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Missing aggregate dynamics : on the slow convergence of lumpy adjustment models
Berger, David; Caballero, Ricardo J.; Engel, Eduardo - 2015
Persistent link: https://www.econbiz.de/10011577984
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Missing aggregate dynamics : on the slow convergence of lumpy adjustment models
Berger, David; Caballero, Ricardo J.; Engel, Eduardo - 2017
Persistent link: https://www.econbiz.de/10011776554
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - 2011
Persistent link: https://www.econbiz.de/10009008157
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Structural analysis with independent innovations
Herwartz, Helmut - 2014
prices and total factor productivity, and four couples of international breakeven inflation rates to investigate monetary …
Persistent link: https://www.econbiz.de/10010355109
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Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle
Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019
sign restrictions results in estimation biases as a reflection of censored sampling from a space of covariance …
Persistent link: https://www.econbiz.de/10012027359
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Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models
Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …
Persistent link: https://www.econbiz.de/10011563120
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Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper
Herwartz, Helmut; Plödt, Martin - 2014
Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...
Persistent link: https://www.econbiz.de/10010482469
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Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
Herwartz, Helmut; Wang, Shu - In: Journal of economic dynamics & control 151 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014478708
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Lumpy Investment in Dynamic General Equilibrium
Bachmann, Ruediger; Engel, Eduardo M. R. A.; Caballero, … - 2006
-2000 sample, the initial response of investment to a productivity shock with responses in the top quartile is 60% higher than the … shock. Conversely, a slowdown after a boom can lead to a long lasting investment slump, which is unresponsive to policy … smoothing in the investment response to aggregate shocks. The remaining 40% is explained by general equilibrium forces. The …
Persistent link: https://www.econbiz.de/10014057432