Showing 1 - 10 of 50
The headline consumer price index (CPI) is often considered too noisy, narrowly defined, and/or slowly available for policymaking. On the other hand, traditional core inflation measures may reduce volatility but do not address other issues and may even exclude important information. This paper...
Persistent link: https://www.econbiz.de/10010412468
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
This study empirically investigates the short- to medium-term effects of fiscal policy on output and other macroeconomic variables in European Union countries between 1995 and 2012, with particular reference to transition countries. It applies Panel Vector Auto Regression with recursive...
Persistent link: https://www.econbiz.de/10011671812
This paper attempts to empirically assess the impact of the ECB's quantitative easing policy on capital flows in the countries of the Central and South Eastern region. Given the tight trade and financial linkages of the region with the euro area, one should expect that the buoyant liquidity...
Persistent link: https://www.econbiz.de/10011874153
Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests the combined macroeconomic effects of climate change, environmental policies and technology. Overall, we find evidence of significant macroeconomic effects over the business cycle:...
Persistent link: https://www.econbiz.de/10012798835
The decoupling of energy-related carbon emissions from economic growth has been mostly driven by reductions of the energy intensity of GDP, which can be attributed either to changes in countries' economic structure or within-sector energy-efficiency improvements. One question is whether observed...
Persistent link: https://www.econbiz.de/10015133767
We analyze the impact of negative reference rates on the interest behavior of more than 500 Austrian banks from 2009Q1 to 2021Q4. Using panel vector error correction analysis with the Engle-Granger procedure in two steps, we establish a cointegration vector that links bank-specific lending...
Persistent link: https://www.econbiz.de/10015183164
This paper explores the effect of inflation supply and demand shocks on government debt. It identifies the shocks using a sign-restricted Structural Vector Autoregression (SVAR) model with quarterly data. Estimations of dynamic panel regressions and local projections suggest that supply shocks...
Persistent link: https://www.econbiz.de/10014536631
The identification of the effects of climate shocks on economic growth is central to design effective policies aiming at managing the future global climate change challenge. In this study, we investigate the effects of temperature and precipitation shocks on economic growth across different...
Persistent link: https://www.econbiz.de/10013488603
We present a Bayesian structural Vector Autoregressive model of the global wheat market to examine the relative importance of supply and demand shocks, which are interpreted as the fundamental driving forces of wheat price. To our knowledge, this is the first SVAR analysis that jointly considers...
Persistent link: https://www.econbiz.de/10014390253