Narrow search
Showing 1 - 10 of 7,480
Cover Image
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
Cover Image
Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?
Clarida, Richard - 1994
This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...
Persistent link: https://www.econbiz.de/10012474278
Cover Image
Exploiting MIT Shocks in Heterogeneous-Agent Economies : The Impulse Response as a Numerical Derivative
Boppart, Timo - 2017
deterministic transition path: we study the equilibrium response to a single, small "MIT shock'' carefully. We then regard this …
Persistent link: https://www.econbiz.de/10012453575
Cover Image
Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks
Ahmadi, Pooyan Amir - 2015
We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...
Persistent link: https://www.econbiz.de/10012456932
Cover Image
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
Cover Image
Inference for VARs Identified with Sign Restrictions
Moon, Hyungsik Roger - 2011
restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To …
Persistent link: https://www.econbiz.de/10012461518
Cover Image
Letting different views about business cycles compete
Beaudry, Paul (contributor); Lucke, Bernd (contributor) - 2009
preference or more generally a demand shock. More recently two other explanations have been advocated: surprise changes in …
Persistent link: https://www.econbiz.de/10012454968
Cover Image
Double Robustness of Local Projections and Some Unpleasant VARithmetic
Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2024
misspecification so small that it is difficult to detect statistically and cannot be ruled out based on economic theory. This is …
Persistent link: https://www.econbiz.de/10014544773
Cover Image
Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show that cyclical fluctuations of inflation are...
Persistent link: https://www.econbiz.de/10014247995
Cover Image
Identifying Shocks to Systematic Risk in Times of Crisis
Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024
We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...
Persistent link: https://www.econbiz.de/10014635656