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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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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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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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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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Structural VARs, Deterministic and Stochastic Trends : How Much Detrending Matters for Shock Identification
Wiriyawit, Varang - 2016
Detrending within structural vector autoregressions (SVAR) is directly linked to the shock identification. We …
Persistent link: https://www.econbiz.de/10013004728
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Noisy News in Business Cycles
Forni, Mario - 2014
of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our …
Persistent link: https://www.econbiz.de/10013043877
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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …
Persistent link: https://www.econbiz.de/10012626760
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Why does risk matter more in recessions than in expansions?
Andreasen, Martin Møller; Caggiano, Giovanni; … - 2021
-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high …
Persistent link: https://www.econbiz.de/10012628705
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Moments, Shocks and Spillovers in Markov Switching VAR Models
Kole, Erik; van Dijk, Dick J. C. - 2021
innovations and the variables themselves. By formulating the MSVAR as an extended linear non-Gaussian VAR for the combination of …
Persistent link: https://www.econbiz.de/10013212199