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The time-varying effects of permanent and transistory shocks to real output

Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507

Persistent link: https://www.econbiz.de/10011308634

Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012424283

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

Persistent link: https://www.econbiz.de/10012250452

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021

Persistent link: https://www.econbiz.de/10012543257

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10011473872

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

Persistent link: https://www.econbiz.de/10001584428

Markov-switching proxy BVARs

Zakipour-Sabery, Shayan - 2019

This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of...

Persistent link: https://www.econbiz.de/10012160515

Great Moderation in the Japanese economy

Ko, Jun-hyung; Murase, Koichi - In: Japan and the world economy : international journal of … 27 (2013), pp. 10-24

Persistent link: https://www.econbiz.de/10010243010

From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis

Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016

Persistent link: https://www.econbiz.de/10011503984

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