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Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012

We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...

Persistent link: https://www.econbiz.de/10010219714

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Melting down : systemic financial instability and the macroeconomy ; conference paper

Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Persistent link: https://www.econbiz.de/10010336276

Monetary policy transmission over the leverage cycle : evidence for the euro area

Bräuer, Leonie; Rünstler, Gerhard - 2020

We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller...

Persistent link: https://www.econbiz.de/10012241107

Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

that includes a nonlinear function of the financial shock. …

Persistent link: https://www.econbiz.de/10013207315

Uncertainty shocks and financial crisis indicators

Hristov, Nikolay; Roth, Markus - 2019

The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...

Persistent link: https://www.econbiz.de/10012103607

Financial uncertainty and real activity : the good, the bad, and the ugly

Caggiano, Giovanni; Castelnuovo, Efrem; Delrio, Silvia; … - 2020

disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the … interventions that keep credit conditions as healthy as they were before the COVID-19 uncertainty shock are found to substantially …

Persistent link: https://www.econbiz.de/10012245103

Local Projections

Jordà, Òscar; Taylor, Alan M. - National Bureau of Economic Research - 2024

A central question in applied research is to estimate the effect of an exogenous intervention or shock on an outcome …

Persistent link: https://www.econbiz.de/10015056147

Do bivariate SVAR models with long-run identifying restrictions yield reliable results? : The case of Germany

Gottschalk, Jan - 2001

Persistent link: https://www.econbiz.de/10013261159

Phillips curve shocks and real exchange rate fluctuations : SVAR evidence

Gehrke, Britta; Yao, Fang - 2014

Steinsson (2008) shows that real shocks that affect the New Keynesian Phillips curve explain the behavior of the real exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of the real exchange rate in the data. In a structural...

Persistent link: https://www.econbiz.de/10010400806