Narrow search
Showing 1 - 10 of 76,883
Cover Image
Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
Canova, Fabio; Pèrez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384
This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with...
Persistent link: https://www.econbiz.de/10011757703
Cover Image
Macroeconomic effects of loan supply shocks : empirical evidence for Peru
Martínez, Jefferson; Rodriguez, Gabriel - In: Latin American economic review : LAER ; official … 30 (2021), pp. 1-24
This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic … restrictions. The main results indicate that an adverse LS shock: (i) reduces credit and real GDP growth by 372 and 75 basis points … identification schemes with sign restrictions; and that an adverse LS shock has a greater impact on non-primary real GDP growth. …
Persistent link: https://www.econbiz.de/10012594182
Cover Image
Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate...
Persistent link: https://www.econbiz.de/10011460225
Cover Image
An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach
Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16
years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …
Persistent link: https://www.econbiz.de/10012795308
Cover Image
Spillover dynamics across price inflation and selected agricultural commodity prices
Balcilar, Mehmet; Bekun, Festus Victor - In: Journal of economic structures : JES; the official … 9 (2020) 2, pp. 1-17
This article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012) spillover index....
Persistent link: https://www.econbiz.de/10012256021
Cover Image
Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries
Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26
autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil …-specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources.Based on the … appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within …
Persistent link: https://www.econbiz.de/10012418406
Cover Image
Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …
Persistent link: https://www.econbiz.de/10012626760
Cover Image
Conventional and unconventional monetary policies : effects on the Finnish housing market
Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186
sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and … temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The … peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the …
Persistent link: https://www.econbiz.de/10012296184
Cover Image
On the dynamic effects of the cross-section distribution of sectoral price changes in China
Gu, Biao; Fu, Liying; Yu, Kehuan - In: International studies of economics 18 (2023) 4, pp. 468-501
This paper investigates the dynamic interactions of the cross-section distribution of sectoral price changes and the output growth in the Chinese economy. We compare in depth the results of Granger causality tests, Impulse Response, and Forecast Error Variance Decompositions from Mixed Sampling...
Persistent link: https://www.econbiz.de/10014465997
Cover Image
Chapter 8. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
Stock, J.H.; Watson, M.W. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 415-525). 2016
This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses …
Persistent link: https://www.econbiz.de/10014024278