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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions …
Persistent link: https://www.econbiz.de/10012467213
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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …
Persistent link: https://www.econbiz.de/10012496124
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Business Cycle Anatomy
Angeletos, George-Marios - 2018
We dissect the comovement patterns of the macroeconomic data, identify a single shock that accounts for the bulk of the …
Persistent link: https://www.econbiz.de/10012452846
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When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks
Beaudry, Paul - 2015
When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However,...
Persistent link: https://www.econbiz.de/10012457202
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The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates
Bianchi, Francesco - 2020
typical unemployment shock, depending on race/gender, resulting in a 3.0% increase in mortality rate and a 0.5% drop in life … expectancy over the next 15 years for the overall American population. We also predict that the shock will disproportionately …
Persistent link: https://www.econbiz.de/10012482522
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Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia
Abeysinghe, Tilak - 2001
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/10012470116
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341
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Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates
Eichenbaum, Martin - 1993
rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …
Persistent link: https://www.econbiz.de/10012474691
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Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data
Bhandari, Anmol - 2016
permit estimation using standard Bayesian techniques. Applying our framework to an estimated New-Keynesian business cycle …
Persistent link: https://www.econbiz.de/10012456450
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On the Relationship Between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Brandt, Michael W. - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a...
Persistent link: https://www.econbiz.de/10012469657