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External shocks, trade margins, and macroeconomic dynamics
D'Addona, Stefano; Cavallari, Lilia - In: Economies : open access journal 8 (2020) 1/6, pp. 1-26
This paper studies the role of the exchange rate regime for trade of new products. It first provides VAR evidence that a rise in external productivity shifts trade away from new products and more so in fixed regimes. Then, it presents a model with firm dynamics in line with this evidence. We...
Persistent link: https://www.econbiz.de/10012168776
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Commodity prices and business cycles in small open economies : the role of news shocks
Farias, Cleyton; Silva, Marcelo - In: Economia : revista da ANPEC 24 (2023) 2, pp. 264-311
endogenous commodity production. There are five exogenous processes: a country-specific interest rate shock that responds to … commodity price fluctuations, a productivity (TFP) shock for each sector and a commodity price shock. Both TFP and commodity …
Persistent link: https://www.econbiz.de/10014418171
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Oil price shocks and macroeconomic dynamics in an oil-exporting emerging economy : a New Keynesian DSGE approach
Oladunni, Sunday - In: CBN journal of applied statistics 11 (2020) 1, pp. 1-34
a new Keynesian dynamic stochastic general equilibrium (DSGE) model to study how an oil price shock impact macroeconomic … aggregates in an oil-rich emerging economy. We consider a positive oil price shock to uncover the extent to which oil price … oil price shock, reveal evidence of Dutch disease and the operation of the Harrod-Balassa-Samuelson effect. We find a …
Persistent link: https://www.econbiz.de/10012297450
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Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Kilian, Lutz; Vigfusson, Robert J. - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 419-453
How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autore- gressive models suggest a substantial decline in real GDP in response to unex- pected increases in the real price of oil, yet no response to...
Persistent link: https://www.econbiz.de/10011756396
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The impacts of credit standards on aggregate fluctuations in a small open economy : the role of monetary policy
Le, Hai - In: Economies : open access journal 9 (2021) 4, pp. 1-26
Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our...
Persistent link: https://www.econbiz.de/10012800343
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Model validation and DSGE modeling
Poudyal, Niraj; Spanos, Aris - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25
The primary objective of this paper is to revisit DSGE models with a view to bringing out their key weaknesses, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting performance, and potentially misleading policy analysis. It is...
Persistent link: https://www.econbiz.de/10013355187
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Do soaring global oil prices heat up the housing market? : evidence from Malaysia
Thai-Ha Le - 2015
framework. The specification of the baseline model is based on standard economic theory. The Gregory-Hansen (GH) cointegration …
Persistent link: https://www.econbiz.de/10011327214
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The impact of China's economic growth on crude oil price : evidence from structural VAR
Hamendi, Ahmed; Hook, Law Siong - In: Review of Economic Analysis : REA 15 (2023) 3/4, pp. 237-252
This paper examines the impact of Chinese economic growth on the real price of crude oil based on monthly time series data from 1992:01 to 2017:06 using structural vector auto-regression (SVAR). The variables of the SVAR model are global crude oil production, index of global economic activity,...
Persistent link: https://www.econbiz.de/10014481185
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The importance of supply and demand for oil prices : evidence from non-Gaussianity
Braun, Robin - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1163-1198
When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound...
Persistent link: https://www.econbiz.de/10014496492
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A narrative approach to a fiscal DSGE model
Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837
Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...
Persistent link: https://www.econbiz.de/10012214069