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Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999
The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the … this paper is a general framework in which alternative priors for the half-life of deviations from PPP can be examined. We … professional interest in the PPP debate. The other example is a relatively diffuse prior designed to capture a large degree of …
Persistent link: https://www.econbiz.de/10005792458
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Quantifying the Half-Life of Deviations from PPP : The Role of Economic Priors
Kilian, Lutz - 2015
The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the … this paper is a general framework in which alternative priors for the half-life of deviations from PPP can be examined. We … professional interest in the PPP debate. The other example is a relatively diffuse prior designed to capture a large degree of …
Persistent link: https://www.econbiz.de/10013032672
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State-Dependent Local Projections
Gonçalves, Sílvia; Herrera, Ana Maria; Kilian, Lutz; … - 2023
Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local...
Persistent link: https://www.econbiz.de/10014355000
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Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
Gonçalves, Sílvia; Herrera, Ana Maria; Kilian, Lutz; … - 2020
We study the construction of nonlinear impulse responses in structural dynamic models that include nonlinearly transformed regressors. Such models have played an important role in recent years in capturing asymmetries, thresholds and other nonlinearities in the responses of macroeconomic...
Persistent link: https://www.econbiz.de/10014048832
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When Do State-Dependent Local Projections Work?
Gonçalves, Sílvia; Herrera, Ana Maria; Kilian, Lutz; … - 2022
Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its widespread application, the asymptotic...
Persistent link: https://www.econbiz.de/10013289442
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Size distortions of tests of the null hypothesis of stationarity : evidence and implications for the PPP debate
Caner, Mehmet - 2000
Persistent link: https://www.econbiz.de/10013423063
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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...
Persistent link: https://www.econbiz.de/10012669296
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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...
Persistent link: https://www.econbiz.de/10012661969
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The Role of the Prior in Estimating VAR Models with Sign Restrictions
Inoue, Atsushi; Kilian, Lutz - 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...
Persistent link: https://www.econbiz.de/10014090346
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The central bank as a risk manager
Kilian, Lutz; Manganelli, Simone - 2003
In deciding the monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of...
Persistent link: https://www.econbiz.de/10009639841