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Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions

Bruns, Martin; Lütkepohl, Helmut - 2023 - This version: April 21, 20231

Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope...

Persistent link: https://www.econbiz.de/10014305728

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

The importance of supply and demand for oil prices : evidence from non-Gaussianity

Braun, Robin - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1163-1198

When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound...

Persistent link: https://www.econbiz.de/10014496492

Is gold a safe haven for the dynamic risk of foreign exchange?

Wang, Kuan Min; Thi, Thanh-binh Nguyen; Lee, Yuan-Ming - In: Future Business Journal 7 (2021), pp. 1-17

This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...

Persistent link: https://www.econbiz.de/10012668314

Modelling the effects of climate change on economic growth : a Bayesian Structural Global Vector Autoregressive approach

Ahmadi, Maryam; Casoli, Chiara; Manera, Matteo; … - 2022

The identification of the effects of climate shocks on economic growth is central to design effective policies aiming at managing the future global climate change challenge. In this study, we investigate the effects of temperature and precipitation shocks on economic growth across different...

Persistent link: https://www.econbiz.de/10014264956

Melting down : systemic financial instability and the macroeconomy ; conference paper

Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Persistent link: https://www.econbiz.de/10010336276

A Note on Cointegration of International Stock Market Indices

Dimpfl, Thomas - 2016

Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence … whether these indices are cointegrated. We show that while heteroscedasticity alone is able to mislead cointegration tests, it … features. We conclude that cointegration is not a suitable method to analyze stock market interdependence …

Persistent link: https://www.econbiz.de/10013008752

What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?

Berger, Tino; Richter, Julia - 2017

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...

Persistent link: https://www.econbiz.de/10011584095

Dynamic spillovers of oil price shocks and policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - 2014

Persistent link: https://www.econbiz.de/10010360804

Narrative sign restrictions for SVARs

Antolín-Díaz, Juan; Rubio-Ramírez, Juan Francisco - 2016

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

Persistent link: https://www.econbiz.de/10011570683

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