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A comparative study on the role of stochastic trends in US macroeconomic fluctuations, 1954-1988

Seymen, Atılım (contributor) - 2008

The paper attempts to provide an appropriate model specification for identifying technology and other macroeconomic shocks in a structural VAR framework. The investigation is conducted based on two seminal structural VAR studies by Gali (1999) and King et al. (1991). The models of these studies...

Persistent link: https://www.econbiz.de/10003634805

The role of structural common and country-specific shocks in the business cycle dynamics of the G7 countries

Seymen, Atılım; Kappler, Marcus - 2009

comprising output, nominal interest rate and inflation. Common and country-specific supply, demand and nominal shocks of each G7 … country are identified, and the corresponding shock propagation channels are computed. We establish the statistical properties … of the cyclical fluctuations and investigate the role of each structural common and country-specific shock in the …

Persistent link: https://www.econbiz.de/10003824053

Comparing two methods for the identification of news shocks

Beaudry, Paul; Portier, Franck; Seymen, Atılım - 2013

investigate (i) the extent to thich two prominent structural VAR approaches can be usefull in recuperating news shock dynamics …

Persistent link: https://www.econbiz.de/10010225547

Nonlinearity in cap-and-trade systems : the EUA price and its fundamentals

Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - 2013 - First version: Januar 2013 ; This version: April 2013

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

Persistent link: https://www.econbiz.de/10010228575

Sequential identification of technological news shocks

Seymen, Atılım - 2013

In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR...

Persistent link: https://www.econbiz.de/10010225546

Sources of German unemployment : evidence from a structural VAR model

Linzert, Tobias - 2001

relationships, interpreted as a labor demand and a wage setting scheme. Secondly, a structural VAR model is identified using the … display that price, demand, and labor supply shocks affect unemployment significantly in the short/medium run. Interestingly …

Persistent link: https://www.econbiz.de/10011446670

Financial sector and output dynamics in the Euro area : non-linearities reconsidered ; conference paper

Schleer, Frauke; Semmler, Willi - 2014 - This version: January 2014

stability even if the financial sector shock takes place in a high stress regime. More important seems to be the shock …

Persistent link: https://www.econbiz.de/10010489891

Financial sector-output dynamics in the euro area : non-linearities reconsidered

Schleer, Frauke; Semmler, Willi - 2014 - This version: January 2014

stability even if the financial sector shock takes place in a high stress regime. More important seems to be the shock …

Persistent link: https://www.econbiz.de/10010238376

Financial sector-output dynamics in the euro area : non-linearities reconsidered

Schleer, Frauke; Semmler, Willi - 2013

-switching takes place rather smoothly which dampens the negative output response after a shock in the financial sector in the selected …

Persistent link: https://www.econbiz.de/10009792964

How many factors and shocks cause financial stress?

Kappler, Marcus; Schleer, Frauke - 2013

The aim of this paper is to assess the dimension of factors and shocks that drive financial conditions, and in particular financial stress in the euro area. A second aim is to construct summary indices on the conditions and level of stress in financial markets with the aid of a dynamic factor...

Persistent link: https://www.econbiz.de/10010204040