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Business cycles in oil exporting countries : a declining role for oil?
Huseynov, Salman; Ahmadov, Vugar - 2014
find that rising global political and economic integration can play a critical role in explaining business cycles of these … world business cycles, the sources of economic fluctuations have become more diversified, and consequently, the role of oil …
Persistent link: https://www.econbiz.de/10010244566
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Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach.
Heinrich, Markus - 2020
Macroeconomic forecasting in recessions is not easy due to the inherent asymmetry of business cycle phases and the increased uncertainty about the future path of the teetering economy. I propose a mixed-frequency threshold vector autoregressive model with common stochastic volatility in mean...
Persistent link: https://www.econbiz.de/10012229214
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative Economics 14 (2023) 3, pp. 855-896
We estimate a production-based general equilibrium model featuring demand- and supply-side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand- and supply-side...
Persistent link: https://www.econbiz.de/10014536883
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Exchange rate movements and fundamentals : impact of oil prices and the People's Republic of China's growth
Chen, Hongyi; Cao, Shuo - 2019
This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...
Persistent link: https://www.econbiz.de/10011992197
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Investment shocks and business cycles
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2008
Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in U.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach these conclusions by estimating a dynamic stochastic...
Persistent link: https://www.econbiz.de/10010283518
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MEDEA: a DSGE model for the Spanish economy
Burriel, Pablo; Fernández-Villaverde, Jesús; … - In: SERIEs - Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 175-243
In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de EquilibrioDinámico de la Economía EspañolA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that aims to describe the main features of the Spanish...
Persistent link: https://www.econbiz.de/10010317074
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The econometrics of DSGE models
Fernández-Villaverde, Jesús - In: SERIEs - Journal of the Spanish Economic Association 1 (2010) 1/2, pp. 3-49
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...
Persistent link: https://www.econbiz.de/10010317088
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Measuring business cycles: A review
Škare, Marinko; Stjepanović, Saša - In: Contemporary Economics 10 (2016) 1, pp. 83-94
This article summarizes the main findings on problems related to the measurement and identification of business cycles …. The aim of this study is to define and identify the determinants of business cycles. This paper provides an overview of … literature, but none is perfect. A new development in the field lies in spectral analysis methods for measuring business cycles …
Persistent link: https://www.econbiz.de/10011659877
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Measuring business cycles : a review
Škare, Marinko; Stjepanović, Saša - In: Contemporary economics 10 (2016) 1, pp. 83-94
This article summarizes the main findings on problems related to the measurement and identification of business cycles …. The aim of this study is to define and identify the determinants of business cycles. This paper provides an overview of … literature, but none is perfect. A new development in the field lies in spectral analysis methods for measuring business cycles …
Persistent link: https://www.econbiz.de/10011453001