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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …
Persistent link: https://www.econbiz.de/10012626760
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …
Persistent link: https://www.econbiz.de/10009620773
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Interaction of monetary and fiscal policies in Turkey
Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203
This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to...
Persistent link: https://www.econbiz.de/10012429632
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Combining Monetary and Fiscal Policy in an SVAR for a Small Open Economy
Haug, Alfred A. - 2014
This paper combines a monetary structural vector-autoregression (SVAR) with a fiscal SVAR for Poland. Fiscal foresight, in the form of implementation lags, is accounted for with respect to both discretionary government spending and tax changes. We demonstrate the importance of combining monetary...
Persistent link: https://www.econbiz.de/10013061717
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The fiscal channel of monetary policy
Breitenlechner, Max; Geiger, Martin; Klein, Mathias - 2024
and derives implications for monetary-fiscal interactions. First, we document that a contractionary monetary policy shock … fiscal measures following a monetary policy shock. The impact of a monetary policy shock on output is more than halved by the …
Persistent link: https://www.econbiz.de/10015053757
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The interaction between fiscal and monetary policies : evidence from Sweden
Ankargren, Sebastian; Shahnazarian, Hovick - 2019 - (Updated april 2019)
This paper estimates the interaction between monetary- and fiscal policy using a structural VAR model with time-varying parameters. For demand and supply shocks, the two policies are estimated to be complementary, while for monetary and fiscal policies shocks the two policies act as substitutes....
Persistent link: https://www.econbiz.de/10011990029
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A narrative approach to a fiscal DSGE model
Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837
Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...
Persistent link: https://www.econbiz.de/10012214069
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Estimating the Effects of Fiscal Policy in OECD Countries
Perotti, Roberto - 2021
This paper studies the effects of fiscal policy on GDP, prices and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its mains results can be summarized as follows; 1) The effects of fiscal policy on GDP and its components have become substantially weaker in...
Persistent link: https://www.econbiz.de/10013320219
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Size effects of fiscal policy and business confidence in the Euro area
Michail, Nektarios A.; Savva, Christos S.; Koursaros, … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-15
Euro Area economies to a one percent shock in government consumption and business confidence. The evidence suggests that … even though the response to a government consumption shock is strong, a shock in expectations has an even greater effect …
Persistent link: https://www.econbiz.de/10011760247
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …
Persistent link: https://www.econbiz.de/10011926201