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What are the macroeconomic effects of high-frequency uncertainty shocks?

Ferrara, Laurent; Guérin, Pierre - 2015

Persistent link: https://www.econbiz.de/10011300896

Identifying news shocks with forecast data

Hirose, Yasuo; Kurozumi, Takushi - In: Macroeconomic dynamics 25 (2021) 6, pp. 1442-1471

Persistent link: https://www.econbiz.de/10012618220

The expectational effects of news in business cycles : evidence from forecast data

Miyamoto, Wataru; Nguyen, Thuy Lan - In: Journal of monetary economics 116 (2020), pp. 184-200

Persistent link: https://www.econbiz.de/10012495170

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

Bank capital constraints, lending supply and economic activity

Conti, Antonio M.; Nobili, Andrea; Signoretti, Federico M. - 2018

Persistent link: https://www.econbiz.de/10011941271

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

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

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

Skewed SVARS : tracking the structural sources of macroeconomic tail risks

Montes-Galdón, Carlos; Ortega, Eva - In: Essays in honour of Fabio Canova, (pp. 177-210). 2022

Persistent link: https://www.econbiz.de/10013445157

A financial accelerator in the business sector of a macroeconometric model of a small open economy

Benedictow, Andreas; Hammersland, Roger - In: Economic systems 44 (2020) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10012593327

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