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The impact of oil shocks on the Spanish economy
Gómez-Loscos, Ana; Montañés, Antonio; Gadea, María … - 2010
across the sample. Evidence in favour of a diminishing effect of oil price shocks on the output and inflation is found from … in the last part of the 1990s and, especially, for the CPI inflation in the 2000s. The most outstanding result is that … the oil price movements could explain at least some of the recent inflation, the main difference between these outcomes …
Persistent link: https://www.econbiz.de/10011575575
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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What accounts for the German labor market miracle? : a macroeconomic investigation
Klein, Mathias; Schiman, Stefan - 2019 - This version: February 28, 2019
We study the driving forces of the so-called "German labor market miracle" the trend-shift and steady decline of German unemployment over the last two decades that persisted beyond the Great Recession. Our structural VAR approach encompasses various factors within a single comprehensive...
Persistent link: https://www.econbiz.de/10012307753
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Cycles inside cycles : Spanish regional aggregation
Gomez Loscos, Ana; Gadea, María Dolores; Montañés, … - 2011
This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronization present among them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they display some...
Persistent link: https://www.econbiz.de/10011555075
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2019 - Preliminary Draft
and a smooth estimated trend. Based on output growth and inflation forecasts and a comparison to revised output gap …
Persistent link: https://www.econbiz.de/10012268018
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Forecasting with Bayesian global vector autoregressive models : a comparison of priors
Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - 2013 - This version: November 2013
-GVAR models for the one- and four-quarter ahead forecast horizon for standard macroeconomic variables (real GDP, inflation, the … of inflation, real GDP and the real exchange rate, while for interest rates forecasts of univariate benchmark models …
Persistent link: https://www.econbiz.de/10011505823
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Information Effects of Euro Area Monetary Policy : new evidence from high-frequency futures data
Kerssenfischer, Mark - 2019
Central bank announcements have strong effects on interest rates, but small or even counterintuitive effects on economic expectations. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and provide evidence that they are...
Persistent link: https://www.econbiz.de/10012265893
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Uncertainty and non-linear macroeconomic effects of fiscal policy in the US : a SEIVAR-based analysis
Belke, Ansgar; Goemans, Pascal - 2019 - First draft: December 18, 2018, this draft: September 8, 2019
We investigate whether the macroeconomic effects of government spending shocks vary with the level of uncertainty. Using postwar US data and a Self-Exciting Interacted VAR (SEIVAR) model, we find that fiscal spending has positive output effects in tranquil times but is contractionary during...
Persistent link: https://www.econbiz.de/10012268062
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Bitcoin and web search query dynamics : is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012287525
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Committed to flexible fiscal rules
Große Steffen, Christoph; Pagenhardt, Laura; Rieth, Malte - 2021
We study the impact of fiscal rules on macroeconomic performance following natural disaster shocks, using dynamic panel models and quarterly data for 89 countries. We find that countries with fiscal rules perform significantly better in the aftermath of such shocks than countries without rules....
Persistent link: https://www.econbiz.de/10013328304