We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...

This paper investigates the link between oil price uncertainty shocks and key macroeconomic indicators of a net oil importing country, South Africa. Monthly data covering the period 1990:01 to 2015:12 is used. The Structural Vector Autoregressive (SVAR) methodology is applied incorporating...

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

Eine wichtige Ursache für den Anstieg des Ölpreises seit Mitte der 90er Jahre ist die stetig steigende Ölnachfrage. Dazu hat in letzter Zeit das starke Wirtschaftswachstum in den Schwellenländern wesentlich beigetragen. Aktuell dürften die Unruhen in Nordafrika den Ölpreis weiter nach oben...

This study analyses the effects of oil price and macroeconomic shocks on the Malaysian housing market using a SVAR framework. The specification of the baseline model is based on standard economic theory. The Gregory-Hansen (GH) cointegration test reveals that there is no cointegration among the...

Twenty years after the introduction of the euro, this Weekly Report uses an empirical analysis to assess the performance of monetary policy in the EMU founding states. It is often claimed that the monetary policy of the European Central Bank (ECB) cannot outperform its national predecessors, as...

Zwanzig Jahre nach Gründung des europäischen Währungsraum zieht dieser Wochenbericht mittels einer empirischen Analyse Bilanz. Eine oft gehörte These besagt, dass die Geldpolitik der Europäischen Zentralbank nur schlechter sein kann als die ihrer nationalen Vorgänger, weil die Länder der...

There is a fast growing literature that set-identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). Most methods that have been used to construct...

This study employs a sign-restricted Bayesian structural vector autoregressive (BSVAR) model to analyse how global demand, oil price and the US monetary policy shocks impact the Nigerian business cycle. The objective is to uncover the dominant external drivers of the business cycle in Nigeria....