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Explaining the Great Moderation : it is not the shocks
Giannone, Domenico (contributor); Lenza, Michele (contributor) - 2008
This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism.
Persistent link: https://www.econbiz.de/10003747971
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Output and inflation responses to credit shocks : are there threshold effects in the euro area?
Calza, Alessandro (contributor); Sousa, João (contributor) - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....
Persistent link: https://www.econbiz.de/10003014229
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Estimating the effects of fiscal policy in OECD countries
Perotti, Roberto (contributor) - 2002
Persistent link: https://www.econbiz.de/10001702818
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Macroeconomic rates of return of public and private investment : crowding-in and crowding-out effects
Afonso, António (contributor);  … - 2008
Using annual data from 14 European Union countries, plus Canada, Japan and the United States, we evaluate the macroeconomic effects of public and private investment through VAR analysis. From impulse response functions, we are able to assess the extent of crowding-in or crowding-out of both...
Persistent link: https://www.econbiz.de/10003747969
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR
Arratibel, Olga; Michaelis, Henrike - 2014
Persistent link: https://www.econbiz.de/10010380090
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Fiscal developments and financial stress : a threshold VAR analysis
Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011
economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than …
Persistent link: https://www.econbiz.de/10008935826
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Global macro-financial shocks and expected default frequencies in the euro area
Castrén, Olli (contributor); Dées, Stéphane (contributor) - 2008
Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for …
Persistent link: https://www.econbiz.de/10003748979
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Identifying SVARs from sparse narrative instruments : dynamic effects of U.S. macroprudential policies
Budnik, Katarzyna; Rünstler, Gerhard - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012138603
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The impact of macroeconomic and monetary policy shocks on credit risk in the euro area corporate sector
Lo Duca, Marco; Moccero, Diego; Parlapiano, Fabio - 2024
risk. An adverse supply shock leads to a deterioration of firms' riskiness 10 per cent above the average PD. Contractionary …
Persistent link: https://www.econbiz.de/10014484468
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Supply or demand : what drives fluctuations in the bank loan market?
Altavilla, Carlo; Boucinha, Miguel; Bouscasse, Paul - 2022
We propose a new methodology to identify aggregate demand and supply shocks in the bank loan market. We present a model … largely explained by demand shocks. Fluctuations in lending rates were instead mostly determined by bank- driven supply shocks … loan-level data: according to our framework, firm- and bank-time fixed effects only separate demand from supply under …
Persistent link: https://www.econbiz.de/10012818795