Rieth, Malte - 2024
We estimate the macroeconomic effects of import tariffs and trade policy uncertainty in the United States, combining theory-consistent and narrative sign restrictions on Bayesian SVARs. We find mostly adverse consequences of protectionism. Tariff shocks are more important than trade policy...
Persistent link: https://www.econbiz.de/10014468789
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Assessing identifying restrictions in SVAR models
Piffer, Michele - 2016 - This draft: March 22, 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
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Partial identification of heteroskedastic structural VARs : theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de/10014528602
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003949493