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Classical identification: A viable road for data to inform structural modeling

Hammersland, Roger - Statistisk Sentralbyrå, Government of Norway - 2008

superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous …

Persistent link: https://www.econbiz.de/10004980733

The Financial Accelerator: Evidence using a procedure of Structural Model Design

Hammersland, Roger; Jacobsen, Dag Henning - Statistisk Sentralbyrå, Government of Norway - 2008

We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between...

Persistent link: https://www.econbiz.de/10004980837

An Extended Class of Instrumental Variables for the Estimation of Causal Effects

Chalak, Karim; White, Halbert - Department of Economics, Boston College - 2007

identification. We show that by carefully specifying the structural equations and by extending the standard notion of instrumental … governing the unobservables, as these play a crucial role in creating obstacles or opportunities for identification. Because our … results exhaust the possibilities for identification, we ensure that there are no other opportunities for identification based …

Persistent link: https://www.econbiz.de/10005027845

Dynamic spillovers of oil price shocks and economic policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: Energy Economics 44 (2014) C, pp. 433-447

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01–2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012)...

Persistent link: https://www.econbiz.de/10011100073

Прогнозування реакції економіки України на економічні шоки в сусідніх державах: глобальна векторна авторегресійна модель «Україна-сусіди»

Matkovskyy, Roman - Volkswirtschaftliche Fakultät, … - 2012

In this article the approach of Global Vector-Autoregressive (GVAR) models has been applied to Ukraine and its neighbour-countries which contiguous to Ukraine: Belarus, Bulgaria, Georgia, Moldova, Romania, Poland, Slovakia, Russia Federation, Turkey and Hungary. The goal of the research is to...

Persistent link: https://www.econbiz.de/10011261139

Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - Vienna University of Economics and Business, Department … - 2014

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic...

Persistent link: https://www.econbiz.de/10010740555

The impact of global oil price shocks on the Lebanese stock market

Dagher, Leila; El Hariri, Sadika - In: Energy 63 (2013) C, pp. 366-374

This study investigates the dynamic linkages between oil prices and stock markets, also known as the oil price–stock price nexus. Within the framework of a VAR (vector autoregression) we examine dynamic interactions between daily Brent spot prices and several Lebanese stock prices. As...

Persistent link: https://www.econbiz.de/10010811242

A New Keynesian SVAR model of the Australian economy

Leu, Shawn Chen-Yu - In: Economic Modelling 28 (2011) 1, pp. 157-168

We estimate an SVAR model for the Australian economy based on an open economy New Keynesian model that accounts for the forward-looking behaviour exhibited by economic agents. Deep structural parameters are identified by placing exclusion restrictions on the VAR residuals and the covariance...

Persistent link: https://www.econbiz.de/10010573310

Interpreting reduced form cointegrating vectors of incomplete systems. A labour market application

Binotti, Annetta Maria; Ghiani, Enrico - Dipartimento di Economia e Management, Università … - 2004

This paper explores the issues arising when the reduced form cointegrating vectors are obtained from an incomplete VAR with omitted endogenous variables. Reconsidering some Wickens' (1996) results, we show that the specification of an incomplete VAR model, based on variables of the reduced form...

Persistent link: https://www.econbiz.de/10005466674

Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?

Wiriyawit, Varang; Wong, Benjamin - Crawford School of Public Policy, Australian National … - 2014

identification. Consequences of trend misspecification are investigated using a prototypical Real Business Cycle model as the Data …

Persistent link: https://www.econbiz.de/10010904257