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The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation
Korenok, Oleg; Radchenko, Stanislav - 2004
The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common transitory component and idiosyncratic...
Persistent link: https://www.econbiz.de/10010263232
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(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?
Babutsidze, Zakaria - 2010
This paper presents a model of asymmetric (S,s) pricing. We investigate whether the asymmetry on micro level is carried … conclude that the first type of asymmetry can be attributed to the differences in adjustment bands and that heterogeneity … softens this effect. The second type of asymmetry is the result of pricing behavior, thus of agent heterogeneity itself. …
Persistent link: https://www.econbiz.de/10010300701
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The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....
Persistent link: https://www.econbiz.de/10011604862
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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - 2021
Persistent link: https://www.econbiz.de/10012878659
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Filtering persistent and asymmetric cycles
Donayre, Luiggi - In: The B.E. journal of macroeconomics 23 (2023) 1, pp. 473-495
Persistent link: https://www.econbiz.de/10013556558
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Asymmetric effects of oil price shocks on the demand for money in Algeria
Chelghoum, Amirouche; Boumimez, Fayçal; Alsamara, Mouyad - In: The quarterly review of economics and finance : journal … 89 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014428121
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Examining the behaviour of inflation to supply and demand shocks using an MS-VAR model
Koursaros, Demetris; Michail, Nektarios; Savva, Christos - In: Economic modelling 141 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015192259
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Oil shocks and the transmission of higher-moment information in US industry : evidence from an asymmetric puzzle
Naeem, Muhammad Abubakr; Gul, Raazia; Aysan, Ahmet Faruk; … - In: Borsa Istanbul Review 24 (2024) 6, pp. 1190-1204
Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically,...
Persistent link: https://www.econbiz.de/10015152632
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Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks : a case of emerging economy
Khan, Waseem; Sharma, Vishal; Ansari, Saghir Ahmad - In: Review of development economics : an essential resource … 26 (2022) 3, pp. 1733-1784
Persistent link: https://www.econbiz.de/10013329679
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Ambiguous economic news and heterogeneity : what explains asymmetric consumption responses?
Corrado, Luisa; Silgado-Gómez, Edgar; Yoo, Donghoon; … - In: Journal of macroeconomics 72 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013329749