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Regionalization vs. Globalization
Hirata, Hideaki; Kose, M. Ayhan; Otrok, Christopher - 2013
Both global and regional economic linkages have strengthened substantially over the past quarter century. We employ a dynamic factor model to analyze the implications of these linkages for the evolution of global and regional business cycles. Our model allows us to assess the roles played by the...
Persistent link: https://www.econbiz.de/10010500234
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Are there waves in merger activity after all?
Gärtner, Dennis; Halbheer, Daniel - 2006
This paper investigates the merger wave hypothesis for the US and the UK employing a Markov regime switching model. Using quarterly data covering the last thirty years, for the US, we identify the beginning of a merger wave in the mid 1990s but not the much-discussed 1980s merger wave. We argue...
Persistent link: https://www.econbiz.de/10010315576
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Monetary Policy in a Small Open Economy Model: A DSGE-VAR Approach for Switzerland
Bäurle, Gregor; Menz, Tobias - 2008
We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...
Persistent link: https://www.econbiz.de/10011430077
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Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012
suggested by the 'financial accelerator' theory. Multivariate Markov-switching models that allow for phase shifts between the …
Persistent link: https://www.econbiz.de/10010500207
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The impact on forecasts and impulse responses of restricting drift in a Vector Autoregresion
Landon-Lane, John - 2001
Inference on the long-run properties of a Vector Autoregression (VAR) consisting wholly of I(1) variables are made using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of directly estimating and restricting the drift parameters of...
Persistent link: https://www.econbiz.de/10010318363
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Inference based on SVARs identified with sign and zero restrictions: Theory and applications
Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, … - 2014
of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions … agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an …
Persistent link: https://www.econbiz.de/10010397712
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Hidden Markov models in time series, with applications in economics
Kaufmann, Sylvia - 2016
time series process. Model estimation proceeds by data augmentation. We derive the basic forward-filtering backward …-smoothing/sampling algorithm to infer on the latent state indicator in maximum likelihood and Bayesian estimation procedures. Emphasis is again …. With simulated data, we show that the estimation of parameters under a probit functional form is more efficient. However, a …
Persistent link: https://www.econbiz.de/10011629990
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Effects of monetary policy shocks on UK regional activity: A constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011380981
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Global economic divergence and portfolio capital flows to emerging markets
Mandalinci, Zeyyad; Mumtaz, Haroon - 2015
This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...
Persistent link: https://www.econbiz.de/10011380997
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Bayesian estimation of sparse dynamic factor models with order-independent identification
Kaufmann, Sylvia; Schumacher, Christian - 2013
The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...
Persistent link: https://www.econbiz.de/10011430105