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Identification of New Keynesian Phillips Curves from a Global Perspective
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021
New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10013325166
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Identification of New Keynesian Phillips Curves from a Global Perspective
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021
New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10013316577
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Identifying Global and National Output and Fiscal Policy Shocks Using a Gvar
Chudik, Alexander - 2019
due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock …
Persistent link: https://www.econbiz.de/10012892134
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Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
Chudik, Alexander - 2019
due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock …
Persistent link: https://www.econbiz.de/10012894312
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Identifying global and national output and fiscal policy shocks using a GVAR
Chudik, Alexander; Pesaran, M. Hashem; Mohaddes, Kamiar - In: Essays in honor of Cheng Hsiao, (pp. 143-189). 2020
Persistent link: https://www.econbiz.de/10012249380
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Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR
Chudik, Alexander - 2020
due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross … the rise in output follows from a favorable output shock …
Persistent link: https://www.econbiz.de/10012850337
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Macroeconomic dynamics and credit risk : a global perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10011508097
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001754527
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Macroeconomic dynamics and credit risk : a global perspective
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10001784147
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China's emergence in the world economy and business cycles in Latin America
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2012
world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … times since mid-1990s. At the same time, the long-term impact of a US GDP shock has halved, while the transmission of shocks …
Persistent link: https://www.econbiz.de/10009627525