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~subject:"Shock"
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Shock
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Theodoridis, Konstantinos
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Kilian, Lutz
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Gupta, Rangan
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Piffer, Michele
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11
Manera, Matteo
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Rieth, Malte
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10
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10
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9
Francis, Neville
9
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9
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9
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9
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8
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Gambetti, Luca
8
Hristov, Nikolay
8
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8
Mohaddes, Kamiar
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Ravazzolo, Francesco
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Schlaak, Thore
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7
Belke, Ansgar
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Bruns, Martin
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Dubova, Irina
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International Research Conference on Household Heterogeneity and Policy Relevance <2022, Brüssel>
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ECONIS (ZBW)
1,132
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1
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1
Structural shocks and trend inflation
Fu, Bowen
;
Mendieta-Muñoz, Ivan
-
2023
We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the US economy, we find that four structural shocks have...
Persistent link: https://www.econbiz.de/10014483507
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2
Partial identification of heteroskedastic structural VARs : theory and Bayesian inference
Lütkepohl, Helmut
;
Shang, Fei
;
Uzeda, Luis
;
Woźniak, …
-
2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de/10014528602
Saved in:
3
What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?
Berger, Tino
;
Richter, Julia
-
2017
According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...
Persistent link: https://www.econbiz.de/10011584095
Saved in:
4
Model validation and DSGE modeling
Poudyal, Niraj
;
Spanos, Aris
- In:
Econometrics : open access journal
10
(
2022
)
2
,
pp. 1-25
, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak
forecasting
…
Persistent link: https://www.econbiz.de/10013355187
Saved in:
5
Partially identified heteroskedastic SVARs
Bacchiocchi, Emanuele
;
Bastianin, Andrea
;
Kitagawa, Toru
; …
-
2024
This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected to be statistically indistinguishable from each other....
Persistent link: https://www.econbiz.de/10014556642
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6
Refining the workhorse oil market model
Zhou, Xiaoqing
-
2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336
Saved in:
7
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
Saved in:
8
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney W.
-
2012
The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...
Persistent link: https://www.econbiz.de/10013108781
Saved in:
9
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 Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...
Persistent link: https://www.econbiz.de/10013110953
Saved in:
10
Heterogeneous household responses to energy price shocks
Peersman, Gert
;
Wauters, Joris
-
2022
We use survey evidence on reported spending in hypothetical energy price shock scenarios to study novel features of the price elasticity of energy demand and the marginal propensity to consume (MPC) after paying the energy bill. We find that the price elasticity is significantly larger for price...
Persistent link: https://www.econbiz.de/10013473647
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