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Structural analysis with independent innovations
Herwartz, Helmut - 2014
Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a …-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative … Gaussian framework of independent innovations, a loss statistic is proposed in this paper that allows to discriminate between …
Persistent link: https://www.econbiz.de/10010355109
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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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Do bivariate SVAR models with long-run identifying restrictions yield reliable results? : the case of Germany
Gottschalk, Jan; Van Zandweghe, Willem - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10011476382
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What drives inventory accumulation? : news on rates of return and marginal costs
Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2019
We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the transmission channel of news shocks to inventories works...
Persistent link: https://www.econbiz.de/10012119865
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Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle
Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019
Structural vector autoregressive analysis aims to trace the contemporaneous linkages among (macroeconomic) variables back to underlying orthogonal structural shocks. In homoskedastic Gaussian models the identification of these linkages deserves external and typically notdata-based information....
Persistent link: https://www.econbiz.de/10012027359
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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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The multivariate simultaneous unobserved components model and identification via heteroskedasticity
Li, Mengheng; Mendieta-Muñoz, Ivan - 2019
structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only … between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved …
Persistent link: https://www.econbiz.de/10012010854
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News shocks : different effects in boom and recession?
Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019
This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally …
Persistent link: https://www.econbiz.de/10011967392
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Sequential identification of technological news shocks
Seymen, Atılım - 2013
In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR...
Persistent link: https://www.econbiz.de/10010225546
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Rare shocks, great recessions
Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012
We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...
Persistent link: https://www.econbiz.de/10010219714