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Structural Interpretation of Vector Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks
Baumeister, Christiane - 2018
and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation … a significant lag, whereas shocks to oil demand do not …
Persistent link: https://www.econbiz.de/10012931213
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Shock Restricted Structural Vector-Autoregressions
Ludvigson, Sydney C. - 2017
It is well known that the covariance structure of the data alone is not enough to identify an SVAR, and the conventional approach is to impose restrictions on the parameters of the model based on a priori theoretical considerations. This paper suggests that much can be gained by requiring the...
Persistent link: https://www.econbiz.de/10012960789
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Shocks
Cochrane, John H. - 2021
What are the shocks that drive economic fluctuations? I examine technology and money shocks in some detail, and briefly review the evidence on oil price and credit shocks. I conclude that none of these popular candidates accounts for the bulk of economic fluctuations. I then examine whether...
Persistent link: https://www.econbiz.de/10013229832
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Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia
Abeysinghe, Tilak; Forbes, Kristin J. - 2022
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …
Persistent link: https://www.econbiz.de/10013292459
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Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks
Kim, Jung-Wook - 2013
crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably … and demand elasticities correlate negatively at high frequencies. That is, when a stock exhibits an unusually elastic … demand curve, it tends simultaneously to exhibit an unusually inelastic supply curve, and vice versa. These findings have …
Persistent link: https://www.econbiz.de/10012753216
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Capital Flows and the Behavior of Emerging Market Equity Returns
Bekaert, Geert - 2010
Foreign portfolio flows may reflect deep changes in the functioning of an emerging market economy and its capital markets. Using a database of monthly net U.S. equity flows, we investigate the relation of these flows to the behavior of equity returns, the structural characteristics of the...
Persistent link: https://www.econbiz.de/10012763588
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Financial Market Runs
Bernardo, Antonio E. - 2002
Our paper offers a minimalist model of a run on a financial market. The prime ingredient is that each risk-neutral investor fears having to liquidate after a run, but before prices can recover back to fundamental values. During the urn, only the risk-averse market-making sector is willing to...
Persistent link: https://www.econbiz.de/10012787092
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Inflation, Monetary Policy and Stock Market Conditions
Bordo, Michael D. - 2008
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10012771830
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Stock Market Wealth and the Real Economy : A Local Labor Market Approach
Chodorow-Reich, Gabriel - 2019
of a stock market wealth shock when monetary policy is passive. A 20% increase in stock valuations, unless countered by … shock.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this …
Persistent link: https://www.econbiz.de/10012868351
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The Pass-Through of Uncertainty Shocks to Households
Di Maggio, Marco; Kermani, Amir; Ramcharan, Rodney; … - 2022
greater financial fragility among lower-income earners. We also construct a new county-level uncertainty shock and find that …
Persistent link: https://www.econbiz.de/10013288993