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Micro responses to macro shocks
Almuzara, Martín; Sancibrián, Victor - 2024
We study estimation and inference in panel data regression models when the regressors of interest are macro shocks …
Persistent link: https://www.econbiz.de/10014501208
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Estimating hysteresis effects
Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; … - 2020
are disproportionately hit by the shock and exit the labor force. …
Persistent link: https://www.econbiz.de/10012417528
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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Blended Identification in Structural Vars
Carriero, Andrea; Marcellino, Massimiliano; Tornese, Tommaso - 2023
We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign restrictions, narrative restrictions, and external instruments.Since heteroskedasticity in the reduced form can be exploited to point identify a set of orthogonal shocks, its...
Persistent link: https://www.econbiz.de/10014356078
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Impulse Response Estimation by Smooth Local Projections
Barnichon, Regis - 2018
Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the … traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The … this work we propose an IR estimation methodology based on B-spline smoothing called Smooth Local Projections (SLP). The …
Persistent link: https://www.econbiz.de/10012934986
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Impulse response estimation via flexible local projections
Mumtaz, Haroon; Piffer, Michele - 2022
financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive …
Persistent link: https://www.econbiz.de/10013291067
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
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On the long-run neutrality of demand shocks
Chen, Wenjuan; Netsunajev, Aleksei - 2015
Long run neutrality restrictions have been widely used to identify structural shocks in VAR models. This paper revisits the seminal paper by Blanchard and Quah (1989), and investigates their identification scheme. We use structural VAR models with smoothly changing covariances for identification...
Persistent link: https://www.econbiz.de/10011349551
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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade
Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011
The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...
Persistent link: https://www.econbiz.de/10010356541