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News and uncertainty shocks
Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018
We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...
Persistent link: https://www.econbiz.de/10011967370
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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News shocks : different effects in boom and recession?
Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019
This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...
Persistent link: https://www.econbiz.de/10011967392
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Identifying key macroeconomic shocks to Canadian GDP
Sayeed, Jamil - 2020
the variation in the GDP in Canada. My findings suggest that TFP news shock is the key driver of GDP in the medium run and … it creates significant positive co-movements among the aggregate variables at business cycle frequencies. Demand shock … dominates in the short run, however, its hard to pin down the exact source of the shock. The findings are robust to alternative …
Persistent link: https://www.econbiz.de/10012437729
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The impact of financial shocks on the forecast distribution of output and inflation
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2023
Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a...
Persistent link: https://www.econbiz.de/10014232607
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
generalized tempering for "online" estimation, and provide examples of multimodal posteriors that are well captured by SMC methods …. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with …
Persistent link: https://www.econbiz.de/10012038824
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Forecasting and stress testing with quantile vector autoregression
Chavleishvili, Sulkhan; Manganelli, Simone - 2019
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...
Persistent link: https://www.econbiz.de/10012122051
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The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011443536
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The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011554324
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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
DSGE (Dynamic stochastic general equilibrium) models are the common workhorse of modern macroeconomic theory. Whereas story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of DSGE models is only recently topical. In this study,...
Persistent link: https://www.econbiz.de/10011561187