Narrow search
Showing 1 - 10 of 20,162
Cover Image
Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions
Phillips, Kerk L.; Spencer, David E. - In: Journal of Macroeconomics 33 (2011) 4, pp. 582-594
Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression … can deteriorate severely, however, if the bootstrap IRFs are biased. We document an apparently common source of bias in … generally unrecognized because it only affects the bootstrap estimates of the error variance, not the original OLS estimates …
Persistent link: https://www.econbiz.de/10010875212
Cover Image
Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions
Phillips, Kerk L.; Spencer, David E. - Volkswirtschaftliche Fakultät, … - 2010
Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression … can deteriorate severely, however, if the bootstrap IRFs are biased. In this paper, we document an apparently common … scale adjustment. This bias is often unrecognized because it only affects the bootstrap estimates of the error variance, not …
Persistent link: https://www.econbiz.de/10008550553
Cover Image
Sources of Macroeconomic Fluctuations in MENA Countries
Balcilar, Mehmet; Bagzibagli, Kemal - Volkswirtschaftliche Fakultät, … - 2010
escalation of inflation. The political factors such as government instability, corruption, bureaucracy, and internal conflicts …
Persistent link: https://www.econbiz.de/10011108303
Cover Image
Competition, the Lisbon Strategy and the Euro
Banerjee, Anindya; Russell, Bill - Department of Economics, European University Institute - 2004
by movements in inflation and the business cycle. Consequently, based on our data, we find little evidence of a pro …
Persistent link: https://www.econbiz.de/10005697713
Cover Image
Domestic Versus International Determinants Of European Business Cycles: A GVAR Approach
Boschi, Melisso; Marzo, Massimiliano; Salotti, Simone - Crawford School of Public Policy, Australian National … - 2013
We investigate the sources of macroeconomic (output and inflation) variability in selected European countries within … currently members of the European Monetary Union and non-members. As for inflation, on the contrary, regional factors are more …
Persistent link: https://www.econbiz.de/10011185978
Cover Image
Capacity Output and Cycles in Non-agricultural Output of the Indian Economy
Chitre, Vikas - In: Journal of Quantitative Economics 8 (2010) January, pp. 1-41
non-agricultural output and inflation to estimate underlying structural demand and supply shocks. We estimate the …
Persistent link: https://www.econbiz.de/10010850680
Cover Image
SYNCHRONIZATION OF ECONOMIC SHOCKS IN THE VISEGRAD GROUP: AN EMPIRICAL ASSESSMENT
BECK, KRZYSZTOF; JANUS, JAKUB - In: JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA (2014)
The main goal of the paper is to assess a degree of coherence of macroeconomic shocks in the Visegrad Group (Czech Republic, Hungary, Poland and Slovak Republic, collectively: V4). We set out to consider the historical decomposition of unobservable supply and demand disturbances among V4...
Persistent link: https://www.econbiz.de/10010925391
Cover Image
Testing for Sufficient Information in Structural VARs
Forni, Mario; Gambetti, Luca - Barcelona Graduate School of Economics (Barcelona GSE) - 2011
We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we...
Persistent link: https://www.econbiz.de/10010547441
Cover Image
The Price Puzzle and Monetary Policy Transmission Mechanism in Pakistan: Structural Vector Autoregressive Approach
Javid, Muhammad; Munir, Kashif - In: The Pakistan Development Review 49 (2010) 4, pp. 449-460
This paper addresses the issue of monetary policy effectiveness, the price puzzle, and the positive response of prices to monetary tightening in Pakistan. The study examines the effects of the monetary policy shock on the price level and other macroeconomic variables such as output, exchange...
Persistent link: https://www.econbiz.de/10010548409
Cover Image
Identifying the Shocks behind Business Cycle Asynchrony in Euroland
Trenkler, Carsten; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2012
This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse...
Persistent link: https://www.econbiz.de/10010552500