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Euro Area Labour Markets : Different Reaction to Shocks?
Bruha, Jan - 2011
decomposition of endogenous variables in trends and cycles, for shock decomposition, for incorporating external judgement, and for …
Persistent link: https://www.econbiz.de/10013132048
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Monetary Policy Shocks and Firms’ Bank Loan Expectations
Ferrando, Annalisa; Grazzini, Caterina Forti - 2023
, with a contractionary shock leading to a downward revision of expectations. Second, we show that firms’ response depends on … the size and the sign of the shock, with only large and contractionary shocks having a significant negative effect on … expectations. Third, we observe that the different components of central bank communication (i.e. the pure monetary policy shock …
Persistent link: https://www.econbiz.de/10014352750
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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
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
We solve a real business cycle model with rational inattention (an RI-RBC model). In the RIRBC model, the growth rates of employment, investment, and output are about as persistent as in the data, with an amount of inattention consistent with survey data on expectations. Moreover, consumption,...
Persistent link: https://www.econbiz.de/10014353582
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The Asymmetric Effects of Weather Shocks on Euro Area Inflation
Ciccarelli, Matteo; Kuik, Friderike; Hernández, … - 2023
-gressions which explicitly considers the seasonal dependence of the shock. Results suggest the presence of significant country …
Persistent link: https://www.econbiz.de/10014355983
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Productivity Shocks and Real Exchange Rates : A Reappraisal
Peltonen, Tuomas A. - 2009
We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation framework that incorporates a large number of countries and importantly, a dataset that allows explicit consideration of the role of non-traded, as well as traded, sector productivity...
Persistent link: https://www.econbiz.de/10012764033
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Responses to Monetary Policy Shocks in the East and West of Europe : A Comparison
Jarocinski, Marek - 2009
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...
Persistent link: https://www.econbiz.de/10012765781
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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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On Implications of Micro Price Data for Macro Models
Mackowiak, Bartosz - 2008
We review the recent literature that studies new, detailed micro data on prices. We discuss implications of the new micro data for macro models. We argue that the new micro data are helpful for macro models, but not decisive. There is no simple mapping from the frequency of price changes in...
Persistent link: https://www.econbiz.de/10012769307
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Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756