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Global Impacts of Us Monetary Policy Uncertainty Shocks
Lastauskas, Povilas; Minh, Anh - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna - 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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What are the Effects of Fiscal Policy Shocks? A VAR-based Comparative Analysis
Caldara, Dario - 2009
The empirical literature using vector autoregressive models to assess the effects of fiscal policy shocks strongly disagrees on even the qualitative response of key macroeconomic variables to government spending and tax shocks. We provide new evidence for the U.S. over the period 1955-2006. We...
Persistent link: https://www.econbiz.de/10012766572
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Forecasting Macroeconomic Risk in Real Time : Great and Covid-19 Recessions
De Santis, Roberto A. - 2020
additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock …We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing … become tighter. We use quantile regression and the skewed t-distribution and evaluate the forecasting properties of models …
Persistent link: https://www.econbiz.de/10012829414
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Monetary and Fiscal Complementarity in the Covid-19 Pandemic
Chadha, Jagjit; Corrado, Luisa; Meaning, Jack; Schuler, … - 2021
In response to the coronavirus (Covid-19) pandemic, there has been a complementary approach to monetary and fiscal …
Persistent link: https://www.econbiz.de/10013210564
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Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...
Persistent link: https://www.econbiz.de/10014076665
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Modelling Global Trade Flows : Results from a GVAR Model
Bussière, Matthieu - 2015
various scenarios, such as an output shock in the United States, a shock to the US real effective exchange rate and shocks to …) shock to US output than to a real effective depreciation of the dollar. In addition, the model can be used to monitor trade …
Persistent link: https://www.econbiz.de/10013039364
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Are Asset Price Data Informative About News Shocks? A DSGE Perspective
Iskrev, Nikolay I. - 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/10012916362
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Autoregressions in Small Samples, Priors about Observables and Initial Conditions
Jarocinski, Marek - 2010
We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the …
Persistent link: https://www.econbiz.de/10013136582
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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