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Spillovers in space and time: Where spatial econometrics and Global VAR models meet
Elhorst, Jean Paul; Tereanu, Eugen; Gross, Marco - 2018
We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight)...
Persistent link: https://www.econbiz.de/10011853322
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, Hashem - 2009
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10011605044
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Term Premia Implications of Macroeconomic Regime Changes
Carboni, Giacomo - 2014
Term premia are shown to provide crucial information for discriminating among alternative sources of change in the economy, and namely shifts in the variance of structural shocks and in monetary policy. These sources have been identified as competing explanations for time-varying features of...
Persistent link: https://www.econbiz.de/10013052937
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10011605224
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Monetary Policy, Housing Booms and Financial (Im) Balances
Eickmeier, Sandra - 2015
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10013038915
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Identifying the monetary transmission mechanism using structural breaks
Beyer, Andreas; Farmer, Roger E. A. - 2003
identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the …
Persistent link: https://www.econbiz.de/10011604321
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Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach
Welz, Peter - 2006
monetary shock and a preference shock are comparable to those of an identified VAR model. …
Persistent link: https://www.econbiz.de/10011604667
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Assessing Predetermined Expectations in the Standard Sticky-Price Model : A Bayesian Approach
Welz, Peter - 2021
monetary shock and a preference shock are comparable to those of an identified VAR model.VAR model …
Persistent link: https://www.econbiz.de/10013318117
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Market power and fiscal policy in OECD countries
Afonso, António; Costa, Luís F. - 2010
and macroeconomic variables in a VAR framework. From impulse-response functions the results, with annual data for a set of …
Persistent link: https://www.econbiz.de/10011605219
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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10011604635