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Consumption and wealth in the long run : an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating … unobserved component model applied to US data over the period 1951Q4-2016Q4. The regression of consumption on assets and earnings …
Persistent link: https://www.econbiz.de/10011844588
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Macroeconomic regimes, technological shocks and employment dynamics
Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016
In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...
Persistent link: https://www.econbiz.de/10011483831
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The household sector financial balance, financing gap, financial markets, and economic cycles in the US economy : a structural VAR analysis
Casadio, Paolo; Paradiso, Antonio - 2010
This paper investigates private net saving in the US economy - divided into its principal components, households and (nonfinancial) corporate financial balances - and its impact on the GDP cycle from the 1980s to the present. Furthermore, we investigate whether the financial markets (stock...
Persistent link: https://www.econbiz.de/10008758823
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The impact of uncertainty on macro variables : an SVAR-based empirical analysis for EU countries
Belke, Ansgar; Kronen, Dominik - 2017
, consumption and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that … general investment and consumption of longlived goods in the EMU core countries in order to be prepared to react on different …
Persistent link: https://www.econbiz.de/10011662699
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Business cycle accounting for the German fiscal stimulus program during the Great Recession
Fehrle, Daniel; Huber, Johannes A. - 2020
wedges to the variables government consumption, durables, investment, labor, net exports, and efficiency. The results suggest … consumption wedge and in particular the durables wedge acted counter-cyclical. We attribute the latter to an internationally … government consumption. We introduce a strategy for likelihood maximization, which reliably and quickly locates the maximum …
Persistent link: https://www.econbiz.de/10012253072
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The effects of economic policy uncertainty on European economies : evidence from a TVP-FAVAR
Prüser, Jan; Schlösser, Alexander - 2017
Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven...
Persistent link: https://www.econbiz.de/10011700808
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...
Persistent link: https://www.econbiz.de/10011926201
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On the time-varying effects of economic policy uncertainty on the US economy
Prüser, Jan; Schlösser, Alexander - 2018
We study the time-varying impact of Economic Policy Uncertainty (EPU) on the US Economy by using a VAR with time-varying coefficients. The coefficients are allowed to evolve gradually over time which allows us to discover structural changes without imposing them a priori. We find three different...
Persistent link: https://www.econbiz.de/10011888261
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The impact of uncertainty on macro variables : an SVAR-based empirical analysis for EU countries
Belke, Ansgar; Kronen, Dominik - 2017
, consumption and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that … general investment and consumption of long-lived goods in the EMU core countries in order to be prepared to react on different …
Persistent link: https://www.econbiz.de/10011761787
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Business cycle accounting for the German fiscal stimulus program during the Great Recession
Fehrle, Daniel; Huber, Johannes - 2020
wedges to the variables government consumption, durables, investment, labor, net exports, and efficiency. The results suggest … consumption wedge and in particular the durables wedge acted counter-cyclical. We attribute the latter to an internationally … government consumption. We introduce a strategy for likelihood maximization, which reliably and quickly locates the maximum …
Persistent link: https://www.econbiz.de/10012236598