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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

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

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

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

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

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

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

Choosing the variables to estimate singular DSGE models: Comment

Nikolay, Iskrev - Centre pour la Recherche Économique et ses … - 2014

In a recent article Canova et al. (2014) study the optimal choice of variables to use in the estimation of a simplified version of the Smets and Wouters (2007) model. In this comment I examine their conclusions by applying a different methodology to the same model. The results call into question...

Persistent link: https://www.econbiz.de/10010938595

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