Similar Search Results

News Versus Sunspot Shocks in a New Keynesian Model

Karnizova, Lilia - 2011

monetary policy and sunspots. The key distinction between the shocks lies in their relation to the realized policy shock. If … monetary policy is 'active', the sunspots are irrelevant, and the model responses to the news shocks are unique. In both cases …

Persistent link: https://www.econbiz.de/10013132082

News-driven business cycles in SVARs

Bunk, Patrick - 2011

Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its...

Persistent link: https://www.econbiz.de/10009229732

Inflation dynamics and the cost channel of monetary transmission

Chowdhury, Ibrahim; Hoffmann, Mathias; Schabert, Andreas - 2004 - Revised version: September 4, 2004

Evidence from vector autoregressions indicates that the impact of interest rate shocks on macroeconomic aggregates can substantially be affected by the so-called cost channel of monetary transmission. In this paper we apply a structural approach to examine the relevance of the cost channel for...

Persistent link: https://www.econbiz.de/10009524830

Monetary policy and the relative price of durable goods

Cantelmo, Alessandro; Melina, Giovanni - 2015

findings survive three identification strategies and across subsamples. Then, they are rationalized via the estimation of a two …

Persistent link: https://www.econbiz.de/10010515460

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

Fiscal news and macroeconomic volatility

Born, Benjamin; Peter, Alexandra; Pfeifer, Johannes - 2011

This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian DSGE model. While fiscal policy accounts for 12 to 20 percent of output variance at business cycle frequencies, the anticipated component hardly matters for...

Persistent link: https://www.econbiz.de/10009748254

Land prices and unemployment

Liu, Zheng; Miao, Jianjun; Zha, Tao - 2013

business cycle. Second, a shock that moves the land price is capable of generating large volatility in unemployment. Our … estimation indicates that a 10 percent drop in the land price leads to a 0.34 percentage point increase in the unemployment rate …

Persistent link: https://www.econbiz.de/10010126854

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

What can a New Keynesian labor matching model match?

Reicher, Christopher Phillip - 2009

A labor matching model with nominal rigidities can match short-run movements in labor's share with some success. However, it cannot explain much of the behavior of employment, vacancies, and job flows in postwar US data without resorting to additional shocks beyond monetary policy and...

Persistent link: https://www.econbiz.de/10003826579