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Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

that includes a nonlinear function of the financial shock. …

Persistent link: https://www.econbiz.de/10013207315

Impulse response estimation via flexible local projections

Mumtaz, Haroon; Piffer, Michele - 2022

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive. …

Persistent link: https://www.econbiz.de/10013179339

Asymmetric Responses of Consumer Spending to Energy Prices : A Threshold VAR Approach

Knotek, Edward S. - 2020

We document asymmetric responses of consumer spending to energy price shocks: Using a multiple-regime threshold vector autoregressive model estimated with Bayesian methods on US data, we find that positive energy price shocks have a larger negative effect on consumption compared with the...

Persistent link: https://www.econbiz.de/10012831022

Identifying Credit Demand, Financial Intermediation, and Supply of Funds Shocks : A Structural VAR Approach

Balke, Nathan S. - 2020

a simple partial equilibrium model of financial inter-mediation. We find that the credit demand shock explains … shock contributes to most of the fluctuations in the short-term commercial paper rate. The financial inter-mediation shock … the credit shocks, we find that the financial inter-mediation shock has the largest impact on real economic activity. In …

Persistent link: https://www.econbiz.de/10012831465

On Time-Varying VAR Models : Estimation, Testing and Impulse Response Analysis

Yan, Yayi; Gao, Jiti; Peng, Bin - 2021

Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients...

Persistent link: https://www.econbiz.de/10013313987

Transmission of Government Spending Shocks in the Euro Area : Time Variation and Driving Forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2021

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10013316199

Did the Fed Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions

Uhlig, Harald - 2021

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 per cent at the end of 2000 to 2.0 per cent 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...

Persistent link: https://www.econbiz.de/10013320691

Identifying Determinants of Germany's International Price Competitiveness : A Structural VAR Approach

Meurers, Martin - 2006

The paper employs a structural vector auto-regression (SVAR) along the lines of Blanchard and Quah (1989) and Clarida and Gali (1994) to identify the sources of changes in German international price competitiveness over the past 30 years. This leads to a separation of the driving forces of the...

Persistent link: https://www.econbiz.de/10012446989

Size matters : measuring the effects of inequality and growth shocks

Bandyopadhyay, Sanghamitra; Sun, Rui - 2020

- 2018. We find that a growth shock is inequality-increasing, and an inequality shock is growthreducing. We also find …

Persistent link: https://www.econbiz.de/10012404500

Estimating hysteresis effects

Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; … - 2020

are disproportionately hit by the shock and exit the labor force. …

Persistent link: https://www.econbiz.de/10012417528