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A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
Inoue, Atsushi; Rossi, Barbara - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1085-1138
We propose a new approach to analyze economic shocks. Our new procedure identifies economic shocks as exogenous shifts in a function; hence, we call them "functional shocks." We show how to identify such shocks and how to trace their effects in the economy via VARs using "VARs with functional...
Persistent link: https://www.econbiz.de/10012795633
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What drives property insurance demand in Croatia?
Krišto, Jakša; Gardijan Kedžo, Margareta; … - In: Zagreb international review of economics & business 27 (2024) 1, pp. 155-176
Persistent link: https://www.econbiz.de/10015080819
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The impact of monetary policy on inequality in the UK : an empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - 2016
The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use … policy shocks lead to a deterioration in earnings, income and consumption inequality and contribute to their fluctuation. The … response of income and consumption at different quantiles suggests that contractionary policy has a larger negative effect on …
Persistent link: https://www.econbiz.de/10011431334
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The impact of monetary policy on inequality in the UK : an empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - In: European economic review : EER 98 (2017), pp. 410-423
Persistent link: https://www.econbiz.de/10011813138
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Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
Proxy structural vector autoregressions (SVARs)identify structural shocks in vector autoregressions (VARs) with external proxy variables that are correlated with the structural shocks of interest but uncorrelated with other structural shocks. We provide asymptotic theory for proxy SVARs when the...
Persistent link: https://www.econbiz.de/10011570152
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What Happens When the Kiwi Flies? The Sectoral Effects of the Exchange Rate Shocks
Karagedikli, Özer - 2013
the effects of these shocks on different sectors of the economy. We find that an unexpected shock to the exchange rate has …
Persistent link: https://www.econbiz.de/10013072839
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Asymmetric Responses of Consumer Spending to Energy Prices : A Threshold VAR Approach
Knotek, Edward S. - 2020
We document asymmetric responses of consumer spending to energy price shocks: Using a multiple-regime threshold vector autoregressive model estimated with Bayesian methods on US data, we find that positive energy price shocks have a larger negative effect on consumption compared with the...
Persistent link: https://www.econbiz.de/10012831022
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Do credit supply shocks have asymmetric effects?
Finck, David; Rudel, Paul - 2020
They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt: GDP, as opposed to...
Persistent link: https://www.econbiz.de/10012224893
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Cyclical drivers of euro area consumption : what can we learn from durable goods?
Casalis, André; Krustev, Georgi - 2020
We study the cyclical dynamics of consumption in the euro area (EA) and the large EA countries by distinguishing durable from nondurable expenditures. We adopt a theoretical partial equilibrium framework to justify the identification strategy of our empirical model, a time-varying parameter...
Persistent link: https://www.econbiz.de/10012197836
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Demand shocks vs. supply shocks : which shocks matter more in income and price inequality?
Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung - 2022
demand shocks significantly worsen the income distribution. It is estimated that the effect of the demand shock is long …This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data … Blanchard and Quah (1989) and Bashar (2011). In addition, several income distribution indices are calculated, and a relative …
Persistent link: https://www.econbiz.de/10013198179