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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
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Measuring business cycles : a review
Škare, Marinko; Stjepanović, Saša - In: Contemporary economics 10 (2016) 1, pp. 83-94
This article summarizes the main findings on problems related to the measurement and identification of business cycles …. The aim of this study is to define and identify the determinants of business cycles. This paper provides an overview of … literature, but none is perfect. A new development in the field lies in spectral analysis methods for measuring business cycles …
Persistent link: https://www.econbiz.de/10011453001
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665
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Forecasting using mixedfrequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2018 - This version: September 2, 2018
We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector autoregression with stochastic volatility (MF-TVP-SVVAR). The latter is able to cope with structural changes and can handle indicators sampled at different frequencies. We conduct a...
Persistent link: https://www.econbiz.de/10011962204
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R&D Shocks, News Shocks, and Price Levels
Jinnai, Ryo - 2014
This paper proposes a structural explanation for a news shock. My hypothesis is that a surprise, research and development sector-specific productivity shock may be identified and labeled as news by prominent empirical research in the literature. To examine this hypothesis, I construct a simple...
Persistent link: https://www.econbiz.de/10013053771
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...
Persistent link: https://www.econbiz.de/10012544443
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Global economic divergence and portfolio capital flows to emerging markets
Mandalinci, Zeyyad; Mumtaz, Haroon - 2015
This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...
Persistent link: https://www.econbiz.de/10011372822
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MAJA: a two-region DSGE model for Sweden and its main trading partners
Corbo, Vesna; Strid, Ingvar - 2020
The Swedish economy is strongly dependent on global economic developments, which is re ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE) models...
Persistent link: https://www.econbiz.de/10012240452
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Financial Volatility and its Economic Effects
R.T. Ferreira, Thiago - 2018
I empirically investigate the economic effects of uncertainty about the performance of financial firms. More specifically, I focus on the simple standard deviation of stock market returns across financial firms at every quarter, referring to this measure as financial volatility. First, I show...
Persistent link: https://www.econbiz.de/10012925756