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A hitchhiker's guide to empirical macro models

Ferroni, Filippo; Canova, Fabio - 2021

This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other …

Persistent link: https://www.econbiz.de/10012888649

From low to high inflation: Implications for emerging market and developing economies

Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2022

Recent energy and food price surges, in the wake of Russia's invasion of Ukraine, have exacerbated inflation pressuresthat are unusually high by the standards of the past two decades. High and rising inflation has prompted many emerging market and developing economy (EMDE) central banks and some...

Persistent link: https://www.econbiz.de/10013373855

Supply shocks and the persistence of inflation

Sommer, Martin - 2002

This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My empirical results suggest that the difference between...

Persistent link: https://www.econbiz.de/10010293489

Financial frictions, financial shocks, and aggregate volatility

Fuentes-Albero, Cristina - 2012

The two main empirical regularities regarding US postwar nominal and real business cycles are the Great Inflation and the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity variables have experienced a continuous immoderation. We...

Persistent link: https://www.econbiz.de/10010282866

Bandspectrum Cointegration

Andersson, Fredrik N. G. - 2008

Economic theory commonly distinguishes between different time horizons such as the short run and the long run, each with its own relationships and its own dynamics. Engle (1974) proposed a bandspectrum regression to estimate such models. This paper proposes a new estimator for non-stationary...

Persistent link: https://www.econbiz.de/10013208534

Band Spectrum Regressions using Wavelet Analysis

Andersson, Fredrik N. G. - 2011

In economics it is common to distinguish between different time horizons (i.e. short run, medium run, and long run). Engle (1974) proposed combining the discrete Fourier transform with a band spectrum regression to estimate models that separates between different time horizons. In this paper we...

Persistent link: https://www.econbiz.de/10013208583

A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series

Chen, Bin; Hong, Yongmiao - 2013

Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time series conditional distribution models using a novel approach, which embeds the empirical...

Persistent link: https://www.econbiz.de/10010892083

Journey into the unknown? Economic consequences of factor market integration under increasing returns to scale

Schäfer, Andreas; Steger, Thomas - 2012

) indeterminacy. Hence, expectations matter for resulting equilibrium dynamics. Despite its simplicity, the model creates a rich set … fundamentals in models with indeterminacy. The model is applied to replicate two striking empirical characteristics of …

Persistent link: https://www.econbiz.de/10010309230

Money and prices under uncertainty

Nakajima, Tomoyuki; Polemarchakis, Herakles - 2001

remains indeterminacy indexed by an arbitrary probability measure over the set of states of the world. With an interest rate … policy, and only if the asset market is complete, indeterminacy is nominal: it affects prices, but not the allocation of … resources at equilibrium; with a money-supply policy, the indeterminacy is real. Portfolio policy sets the portfolio of assets …

Persistent link: https://www.econbiz.de/10010318888

Unemployment and indeterminacy

Nakajima, Tomoyuki - 2003

Using an efficiency-wage model, we examine the relationship between indeterminacy and unemployment insurance. It is … indeterminacy. Our result is based on the fact that the no-shirking condition with marginal utility ofw ealth kept constant is …

Persistent link: https://www.econbiz.de/10010318962