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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011372798
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...
Persistent link: https://www.econbiz.de/10011306276
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How robust are SVARs at measuring monetary policy in small open economies?
Carrillo, Julio A.; Elizondo, Rocio - 2015
Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we … recovers the transmission of the shock, whereas exclusion restrictions show large sensitivity to the assumed monetary …
Persistent link: https://www.econbiz.de/10011337610
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
Persistent link: https://www.econbiz.de/10010339759
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Macroeconomic regimes, technological shocks and employment dynamics
Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016
In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...
Persistent link: https://www.econbiz.de/10011483831
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2016
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for … strategies for structural shock identification. Applying our methodology to US macroeconomic data (FRED QD) reveals indeed a high … 52 percent of the variation in the data. We simultaneously identify a monetary policy, a productivity and a news shock by …
Persistent link: https://www.econbiz.de/10011558192
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Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models
Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …
Persistent link: https://www.econbiz.de/10011563120
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010501257
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010503909