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Bridge Proxy-SVAR : estimating the macroeconomic effects of shocks identified at high-frequency

Vicondoa, Alejandro; Gazzan, Andrea - 2020

Persistent link: https://www.econbiz.de/10012252220

Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions

Bruns, Stephan B.; Moneta, Alessio; Stern, David I. - In: Energy economics 97 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012820027

Semiparametric estimates of monetary policy effects : string theory revisited

Angrist, Joshua D.; Jordà, Òscar; Kuersteiner, Guido M. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 371-387

Persistent link: https://www.econbiz.de/10012249147

Impulse Response Estimation by Smooth Local Projections

Barnichon, Regis - 2018

Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost...

Persistent link: https://www.econbiz.de/10012934986

A Misspecification-Robust Impulse Response Estimator

Chang, Pao-Li; Sakata, Shinichi - 2003

Impulse response analysis is typically conducted by fitting an autoregression model to a time series and calculating the moving average coefficients implied by the estimated autoregression model. If the autoregression specification is incorrect for the series, this approach may fail to capture...

Persistent link: https://www.econbiz.de/10014099512

Time-varying effects of external shocks on macroeconomic fluctuations in Peru: an empirical application using TPV-VAR SV models

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013273010

Impulse response estimation via flexible local projections

Mumtaz, Haroon; Piffer, Michele - 2022

This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first...

Persistent link: https://www.econbiz.de/10013291067

Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru

Alvarado, Mauricio; Rodriguez, Gabriel - 2024 - This version: November 27, 2023

Persistent link: https://www.econbiz.de/10014526328

Controls, not shocks : estimating dynamic causal effects in macroeconomics

Lloyd, Simon; Manuel, Ed - 2024

Persistent link: https://www.econbiz.de/10014529266

The global economic crisis : impact on India and policy responses

Kumar, Rajiv; Vashisht, Pankaj - 2009

India's financial sector is not deeply integrated with the global financial system, which spared it the first round … morphed in to a full-blown global economic downturn, India could not escape the second round effects. The global crisis has … affected India through three distinct channels: financial markets, trade flows, and exchange rates. The reversal in capital …

Persistent link: https://www.econbiz.de/10003901571