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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
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Measuring business cycles : a review
Škare, Marinko; Stjepanović, Saša - In: Contemporary economics 10 (2016) 1, pp. 83-94
This article summarizes the main findings on problems related to the measurement and identification of business cycles …. The aim of this study is to define and identify the determinants of business cycles. This paper provides an overview of … literature, but none is perfect. A new development in the field lies in spectral analysis methods for measuring business cycles …
Persistent link: https://www.econbiz.de/10011453001
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The effects of oil price shocks on IIP and CPI in emerging countries
Sakashita, Yukino; Yoshizaki, Yasunori - In: Economies : open access journal 4 (2016) 4, pp. 1-9
In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic,...
Persistent link: https://www.econbiz.de/10011542831
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External shocks and business cycle fluctuations in oil-exporting small open economies : the case of Nigeria
Oladunni, Sunday - In: CBN journal of applied statistics 10 (2019) 2, pp. 39-71
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....
Persistent link: https://www.econbiz.de/10012178167
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Oil price and economic growth : a long story?
Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-28
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....
Persistent link: https://www.econbiz.de/10011649469
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The forecasting power of EPU for crude oil return volatility
Ma, Rufei; Zhou, Changfeng; Cai, Huan; Deng, Chengtao - In: Energy reports 5 (2019), pp. 866-873
Economic policy uncertainty (EPU) has important implications for crude oil market. To explore the implications, this paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power in crude oil market. To this end, we employ the...
Persistent link: https://www.econbiz.de/10012040309
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The effects of oil price uncertainty on economic activities in South Africa
Chiweza, Junior T.; Aye, Goodness C. - In: Cogent economics & finance 6 (2018) 1, pp. 1-17
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...
Persistent link: https://www.econbiz.de/10012023148
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Oil prices, labour market adjustment and dynamic quantile connectedness analysis : evidence from Greece during the crisis
Palaios, Panagiotis; Papapetrou, Evangelia - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-21
This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market in Greece, using static and dynamic quantile connectedness methodology (Diebold and Yilmaz Diebold and Yilmaz, Int J Forecast 28:57-66, 2012; Ando et...
Persistent link: https://www.econbiz.de/10013492985
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A small New Keynesian model to analyze business cycle dynamics in Poland and Romania
Nalban, Valeriu - In: Contemporary economics 9 (2015) 3, pp. 319-336
In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles … cycles; demand shocks explain much of the GDP growth dynamics (persistent positive contributions before the crisis and …
Persistent link: https://www.econbiz.de/10011392289
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Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach
Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337
We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...
Persistent link: https://www.econbiz.de/10009743345