Narrow search
Showing 1 - 10 of 9,345
Cover Image
Fiscal news and macroeconomic volatility
Born, Benjamin; Peter, Alexandra; Pfeifer, Johannes - 2011
This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an …
Persistent link: https://www.econbiz.de/10009748254
Cover Image
The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …
Persistent link: https://www.econbiz.de/10010472799
Cover Image
Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …
Persistent link: https://www.econbiz.de/10011978764
Cover Image
Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …
Persistent link: https://www.econbiz.de/10014314068
Cover Image
Rare shocks, great recessions
Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012
allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …
Persistent link: https://www.econbiz.de/10010219714
Cover Image
Changing impact of shocks : a time-varying proxy SVAR approach
Mumtaz, Haroon; Petrova, Katerina - 2018
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
Persistent link: https://www.econbiz.de/10011933414
Cover Image
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 …
Persistent link: https://www.econbiz.de/10014528602
Cover Image
The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
Cover Image
Global oil price swings : has their effect on Malta changed over time?
Ruisi, Germano - 2023
volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …
Persistent link: https://www.econbiz.de/10014380679
Cover Image
Granular Origin of Comovement in Fluctuations
Chakrabati, Anindya S.; Tomar, Shekhar - 2021
We study the origin of comovement in economic fluctuations across regions in India through a unique administrative dataset on plant-level sales. Regional sales exhibit a high level of comovement that can be traced to a small number of large plants located in different regions, indicating a...
Persistent link: https://www.econbiz.de/10013212540