Narrow search
Showing 1 - 10 of 317
Cover Image
Shocks and Frictions in Us Business Cycles : A Bayesian DSGE Approach
Smets, Frank; Wouters, Rafael - 2021
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...
Persistent link: https://www.econbiz.de/10013317250
Cover Image
Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …
Persistent link: https://www.econbiz.de/10013130602
Cover Image
Can Non-Linear Real Shocks Explain the Persistence of PPP Exchange Rate Disequilibria?
Peltonen, Tuomas A. - 2011
A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths,...
Persistent link: https://www.econbiz.de/10013134541
Cover Image
Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756
Cover Image
The Exchange Rate, Asymmetric Shocks and Asymmetric Distributions
Demian, Vlad - 2015
The elasticity of exports to exchange rate fluctuations has been the subject of a large literature without a clear consensus emerging. Using a novel sector level dataset based on firm level information, we show that exchange rate elasticities double in size when the country and sector specific...
Persistent link: https://www.econbiz.de/10013020655
Cover Image
Global Commodity Cycles and Linkages : A FAVAR Approach
Lombardi, Marco J. - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10013146204
Cover Image
The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …
Persistent link: https://www.econbiz.de/10013060040
Cover Image
Global Exchange Rate Configurations : Do Oil Shocks Matter?
Bützer, Sascha; Habib, Maurizio Michael; Stracca, Livio - 2021
, oil exporters experience significant appreciation pressures following an oil demand shock, which they tend to counter by …
Persistent link: https://www.econbiz.de/10013315906
Cover Image
US Shocks and Global Exchange Rate Configurations
Fratzscher, Marcel - 2021
The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of important US-specific economic shocks, it shows that such shocks have exerted a remarkably heterogeneous effect on global exchange rate configurations over the past 25 years....
Persistent link: https://www.econbiz.de/10013316761
Cover Image
The Impact of Exchange Rate Shocks on Sectoral Activity and Prices in the Euro Area
Hahn, Elke - 2021
activity and prices. According to our results, among the main euro area sectors an exchange rate shock has the strongest impact … supply, and in line with this producer prices in MIG energy are most sensitive to an exchange rate shock …
Persistent link: https://www.econbiz.de/10013316897