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Does Information Help Recovering Structural Shocks from Past Observations?
Giannone, Domenico; Reichlin, Lucrezia - 2021
This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is "yes" and...
Persistent link: https://www.econbiz.de/10013317596
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VAR Analysis and the Great Moderation
Benati, Luca; Surico, Paolo - 2021
capture the truth, whereas impulse-response functions to a monetary policy shock exhibit little change across regimes. Since …
Persistent link: https://www.econbiz.de/10013316598
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …
Persistent link: https://www.econbiz.de/10014353582
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Monetary Policy and the Financing of Firms
De Fiore, Fiorella - 2012
How should monetary policy respond to changes in financial conditions? In this paper we consider a simple model where firms are subject to idiosyncratic shocks which may force them to default on their debt. Firms' assets and liabilities are denominated in nominal terms and predetermined when...
Persistent link: https://www.econbiz.de/10013116576
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Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010
Abildgren, Kim - 2012
a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …
Persistent link: https://www.econbiz.de/10013102102
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International Trade, Technological Shocks and Spillovers in the Labour Market : A GVAR Analysis of the US Manufacturing Sector
Vansteenkiste, Isabel - 2007
standard set of labour-market related variables (employment,real compensation, productivity and capital stock) and exogenous … negatively affects real compensation, has negligible employment effects and leads to higher labour productivity. These impacts …-specific employment and productivity shocks. Impact elasticities suggest strong intra-sectoral linkages for employment and capital stock …
Persistent link: https://www.econbiz.de/10012777698
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What Does a Technology Shock Do? A VAR Analysis with Model-Based Sign Restrictions
Dedola, Luca - 2007
This paper estimates the effects of technology shocks in VAR models of the U.S., identified by imposing restrictions on the sign of impulse responses. These restrictions are consistent with the implications of a popular class of DSGE models, with both real and nominal frictions, and with...
Persistent link: https://www.econbiz.de/10012778132
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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
, the paper applies a newly developed methodology based on infinite VAR theory featuring a dominant unit to a large set of … 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
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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 modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...
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