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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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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
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Structural Heterogeneity or Asymmetric Shocks? Poland and the Euro Area Through the Lens of a Two-Country DSGE Model
Kolasa, Marcin - 2011
This paper presents a two-country model linking Poland and the euro area and applies it for assessment of heterogeneity across these two regions. Overall, our results can be seen as rather inconclusive about the differences in parameters describing agents' decision-making in Poland and in the...
Persistent link: https://www.econbiz.de/10013130695
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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Joslin, Scott - 2014
This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of … in which bond investment decisions are influenced by real output and inflation risks that are unspanned by (imperfectly …
Persistent link: https://www.econbiz.de/10013063563
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Are asset price data informative about news shocks? : a DSGE perspective
Iskrev, Nikolay - 2018
respect to unobserved shocks in structural macroeconomic models. The proposed methodology is applied to two different real …
Persistent link: https://www.econbiz.de/10011864177
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Are Asset Price Data Informative About News Shocks? A DSGE Perspective
Iskrev, Nikolay I. - 2018
respect to unobserved shocks in structural macroeconomic models. The proposed methodology is applied to two different real …
Persistent link: https://www.econbiz.de/10012916362
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A VAR model for monetary policy analysis in a small open economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999
other shocks; the short and long run relationships between prices and nominal and real exchange rates; the properties of an …
Persistent link: https://www.econbiz.de/10011584357
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Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging
Strachan, Rodney W. - 2012
The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a … for the results obtained. We do find support for a number of features implied by the real business cycle model. Business …
Persistent link: https://www.econbiz.de/10013110953
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Still Puzzling : Evaluating the Price Puzzle in an Empirically Identified Structural Vector Autoregression
Demiralp, Selva - 2010
The price puzzle is the association in a structural vector autoregression (SVAR) of a contractionary shock to monetary policy with persistent increases in the price level. Various explanations have been investigated separately in the framework of small SVARs without any common set of variables...
Persistent link: https://www.econbiz.de/10013152728
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Identification and Estimation Issues in Structural Vector Autoregressions with External Instruments
Angelini, Giovanni - 2018
the Global Financial Crisis. To do so, we employ two external instruments to identify the real economic activity shock in …
Persistent link: https://www.econbiz.de/10012918605