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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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Economic Uncertainty and the Effectiveness of Monetary Policy
Aastveit, Knut Are - 2013
This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We consider several measures of U.S. economic uncertainty, and estimate their interaction effects with monetary policy shocks as identified through structural vector autoregressions. We find that...
Persistent link: https://www.econbiz.de/10013073109
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065379
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065408
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065487
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Changes in natural disaster risk : macroeconomic responses in selected Latin American countries
Isoré, Marlène - In: Economies : open access journal 6 (2018) 1, pp. 1-12
This paper studies the theoretical effects of changes in disaster risk on macroeconomic variables in five Latin … American economies. It compares country-specific variants of the New Keynesian model with disaster risk developed by Isoré and … less vulnerable to disaster risk shocks, as compared to Chile and Colombia in particular. Overall, the analysis suggests …
Persistent link: https://www.econbiz.de/10011853521
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Monitoring Multicountry Macroeconomic Risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
measures, resulting from the new model, can be used to implement joint risk scenario analysis …
Persistent link: https://www.econbiz.de/10014350458
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Uncertainty and effectiveness of monetary policy : a bayesian Markov switching-VAR analysis
Nain, Zulquar; Kamaiah, Bandi - In: Journal of central banking theory and practice 9 (2020), pp. 237-265
There is a growing body of literature examining the effectiveness of the monetary policy on the macroeconomy in different contexts for developed and developing countries. However, lately, especially after the GFC, the focus of research shifted to examine the role of uncertainty in economic...
Persistent link: https://www.econbiz.de/10012306714
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Price stability and climate risks : sensible measures for the European Central Bank
Bremus, Franziska; Dany-Knedlik, Geraldine; Schlaak, Thore - In: DIW weekly report : economy, politics, science : a … 10 (2020) 14, pp. 206-213
portfolio and risk management. …
Persistent link: https://www.econbiz.de/10012198219
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Inflation, perception of economic uncertainty and COVID-19 : evidence from Central Bank communication
Silva, Pierre Hítalo Nascimento; Araujo, Jevuks Matheus de - In: Central Bank review / Central Bank of the Republic of Turkey 23 (2023) 1, pp. 1-13
Do extreme events have a significant effect about textual sentiment? The purpose of this article is to highlight the need to correct the estimation of indicators of economic uncertainty. The indicators were constructed from textual data about the perspective of extreme events. For this purpose,...
Persistent link: https://www.econbiz.de/10014281527