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Identifying money and inflation expectation shocks on real oil prices
Benk, Szilárd; Gillman, Max - 2023
role played by inflation expectations and the money supply shocks during major oil shock episodes. These shocks partially … replace roles previously attributed to the precautionary oil demand shock and the aggregate demand shock during the three … major oil shock periods of the 1970s-1980s, post-2008 and during the 2020-2021 pandemic. The results show that both real oil …
Persistent link: https://www.econbiz.de/10014295388
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The scarring effects of deep contractions
Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022
We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...
Persistent link: https://www.econbiz.de/10013382160
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The effects of the ECB's pandemic-related monetary policy measures
Nelimarkka, Jaakko; Laine, Olli-Matti - 2021
We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the...
Persistent link: https://www.econbiz.de/10012622376
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...
Persistent link: https://www.econbiz.de/10014314068
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The impact of uncertainty shocks : continental Europe versus the Anglo-Saxon world
Wind, Joris de; Grabska, Katarzyna - 2016
Persistent link: https://www.econbiz.de/10011536189
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Striking a bargain : narrative identification of wage bargaining shocks
Žymantas, Budrys; Porqueddu, Mario; Sokol, Andrej - 2024
Persistent link: https://www.econbiz.de/10014484224
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Wage growth in Lithuania from 2008 to 2020 : observed drivers and underlying shocks
Garcia-Louzao, Jose; Jouvanceau, Valentin - 2023
Persistent link: https://www.econbiz.de/10013479593
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Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations
Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022
We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...
Persistent link: https://www.econbiz.de/10013453687
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Nonlinear transmission of financial shocks : some new evidence
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022
that includes a nonlinear function of the financial shock. …
Persistent link: https://www.econbiz.de/10013207315
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Did monetary policy kill the Phillips curve? : some simple arithmetics
Bergholt, Drago; Furlanetto, Francesco; Vaccaro-Grange, … - 2023 - First draft: November 2019
An apparent disconnect has taken place between inflation and economic activity in the US over the last 25 years, with price inflation remaining remarkably stable in spite of large fluctuations in the output gap and other measures of economic slack. This observation has led some to believe that...
Persistent link: https://www.econbiz.de/10014227888