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Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

Persistent link: https://www.econbiz.de/10011612106

Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying...

Persistent link: https://www.econbiz.de/10011800671

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - In: Energy economics 121 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014438651

Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021

Persistent link: https://www.econbiz.de/10012605022

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444

Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368

Persistent link: https://www.econbiz.de/10014292181

Foreign direct investment, economic growth, and volatility : a useful model for policymakers

Edwards, Jeffrey A.; Romero, Alfredo A.; Madjd-Sadjadi, … - In: Empirical economics : a journal of the Institute for … 51 (2016) 2, pp. 681-705

Persistent link: https://www.econbiz.de/10011551007

Bayesian estimation of the long-run trend of the US economy

Kim, Jaeho; Chon, Sora - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 461-485

Persistent link: https://www.econbiz.de/10012819475

The impact of real exchange rate and exchange rate volatility on foreign direct investment : panel data evidence

Elian, Mohammad I. - In: The international journal of finance 26 (2014) 2, pp. 239-256

Persistent link: https://www.econbiz.de/10011378772

Foreign direct investment : flows, volatility and growth in developing countries

Lensink, Robert; Morrissey, Oliver - 2001

This paper contributes to the literature on FDI and economic growth. We deviate from previous studies by introducing … results are not entirely robust, there is a consistent finding that FDI has a positive effect on growth whereas volatility of …). There is a suggestion that it is not the volatility of FDI per se that retards growth but that such volatility captures the …

Persistent link: https://www.econbiz.de/10011535011

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