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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

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

The output effect of fiscal consolidation plans

Alesina, Alberto; Favero, Carlo A.; Giavazzi, Francesco - In: Journal of international economics 96 (2015), pp. 19-42

Persistent link: https://www.econbiz.de/10011387743

Cross-country unemployment insurance, transfers, and trade-offs in international risk sharing

Enders, Zeno; Vespermann, David - 2021

We assess to which degree an international transfer mechanism can enhance consumption risk sharing as well as allocative efficiency and apply our results to a potential European unemployment benefit scheme (EUBS). Specifically, we first develop a simple model with nominal rigidities to build...

Persistent link: https://www.econbiz.de/10013336272

Regional integration and the euro crisis : problems and solutions

Pessoa, Argentino - 2013

Along time the European Union (EU) has been pointed as the most succeeded example of regional integration. Now, this example has been cruelly shaken by the EZ (Euro Zone) crisis, originating increasing doubts about the integration process. It is evident that the proposed solutions for attacking...

Persistent link: https://www.econbiz.de/10011515832

Endogenous forward guidance

Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2019

We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the...

Persistent link: https://www.econbiz.de/10012304687

Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model

Hartwig, Benny - 2020

Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … multivariate stochastic volatility model is proposed as a robust alternative. …

Persistent link: https://www.econbiz.de/10012424283

Disentangling different patterns of business cycle synchronicity in the EU regions

Anagnostou, Ageliki; Panteladis, Ioannis; Tsiapa, Maria - 2012

The present paper discourses on how European integration and gradual enlargement has affected the synchronicity in business cycles in EU regions. The analysis, which is conducted on annual data at the NUTSII level, is based on the following grounds: First, it examines the degree of synchronicity...

Persistent link: https://www.econbiz.de/10011508019

Firm heterogeneity and regional business cycles differentials

Basile, Roberto; De Nardis, Sergio; Pappalardo, Carmine - 2012

This study represents a first attempt to empirically analyze the role of firm heterogeneity in regional business cycle behaviour. Working with monthly Italy's firms data and estimating a random effects ordered probit model, we first document sizable asymmetries in Northern and Southern firms...

Persistent link: https://www.econbiz.de/10011522570

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - 2019 - Preliminary Draft

We propose a simple modification of the time series filter by Hamilton (2018b) that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8-quarter ahead forecasts errors of an autoregression. While this approach yields a cyclical component of...

Persistent link: https://www.econbiz.de/10012268018

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