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Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021

Persistent link: https://www.econbiz.de/10012604814

Dynamic effects of persistent shocks

Alloza, Mario; Gonzalo Muñoz, Jesus; Sanz, Carlos - 2019

Persistent link: https://www.econbiz.de/10012158755

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …

Persistent link: https://www.econbiz.de/10011627039

Spillovers from Euro area and US credit and demand shocks : comparing emerging Europe on the basis of a GVAR model

Fadejeva, Ludmila; Feldkircher, Martin; Reininger, Thomas - 2015

Persistent link: https://www.econbiz.de/10010492924

International transmission of credit shocks : evidence from global vector autoregression model

Fadejeva, Ludmila; Feldkircher, Martin; Reininger, Thomas - 2014

Persistent link: https://www.econbiz.de/10010428142

Non-linear e¤ects of government spending shocks in the US : evidence from state-level data

Mumtaz, Haroon; Sunder-Plassmann, Laura - 2017

This paper uses state-level data to estimate the effect of federal defense spending shocks on state real activity. We find moderately strong evidence that for the average state the fiscal multiplier is larger during recessions. However, there is substantial heterogeneity across the...

Persistent link: https://www.econbiz.de/10011773635