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Local Projections
Jordà, Òscar; Taylor, Alan M. - National Bureau of Economic Research - 2024
A central question in applied research is to estimate the effect of an exogenous intervention or shock on an outcome …
Persistent link: https://www.econbiz.de/10015056147
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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
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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
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Permanent and Transitory Components in Macroeconomic Fluctuations
Campbell, John Y. - 1987
Fluctuations in real GNP have traditionally been viewed as transitory deviations from a deterministic time trend. The purpose of this paper is to review some of the recent developments that have led to a new view of output fluctuations and then to provide some additional evidence. Using post-war...
Persistent link: https://www.econbiz.de/10012476900
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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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Invoicing Currency and Exchange Rate Pass-Through in Japanese Imports : A Panel VAR Analysis
Yoshimi, Taiyo; Yoshimoto, Uraku; Itō, Takatoshi; … - National Bureau of Economic Research - 2024
This study utilizes the granular Japanese customs data from 2014 to 2020 to examine the exchange rate pass-through (ERPT) to Japanese import prices. It mainly focuses on the impact of the invoicing currency choice on ERPT. The ERPT elasticity in products invoiced in the exporter's currency is...
Persistent link: https://www.econbiz.de/10015072852
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Sectoral vs. Aggregate Shocks : A Structural Factor Analysis of Industrial Production
Foerster, Andrew T. - 2008
This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...
Persistent link: https://www.econbiz.de/10012464258
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What do Financial Markets say about the Exchange Rate?
Chernov, Mikhail; Haddad, Valentin; Itskhoki, Oleg - National Bureau of Economic Research - 2024
Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a source of shocks. In prevailing theories, these roles are seen as mutually exclusive and individually face challenges in explaining exchange rate dynamics. However, we demonstrate...
Persistent link: https://www.econbiz.de/10014544715
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
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The Global Dollar Cycle
Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023
The U.S. dollar's nominal effective exchange rate closely tracks global financial conditions, which themselves show a cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth, especially influencing the fortunes of emerging and...
Persistent link: https://www.econbiz.de/10014247924