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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/10010225547

Debt dynamics and monetary policy : a note

Laséen, Stefan; Strid, Ingvar - 2013

target and unemployment around a long-run sustainable rate - has been justified as a way of reducing household indebtedness …

Persistent link: https://www.econbiz.de/10010227164

Structural unemployment and the output gap in Germany : evidence from an SVAR analysis within a hysteresis framework

Fritsche, Ulrich; Logeay, Camille - 2002

The German unemployment rate shows strong signs if non-stationarity over the course of the previous decades. This is in … line with an insider-outsider model under full hysteresis. We applied a "theory-guided view" to the data using the … structural VAR model as developed by Balmaseda, Dolado and López-Salido (2000) allowing for full hysteresis on the labour market …

Persistent link: https://www.econbiz.de/10011437007

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/10011489953

Structural unemployment and the output gap in Germany : evidence from an SVAR analysis within a hysteresis framework

Fritsche, Ulrich; Logeay, Camille - 2002

Persistent link: https://www.econbiz.de/10010260640

What accounts for the German labor market miracle? : a macroeconomic investigation

Klein, Mathias; Schiman, Stefan - 2019 - This version: February 28, 2019

unemployment over the last two decades that persisted beyond the Great Recession. Our structural VAR approach encompasses various … for most of the observed unemployment decline. Wage moderation was most pronounced right after the implementation of Hartz ….e. within the monetary union. In contrast, the muted response of unemployment to the Great Recession was not significantly …

Persistent link: https://www.econbiz.de/10012307753

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/10012250452

Structural interpretation of vector autoregressions with incomplete information : 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/10011882307

What drives inventory accumulation? : news on rates of return and marginal costs

Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2019

We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the transmission channel of news shocks to inventories works...

Persistent link: https://www.econbiz.de/10012119865

Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012122051