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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

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - 2006

observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t … identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to … detect identification failures and apply them to a state-of-the-art model. …

Persistent link: https://www.econbiz.de/10011604629

Are asset price data informative about news shocks? A DSGE perspective

Iskrev, Nikolay - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

Persistent link: https://www.econbiz.de/10011916865

Spatial dependence in commercial property prices: micro evidence from the Netherlands

Özyurt, Selin - 2014

Following a hedonic framework, this paper constructs various transaction-based commercial property price indicators for the Netherlands. Using quarterly data from the Investment Property Databank (IPD), the analysis covers a total of 10,000 listed properties over the period 2001-2011. The study...

Persistent link: https://www.econbiz.de/10011605672

Spatial Dependence in Commercial Property Prices : Micro Evidence from the Netherlands

Özyurt, Selin - 2014

Persistent link: https://www.econbiz.de/10013060537

Analysing and combining multiple credit assessments of financial institutions

Tabakis, Evangelos; Vinci, Anna - 2002

The last consultative papers of the Basel Committee on Banking Supervision set the path for a future where a wealth of credit assessment sources may be available. New external credit assessment institutions and internal ratings-based assessments will be added to ratings of major international...

Persistent link: https://www.econbiz.de/10011604169

The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data

Farinha, Luísa; Robalo Marques, Carlos - 2001

Portuguese micro bank data. In contrast to the conventional approach, which addresses the identification issue by resorting to …

Persistent link: https://www.econbiz.de/10011604148

Identifying the effects of monetary policy shocks on exchange rates using high frequency data

Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, … - 2002

rate. We show how this information can be used to achieve identification without having to make the usual strong assumption …

Persistent link: https://www.econbiz.de/10011604213

On the indeterminacy of determinacy and indeterminacy

Beyer, Andreas; Farmer, Roger E. A. - 2003

A number of authors have attempted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays...

Persistent link: https://www.econbiz.de/10011604323

A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models

Beyer, Andreas; Farmer, Roger E. A. - 2006

We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...

Persistent link: https://www.econbiz.de/10011604632

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