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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …
Persistent link: https://www.econbiz.de/10003751230
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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
Persistent link: https://www.econbiz.de/10003787630
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Remittances over the business cycle : theory and evidence
De, Supriyo; Islamaj, Ergys; Kose, M. Ayhan; Yousefi, … - 2016
This paper examines the behavior of remittances over the business cycle and their potential to act as a stabilizer during periods of high business cycle volatility. Four main findings are reported. First, in theory, the cyclical behavior of remittances depends on the motives to remit. Second,...
Persistent link: https://www.econbiz.de/10011453670
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Remittances over the business cycle : theory and evidence
De, Supriyo; Islamaj, Ergys; Kose, M. Ayhan; Yousefi, … - 2016
Persistent link: https://www.econbiz.de/10011757228
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Heteroskedastic proxy vector autoregressions : an identification-robust test for time-varying impulse responses in the presence of multiple proxies
Bruns, Martin; Lütkepohl, Helmut - In: Journal of economic dynamics & control 161 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015050043
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Can World Real Interest Rates Explain Business Cycles in a Small Open Economy?
Blankenau, William - 2006
output, investment, and net exports. We reexamine the importance of world real interest rate shocks using an approach that …'s observable endogenous variables. Then we use variance decompositions to examine the importance of each shock. We apply this …
Persistent link: https://www.econbiz.de/10012735713
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Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis
Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2024 - This version: July 12, 2024
. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable …
Persistent link: https://www.econbiz.de/10014633772
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Remittances Over the Business Cycle : Theory and Evidence
De, Supriyo - 2016
This paper examines the behavior of remittances over the business cycle and their potential to act as a stabilizer during periods of high business cycle volatility. Four main findings are reported. First, in theory, the cyclical behavior of remittances depends on the motives to remit. Second,...
Persistent link: https://www.econbiz.de/10012995941
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Inflation during the pandemic: what happened? what is next?
Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2021
We analyze the evolution and drivers of inflation during the pandemic and the likely trajectory of inflation in the near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR) model. We report three main results. First, the decline...
Persistent link: https://www.econbiz.de/10012584054
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Inflation during the pandemic : what happened? what is next?
Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2021
Persistent link: https://www.econbiz.de/10012586458