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Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics

Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15...

Persistent link: https://www.econbiz.de/10014024278

Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach

Togonidze, Sophio; Kočenda, Evžen - 2022

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We …-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction …, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil …

Persistent link: https://www.econbiz.de/10013369064

Shared-appreciation mortgages and uninsurable idiosyncratic shocks

Cóndor, Richard - 2020

Shared-appreciation mortgage (SAM) contracts, which display payments indexed to a local house price, have been proposed as an alternative to alleviate the costs of recessions. Using a heterogeneous agent model with two types of agents (Borrowers and Savers), uninsurable idiosyncratic income...

Persistent link: https://www.econbiz.de/10012292349

Credit, asset prices and business cycles at the global level

Dées, Stéphane - 2015

This paper assesses the role of financial variables in real economic fluctuations, in view of analysing the link between financial cycles and business cycles at the global level. A Global VAR modelling approach, which has been proved suitable for modelling country or regional linkages, is used...

Persistent link: https://www.econbiz.de/10011476350

Search complementarities, aggregate fluctuations, and fiscal policy

Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2019

We develop a quantitative business cycle model with search complementarities in the inter-firm matching process that entails a multiplicity of equilibria. An active equilibrium with strong joint venture formation, large output, and low unemployment coexists with a passive equilibrium with low...

Persistent link: https://www.econbiz.de/10012003850

The macroeconomic impact of financial and uncertainty shocks

Caldara, Dario; Fuentes-Albero, Cristina; Gilchrist, Simon - 2016

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...

Persistent link: https://www.econbiz.de/10011563004

Mortgage credit : lending and borrowing constraints in a DSGE framework

León, Elmer Sánchez - 2016

This paper develops a Dynamic Stochastic General Equilibrium (DSGE) framework to evaluate the relative importance of the easing of lending and borrowing constraints in mortgage credit markets for business cycle fluctuations in small open emerging economies. Credit markets are characterized by...

Persistent link: https://www.econbiz.de/10011554739

Bargaining shocks and aggregate fluctuations

Drautzburg, Thorsten; Fernández-Villaverde, Jesús; … - 2020

We argue that social and political risk causes signiﬁcant aggregate ﬂuctuations by changing bargaining power. To that end, we document signiﬁcant changes in the capital share after large political events, such as political realignments, modiﬁcations in collective bargaining rules, or the...

Persistent link: https://www.econbiz.de/10012198580

Assessing the economic content of direct and indirect business uncertainty measures

Glocker, Christian; Hölzl, Werner - 2019 - This version: January 2019

to uncertainty trigger effects in GDP of opposite sign, however, the indirect measures tend to significantly … underestimate the effects on GDP and other macroeconomic aggregates. …

Persistent link: https://www.econbiz.de/10011967403

The banking crisis as dynamic stochastic general equilibrium ; what's wrong with modern macroeconomics?

Minford, Patrick - In: CESifo economic studies : CESifo, a joint initiative of … 56 (2010) 4, pp. 554-574

Crises are triggered by the inherent uncertainty of the capitalist system. We represent this uncertainty in an open economy real business cycle model of the UK by including non-stationary productivity shocks. A random sequence of good or bad shocks will accumulate, producing euphorias and...

Persistent link: https://www.econbiz.de/10008809501

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