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Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse …

Persistent link: https://www.econbiz.de/10011418016

Does Money Matter for the Identification of Monetary Policy Shocks : A DSGE Perspective

Poilly, Céline - 2010

This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or these two monetary variables are simultaneously determined, two DSGE models...

Persistent link: https://www.econbiz.de/10013137337

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

Oil Price Fluctuations and it Impact on Economic Growth : A DSGE Approach

Bondzie, Eric - 2016

policy shocks (money supply-interest rate induced) on economic growth in Ghana. We realized that, a shock on interest rate … paradoxical effect of a negative interest rate on total money supply. We also showed that a positive output shock has the same … effect on consumption, investment, prices and wages as in the case of interest rate shock …

Persistent link: https://www.econbiz.de/10012999305

Country-specific oil supply shocks and the global economy : a counterfactual analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …

Persistent link: https://www.econbiz.de/10010528313

How are oil supply shocks transmitted to the U.S. economy?

Geiger, Martin; Güntner, Jochen - 2019

We investigate how oil supply shocks are transmitted to U.S. economic activity, consumer prices, and interest rates. Using a structural VAR approach with a combination of sign and zero restrictions, we distinguish between supply and demand channels in the transmission of exogenous changes in...

Persistent link: https://www.econbiz.de/10012009877

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...

Persistent link: https://www.econbiz.de/10011903691

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

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/10010478498

How Should Monetary Policy Respond to Changes in the Relative Price of Oil? Considering Supply and Demand Shocks

Plante, Michael - 2015

exogenous supply shocks and a productivity driven demand shock. When wages are flexible, stabilizing core inflation is optimal … and the nominal rate rises (falls) in response to a demand (supply) shock. When both prices and wages are sticky, core … inflation falls (rises) in response to the demand (supply) shock. Stabilizing CPI inflation generates small welfare losses only …

Persistent link: https://www.econbiz.de/10014204813