Similar Search Results

A Hodrick-Prescott filter with automatically selected jumps

Maranzano, Paolo; Pelagatti, Matteo - 2024

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

Persistent link: https://www.econbiz.de/10014578421

Do recessions occur concurrently across countries? : a multinomial logistic approach

Poon, Aubrey; Zhu, Dan - 2022

We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

Persistent link: https://www.econbiz.de/10013365832

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

Persistent link: https://www.econbiz.de/10010472799

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

Uncertainty, intangible capital, and productivity dynamics

Palombo, Edoardo - 2020

Following an unparalleled rise in uncertainty over the Great Recession, the US economy has been experiencing anaemic productivity growth. This paper offers a quantitative study on the link between uncertainty and low productivity growth. Firstly, using micro level data I show that uncertainty...

Persistent link: https://www.econbiz.de/10012243292

Is small beautiful? : size effects of volatility spillovers for firm performance and exchange rates in tourism

Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009701646

COVID-induced economic uncertainty

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020

Persistent link: https://www.econbiz.de/10012204869

Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators

Audrino, Francesco; Corsi, Fulvio; Filipova, Kameliya - In: Econometric reviews 35 (2016) 1/4, pp. 232-256

Persistent link: https://www.econbiz.de/10011549916

Binary conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph; Owyang, … - 2019

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and...

Persistent link: https://www.econbiz.de/10012137102

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

Persistent link: https://www.econbiz.de/10011389786

1
2
3
4
5
6
7
8
9
10
Next
Last