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Spillover effects in international business cycles
Camacho, Maximo; Pacce, Matías; Pérez-Quirós, Gabriel - 2020
To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...
Persistent link: https://www.econbiz.de/10012305394
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Uncertainty shocks, monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - 2019
estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks …
Persistent link: https://www.econbiz.de/10012009116
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More than a feeling : confidence, uncertainty and macroeconomic fluctuations
Nowzohour, Laura; Stracca, Livio - 2017
Economists, observers and policy-makers often emphasize the role of sentiment as a potential driver of the business cycle. In this paper we provide three contributions to this debate. First, we critically survey the existing literature on sentiment (considering both confidence and uncertainty)...
Persistent link: https://www.econbiz.de/10011719915
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Business cycle duration dependence and foreign recessions
Bondt, Gabe J. de; Vermeulen, Philip - 2018
We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With respect to expansions in a G7 country, we find that...
Persistent link: https://www.econbiz.de/10011937263
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On the sources of business cycles : implications for DSGE models
Andrle, Michal; Brůha, Jan; Solmaz, Serhat - 2017
What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations a re d riven b y o ne major factor. The...
Persistent link: https://www.econbiz.de/10011647948
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Learning from prices : amplification and business fluctuations
Chahrour, Ryan; Gaballo, Gaetano - 2017
alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate … arbitrarily small productivity shocks lead to substantial fluctuations. Augmented with a public signal, the model can generate a … rich mix of supply- and demand-driven fluctuations even though productivity is the only source of aggregate randomness. Our …
Persistent link: https://www.econbiz.de/10011648329
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Responses to monetary policy shocks in the east and the west of Europe : a comparison
Jarociński, Marek - 2008
the NMS, by using a Bayesian estimation that combines information across countries. The impulse responses in the NMS are …
Persistent link: https://www.econbiz.de/10003825885
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Transmission of government spending shocks in the euro area : time variation and driving forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...
Persistent link: https://www.econbiz.de/10003986626
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Underlying inflation and asymmetric risks
Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías - 2023
We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework...
Persistent link: https://www.econbiz.de/10014380740
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Monetary policy transmission over the leverage cycle : evidence for the euro area
Bräuer, Leonie; Rünstler, Gerhard - 2020
We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller...
Persistent link: https://www.econbiz.de/10012241107