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System Priors for Econometric Time Series

Andrle, Michal - 2017

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...

Persistent link: https://www.econbiz.de/10012966549

Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, But Not Greece

González Hermosillo, Brenda - 2014

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....

Persistent link: https://www.econbiz.de/10013053040

Asymmetric Effects of Government Spending : Does the Level of Real Interest Rates Matter?

Choi, Woon Gyu; Devereux, Michael B. - 2021

This paper empirically explores how fiscal policy (represented by increases in government spending) has asymmetric effects on economic activity at different levels of real interest rates. It suggests that the effect of fiscal policy depends on the level of real rates, since the Ricardian effect...

Persistent link: https://www.econbiz.de/10013318098

A Closed Form Multivariate Linear Filter

Vitek, Francis - 2019

This paper considers the problem of jointly decomposing a set of time series variablesinto cyclical and trend components, subject to sets of stochastic linear restrictionsamong these cyclical and trend components. We derive a closed form solution to anordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10012895105

Judge Bias in Labor Courts and Firm Performance

Cahuca, Pierre; Carcillo, Stéphane; Patault, Berengere; … - 2021

Does labor court uncertainty and judge subjectivity influence firms' performance? We study the economic consequences of judge decisions by collecting information on more than 145,000 Appeal court rulings, combined with administrative firm-level records covering the whole universe of French...

Persistent link: https://www.econbiz.de/10013243055

Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)

Verdugo Yepes, Concepcion - 2015

This paper studies the transmission of crime shocks to the economy in a sample of 32 Mexican states over the period … associated with the sign and magnitude of the responses of economic variables to crime shocks …

Persistent link: https://www.econbiz.de/10013020268

Crime and Output : Theory and Application to the Northern Triangle of Central America

Plotnikov, Dmitry - 2020

This paper presents a structural model of crime and output. Individuals make an occupationalchoice between criminal and … level of crime andeconomic activity. I calibrate the model to the Northern Triangle countries and conductseveral policy … experiments. I find that for a country like Honduras crime reduces GDP byabout 3 percent through its negative effect on employment …

Persistent link: https://www.econbiz.de/10012842207

Pictures of a Revolution : Analyzing the Transition from Global Bimetallism to the Gold Standard in the 1860s and 1870s

Wiegand, Johannes - 2022

In the early 1870s, the global monetary system transitioned from bimetallism—a regime in which gold and silver currencies were tied at quasi-fixed exhange ratios—to the gold standard that was characterized by the use of (only) gold as the main currency metal by the largest and most advanced...

Persistent link: https://www.econbiz.de/10014081241

Steady as She Goes-Estimating Potential Output During Financial 'Booms and Busts'

Berger, Helge - 2016

Potential output-in the sense of the GDP level or path an economy can sustain over the medium term-is a crucial benchmark for policymakers. However, it is difficult to estimate when financial 'booms and busts' are driving the real economy. This paper uses a simple multivariate filtering approach...

Persistent link: https://www.econbiz.de/10013002146

Macrofinancial Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2016

This paper develops a structural macroeconometric model of the world economy,disaggregated into forty national economies. This panel dynamic stochastic generalequilibrium model features a range of nominal and real rigidities, extensivemacrofinancial linkages, and diverse spillover transmission...

Persistent link: https://www.econbiz.de/10013002153