The objective of this paper is to empirically test the deleveraging of the Venezuelan financial system at the event of two contractive shocks, a monetary and an oil shock, and to characterize the types of risks that arise in each case. Although these shocks have similar effects on interest rates...

This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor-augmented vector autoregression (FAVAR) framework with sign restrictions to study the effects of fundamental macroeconomic shocks on inflation in the three economies. The FAVAR model...

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply – on the labour market outcomes of black...

This paper studies the effects of demand shocks caused by Emerging Asian (EMA) countries on oil prices over the past two decades, using vector autoregression models. The analysis builds on previous work done on identifying different types of oil shocks using structural time series methods....

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...

This paper studies the effects of demand shocks caused by Emerging Asian (EMA) countries on oil prices over the past two decades, using vector autoregression models. The analysis builds on previous work done on identifying different types of oil shocks using structural time series methods....

This paper quantifies the impact of monetary policy, exchange rates and external demand on the production sectors of the Swiss economy. As the model covers the full set of production sectors it is possible through aggregation to estimate the impact of a given shock on total GDP. We conduct the...

In the framework of a Bayesian structural dynamic factor model, we analyze how aggregate shocks affect the full set of production sectors in the Swiss economy. Our approach proves to be useful to cope with the large data set and at the same time allows us to consistently identify fundamental...