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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10009745589
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Time Variation in Macro-Financial Linkages
Prieto, Esteban - 2016
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10012988788
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - In: Journal of applied econometrics 31 (2016) 7, pp. 1215-1233
Persistent link: https://www.econbiz.de/10011687454
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Asset prices, real exchange rate and current account fluctuations : some structural VAR evidence for Thailand
Jiranyakul, Komain - In: Business and Economic Research : BER 7 (2017) 2, pp. 163-177
Persistent link: https://www.econbiz.de/10011848813
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Gesamtwirtschaftliche Folgen von Vermögensblasen im internationalen Vergleich
Bandholz, Harm - 2006
Die vorliegende Studie wurde im Arbeitsbereich "Konjunktur und Finanzmärkte" erstellt und im Dezember 2005 …Die vorliegende Studie wurde im Arbeitsbereich ""Konjunktur und Finanzmärkte"" erstellt und im Dezember 2005 …
Persistent link: https://www.econbiz.de/10003301732
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The policy uncertainty and market volatility puzzle : evidence from wavelet analysis
Tiwari, Aviral Kumar; Jana, R. K.; Roubaud, David - In: Finance research letters 31 (2019), pp. 278-284
Persistent link: https://www.econbiz.de/10012421584
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VAR models on the relation between stock prices and the macroeconomy
Berg, Tim Oliver - 2010
Persistent link: https://www.econbiz.de/10008857676
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …
Persistent link: https://www.econbiz.de/10014227600
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The Time-Varying Effect of US Monetary Policy Shocks on Asset Prices and the Macroeconomy
Serbest, Özge - 2021
I explore the time-varying effects of the multi-dimensional aspect of monetary policy on asset prices and macroeconomic variables using a time-varying factor-augmented vector autoregressive model. I decompose monetary policy into three dimensions: current monetary policy stance, FOMC...
Persistent link: https://www.econbiz.de/10013313991