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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010
countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10011605285
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Oil price volatility: Origins and effects
Kilian, Lutz - 2010
demand shocks played a central role in all major oil price shock episodes since the 1970s. …
Persistent link: https://www.econbiz.de/10010326771
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Macroeconomic uncertainty and the impact of oil shocks
Van Robays, Ine - 2012
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10010288244
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The potential impact of the war in Ukraine on the Irish economy
Egan, Paul; Bergin, Adele; O'Toole, Conor - 2023
The war in Ukraine and the subsequent increase in energy and other commodity prices has dampened the economic outlook. There are increased downside risks to economic activity and there is also considerable uncertainty around any economic projections and how they may evolve in the future. This...
Persistent link: https://www.econbiz.de/10014540332
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10011605216
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco J.; Pagano, Patrizio - 2010
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock. …
Persistent link: https://www.econbiz.de/10011605278
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The role of labor markets for euro area monetary policy
Christoffel, Kai; Kuester, Keith; Linzert, Tobias - 2009
degree of wage rigidity makes monetary policy more effective, i.e. a monetary policy shock transmits faster onto inflation …
Persistent link: https://www.econbiz.de/10011605081
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Modelling and forecasting oil prices: The role of asymmetric cycles
Crespo Cuaresma, Jesus; Jumah, Adusei; Karbuz, Sohbet - 2007
We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price...
Persistent link: https://www.econbiz.de/10010293428
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Oil price shocks: Demand vs supply in a two-country model
Campolmi, Alessia - 2008
comparable to the one experienced during the oil shock of 1973. At the same time, the behaviour of real GDP growth, Consumer … supply shock, the shock to foreign productivity generates dynamics close to the one observed in the 2000s. …
Persistent link: https://www.econbiz.de/10010322434
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How do unanticipated discoveries of oil fields affect the oil price?
Leinert, Lisa - 2010
The Hotelling rule argues that the price for a nonrenewable resource adjusts to the shadow value of the resource, reflecting the remaining availability of the resource. We empirically test the Hotelling rule on the effect of unanticipated oil field discoveries. We do not find evidence for a...
Persistent link: https://www.econbiz.de/10011753204