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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
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10009511771
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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The role of sectoral shifts in the great moderation
Burren, Daniel - 2008
In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … disaggregated only up to 10 sectors. Blanchard and Simon (2001) come to the same result. Using a new estimation method and more … this in order to get, for each observation period, an estimation of the covariance matrix of the sectoral growth rates …
Persistent link: https://www.econbiz.de/10003923367
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Endogenous firm entry in an estimated model of the U.S. business cycle : conference paper
Offick, Sven; Winkler, Roland - 2013 - Preliminary and incomplete
This paper explores and quantifies the role of endogenous firm entry in amplifying and propagating shocks to the economy. To this end, we estimate two DSGE models on US data with Bayesian methods: one model with endogenous firm entry and translog preferences and one model without. Both models...
Persistent link: https://www.econbiz.de/10010341104
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US business cycle dynamics at the zero lower bound
Böhl, Gregor; Strobel, Felix - 2020
the estimation severely distorts the analysis of the latest economic dynamics. …
Persistent link: https://www.econbiz.de/10012406022
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The role of news about TFP in U.S. recessions and booms
Faccini, Renato; Melosi, Leonardo - 2018
We develop a general equilibrium model to study the historical contribution of TFP news to the U.S. business cycle. Hiring frictions provide incentives for firms to start hiring ahead of an anticipated improvement in technology. For plausibly calibrated hiring costs, employment gradually rises...
Persistent link: https://www.econbiz.de/10011822212
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US business cycle dynamics at the zero lower bound
Böhl, Gregor; Strobel, Felix - 2020
increase in consumption. The common practice of omitting the ZLB period in the estimation severely distorts the analysis of the …
Persistent link: https://www.econbiz.de/10012234437
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A consistent model of "explosive" financial bubbles with mean-reversing residuals
Lin, Li; Ren, Ruoen; Sornette, Didier - 2009
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … started at least 4 years earlier. We confirm the validity and universality of the volatility-confined LPPL model on seven …
Persistent link: https://www.econbiz.de/10003970340