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The Impact of Monetary Policy Shocks on Commodity Prices
Anzuini, Alessio - 2010
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock …
Persistent link: https://www.econbiz.de/10013139795
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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
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Macroeconomic Shocks in an Oil Market VAR
Melolinna, Marko - 2021
underline the importance of the source of an oil shock for its macroeconomic consequences. Oil supply shocks have been less …
Persistent link: https://www.econbiz.de/10013315918
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065408
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna Barbara - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012844716
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Fiscal Developments and Financial Stress : A Threshold VAR Analysis
Afonso, António - 2011
economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than …
Persistent link: https://www.econbiz.de/10013128285
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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
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 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/10011605216
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco J.; Pagano, Patrizio - 2010
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. …
Persistent link: https://www.econbiz.de/10011605278
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Energy Supply Shocks’ Nonlinearities on Output and Prices
De Santis, Roberto A.; Tornese, Tommaso - 2023
We use a Bayesian Threshold Vector Autoregression model identified through sign and narrative restrictions to uncover non-linearities in the propagation of energy supply shocks. We find that the transmission of energy supply shocks on consumer prices is stronger in high-inflation regimes,...
Persistent link: https://www.econbiz.de/10014352840