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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
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
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
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
hypothesis implies two main consequences. First, the comovement of economic cycles between AEs and EEs should decrease over time … evaluate the correlation of the international economic cycles, and 2) a time-varying Panel VAR model was used to decompose …
Persistent link: https://www.econbiz.de/10011508846
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665
We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector autoregression with stochastic volatility (MF-TVP-SVVAR). The latter is able to cope with structural changes and can handle indicators sampled at different frequencies. We conduct a...
Persistent link: https://www.econbiz.de/10011962204
DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...
Persistent link: https://www.econbiz.de/10011407664
In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic,...
Persistent link: https://www.econbiz.de/10011542831