Narrow search
Showing 1 - 10 of 11,148
Cover Image
Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
Gubler, Matthias; Hertweck, Matthias S. - 2011
This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic...
Persistent link: https://www.econbiz.de/10011390656
Cover Image
Global monetary policy shocks in the G5: A SVAR approach
Sousa, Joao Miguel; Zaghini, Andrea - 2006
structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching … permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in …
Persistent link: https://www.econbiz.de/10010298344
Cover Image
Risk premium shocks, monetary policy and exchange rate pass-through in the Czech Republic, Hungary and Poland
Vonnák, Balázs - 2010
of risk premium shock renders it almost impossible for the interest rate policy to smooth the exchange rate with the aim …
Persistent link: https://www.econbiz.de/10010322471
Cover Image
Asset price shocks, real expenditures, and financial structure: a multi-country analysis
Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings...
Persistent link: https://www.econbiz.de/10010274043
Cover Image
Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bhuiyan, Rokon - 2008
estimate this over-identified VAR model, I find that the policy shock transmits to real output through both the interest rate … and exchange rate channels, and the shock does not induce a departure from uncovered interest rate parity. I also find …. Finally, I find that Canadian variables significantly responds to the US federal funds rate shock, and external shocks are an …
Persistent link: https://www.econbiz.de/10010290388
Cover Image
Estimating the effect of Hungarian monetary policy within a structural VAR framework
Vonnák, Balázs - 2005
, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …
Persistent link: https://www.econbiz.de/10010322447
Cover Image
Causal inference by independent component analysis with applications to micro- and macroeconomic data
Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, Alex - 2010
Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...
Persistent link: https://www.econbiz.de/10010269741
Cover Image
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
Cover Image
World shocks, world prices, and business cycles: An empirical investigation
Fernández Díaz, Andrés; Schmitt-Grohé, Stephanie; … - 2017
SVAR models that include a single world price (such as the terms-of-trade) predict that world shocks explain a small fraction of movements in domestic output (typically less than 10 percent). This paper presents an empirical framework in which multiple commodity prices transmit world...
Persistent link: https://www.econbiz.de/10011786396
Cover Image
Macroeconomic factors and micro-level bank risk
Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - 2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...
Persistent link: https://www.econbiz.de/10010302760