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Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility

Chávez, Paulo; Rodriguez, Gabriel - 2022 - Primera edición

Persistent link: https://www.econbiz.de/10013273077

Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with stochastic volatility

Chávez, Paulo; Rodriguez, Gabriel - In: Review of world economics 159 (2023) 2, pp. 505-544

Persistent link: https://www.econbiz.de/10014308071

What can time-series regressions tell us about policy counterfactuals?

McKay, Alisdair; Wolf, Christian - In: Econometrica : journal of the Econometric Society, an … 91 (2023) 5, pp. 1695-1725

Persistent link: https://www.econbiz.de/10014434198

The nonlinear effects of uncertainty shocks

Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018

Persistent link: https://www.econbiz.de/10011950514

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011443536

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

Persistent link: https://www.econbiz.de/10011389786