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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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Macroeconomic shocks and racial labour market differences in the U.S.
De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019
Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...
Persistent link: https://www.econbiz.de/10012157899
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …
Persistent link: https://www.econbiz.de/10011389786
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Credit shocks and macroeconomic fluctuations in emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10009754529
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News Shocks and the Effects of Monetary Policy
Zhang, Ren - 2019
-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …
Persistent link: https://www.econbiz.de/10012891083
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Update to figure 1 in "Macroeconomic Shocks and their Propagation"
Chiarotti, Edoardo - 2021
a shock in the Federal Funds Rate, following the baseline and variations of the Vector Autoregression (VAR) models in …
Persistent link: https://www.econbiz.de/10012416282
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10012320523
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Neuenkirch, Matthias - 2020
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10012383710
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The effect of news shocks and monetary policy
Gambetti, Luca; Görtz, Christoph; Korobilis, Dimitris; … - 2019
the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the …
Persistent link: https://www.econbiz.de/10011990092
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2018
We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...
Persistent link: https://www.econbiz.de/10011928806