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The impact of exchange rate uncertainty on exports : a panel VAR analysis

Muinelo-Gallo, Leonel; Lescano, Ronald Miranda; … - In: Estudios de economía 47 (2020) 2, pp. 157-192

In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing the panel into two subgroups that involve...

Persistent link: https://www.econbiz.de/10012405919

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

Persistent link: https://www.econbiz.de/10011306276

How robust are SVARs at measuring monetary policy in small open economies?

Carrillo, Julio A.; Elizondo, Rocio - 2015

Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we … recovers the transmission of the shock, whereas exclusion restrictions show large sensitivity to the assumed monetary …

Persistent link: https://www.econbiz.de/10011337610

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

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …

Persistent link: https://www.econbiz.de/10010349257

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

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

Monetary policy shocks, set-identifying restrictions, and asset prices : a benchmarking approach for analyzing set-identified models

Uhrin, Gábor B.; Herwartz, Helmut - 2016 - This version: November 17, 2016

A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …

Persistent link: https://www.econbiz.de/10011563120

Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10010501257