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The Long-Run Phillips Curve and Non-Stationary Inflation

Russell, Bill; Banerjee, Anindya - Department of Economics, European University Institute - 2006

Modern theories of inflation incorporate a vertical long-run Phillips curve and are usually estimated using techniques … that ignore the non-stationary behaviour of inflation. Consequently, the estimates obtained are imprecise and are unable to … distinguish between competing models of inflation and test the veracity of a vertical long-run Phillips curve. We estimate a …

Persistent link: https://www.econbiz.de/10005744361

Competition, the Lisbon Strategy and the Euro

Banerjee, Anindya; Russell, Bill - Department of Economics, European University Institute - 2004

by movements in inflation and the business cycle. Consequently, based on our data, we find little evidence of a pro …

Persistent link: https://www.econbiz.de/10005697713

Domestic Versus International Determinants Of European Business Cycles: A GVAR Approach

Boschi, Melisso; Marzo, Massimiliano; Salotti, Simone - Crawford School of Public Policy, Australian National … - 2013

We investigate the sources of macroeconomic (output and inflation) variability in selected European countries within … currently members of the European Monetary Union and non-members. As for inflation, on the contrary, regional factors are more …

Persistent link: https://www.econbiz.de/10011185978

Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.

Gubler, Matthias; Hertweck, Matthias S. - 2011

particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology …

Persistent link: https://www.econbiz.de/10011390656

Comparing two methods for the identification of news shocks

Beaudry, Paul; Portier, Franck; Seymen, Atılım - 2013

Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology-news-shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to thich two prominent structural VAR...

Persistent link: https://www.econbiz.de/10010327791

What accounts for the German Labor Market Miracle? A Macroeconomic Investigation

Schiman, Stefan; Klein, Mathias - 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/10012099155

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks: Comment

Kilian, Lutz; Zhou, Xiaoqing - 2018

Recently, Baumeister and Hamilton (henceforth: BH) have argued that existing studies of the global oil market fail to account for uncertainty about their identifying assumptions. They recommend an alternative econometric approach intended to address this concern by formulating priors on the...

Persistent link: https://www.econbiz.de/10011931916

Economic Fluctuations in a Small Open Economy - Real versus Nominal Shocks

Bjørnland, Hilde C. - 1998

This paper analyses the role of real and nominal shocks in explaining business cycles in a small open economy like that of Norway. In particular, we study the sources behind real exchange rate fluctuations since the collapse of the Bretton Woods agreement. Imposing long run restrictions implied...

Persistent link: https://www.econbiz.de/10011967987

Identifying the Shocks behind Business Cycle Asynchrony in Euroland

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse...

Persistent link: https://www.econbiz.de/10011441813

Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility 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 whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012252866