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China's business cycles: Perspectives from an AD-AS model

Zhang, Yin; Wan, Guanghua - 2004

This paper represents a first attempt to study China’s business cycles using a formal analytical framework, namely, a structural VAR model. It is found that: (a) demand shocks were the dominant source of macroeconomic fluctuations, but supply shocks had gained more importance over time; (b) the...

Persistent link: https://www.econbiz.de/10010284541

Unconventional U.S. monetary policy: New tools, same channels?

Feldkircher, Martin; Huber, Florian - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-31

In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease … volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a … conventional monetary policy shock affects real output growth via a broad credit/bank lending channel. Second, both shocks exhibit …

Persistent link: https://www.econbiz.de/10012611059

Output and inflation responses to credit shocks: are there threshold effects in the euro area?

Calza, Alessandro; Sousa, João - 2005

This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....

Persistent link: https://www.econbiz.de/10011604527

How strongly did the 2007/08 oil price hike contribute to the subsequent recession?

Carstensen, Kai; Elstner, Steffen; Paula, Georg - 2011

VAR based search on these periods, we are able to identify an oil price shock that affects the German production even on …

Persistent link: https://www.econbiz.de/10010274918

Firm growth, innovation and the business cycle: Background report for the 2014 competitiveness report

Peters, Bettina; Dachs, Bernhard; Dünser, Martina; … - 2014

Persistent link: https://www.econbiz.de/10010527603

New evidence, old puzzles: technology shocks and labor market dynamics

Balleer, Almut - 2009

Can the standard search-and-matching labor market model replicate the business cycle fluctuations of the job finding rate and the unemployment rate? In the model, fluctuations are prominently driven by productivity shocks which are commonly interpreted as technology shocks. I estimate different...

Persistent link: https://www.econbiz.de/10010265223

Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy

Höppner, Florian; Gottschalk, Jan - 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...

Persistent link: https://www.econbiz.de/10010260606

Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis

Lanne, Markku; Luetkepohl, Helmut - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10010264444

How resilient is the German banking system to macroeconomic shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic developments. In this paper we use a newly...

Persistent link: https://www.econbiz.de/10010273175

The effects of external shocks to business cycles in emerging Asia: A Bayesian VAR approach

Utlaut, Johannes Friederich; van Roye, Björn - 2010

In this paper we analyze the effects of external shocks on countries in Emerging Asia. For that purpose, we estimate a Bayesian Vector Auto-Regressive model (BVAR) with an informative prior on the steady state, including variables representing world economic activity, financial conditions,...

Persistent link: https://www.econbiz.de/10010276916