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Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

Persistent link: https://www.econbiz.de/10009618362

Symmetry and separability in two-country cointegrated VAR models : representation and testing

Krolzig, Hans-Martin; Heinlein, Reinhold - 2013

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Persistent link: https://www.econbiz.de/10010228330

How interdependent are Eastern European economies and the Euro area?

Prettner, Catherine; Prettner, Klaus - 2014

Persistent link: https://www.econbiz.de/10010241448

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

Persistent link: https://www.econbiz.de/10010339759

Sources of real exchange rate fluctuations : the role of supply shocks revisited ; conference paper

Gehrke, Britta; Yao, Fang - 2013 - This version: August 2013

, we extend the concept of supply shocks beyond the productivity shock towards labor supply shocks. Our analysis …

Persistent link: https://www.econbiz.de/10010344601

The impact of credit supply shocks and a new FCI based on a FAVAR approach

Hosszú, Zsuzsanna - 2016

macro variables rather differently; a positive lending capacity shock in a banking system mostly owned by non …

Persistent link: https://www.econbiz.de/10011457124

Exchange rate pass-through to inflation in Nigeria

Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70

Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate...

Persistent link: https://www.econbiz.de/10011460225

Macroeconomic regimes, technological shocks and employment dynamics

Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016

In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...

Persistent link: https://www.econbiz.de/10011483831

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

Factor augmented VAR revisited : a sparse dynamic factor model approach

Beyeler, Simon; Kaufmann, Sylvia - 2016

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for … strategies for structural shock identification. Applying our methodology to US macroeconomic data (FRED QD) reveals indeed a high … 52 percent of the variation in the data. We simultaneously identify a monetary policy, a productivity and a news shock by …

Persistent link: https://www.econbiz.de/10011558192