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Identifying Fiscal Policy Shocks in Chile and Colombia

Restrepo, Jorge E. - 2012

Structural VAR and Structural VEC models were estimated for Chile and Colombia, aiming at identifying fiscal policy shocks in both countries between 1990 and 2005. The impulse responses obtained allow the calculation of a peso-for-peso ($/$) effect on output of a shock to public spending and to...

Persistent link: https://www.econbiz.de/10013110678

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Strachan, Rodney W. - 2010

) processes. The linear VAR model is extended to permit cointegration, a range of deterministic processes, equilibrium …

Persistent link: https://www.econbiz.de/10013143031

Evidence on features of a DSGE business cycle model from Bayesian model

Strachan, Rodney W.; Dijk, Herman K. van - 2012

Persistent link: https://www.econbiz.de/10009722689

A VAR model for monetary policy analysis in a small open economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

Persistent link: https://www.econbiz.de/10011584357

Inference for Impulse Responses Under Model Uncertainty

Lieb, Lenard - 2017

estimating a VAR model in levels - thus ignoring uncertainty regarding the true (unknown) cointegration rank. While it is well … known that using a wrong cointegration rank leads to invalid (bootstrap) inference, we demonstrate that even if the rank is … the treatment of the cointegration rank, and show how formally accounting for rank uncertainty can affect the conclusions …

Persistent link: https://www.econbiz.de/10012960344

The Dynamic Effects of Shocks to Wages and Prices in the United States and the Euro Area

Duarte, Rita Netto de Miranda - 2009

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

Persistent link: https://www.econbiz.de/10013158451

Identifying Dornbusch's exchange rate overshooting with structural VECs : evidence from Mexico

Capistrán Carmona, Carlos; Chiquiar, Daniel; … - 2017

In this paper we use data from Mexico to identify Dornbusch's (1976) exchange rate overshooting hypothesis. We specify and estimate a structural cointegrated VAR that considers explicitly the presence of a set of long-run theoretical relations on macroeconomic variables (a purchasing power...

Persistent link: https://www.econbiz.de/10011667628

Are Asset Price Data Informative About News Shocks? A DSGE Perspective

Iskrev, Nikolay I. - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

Persistent link: https://www.econbiz.de/10012916362

Generalized exogenous processes in DSGE : a Bayesian approach

Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...

Persistent link: https://www.econbiz.de/10010503919

Are asset price data informative about news shocks? : a DSGE perspective

Iskrev, Nikolay - 2018

Persistent link: https://www.econbiz.de/10011864177