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Demand or supply? : an empirical exploration of the effects of climate change on the macroeconomy
Ciccarelli, Matteo; Marotta, Fulvia - 2021
The macroeconomic effects of climate-related events and climate policies depend on the interaction between demand- and supply-type of shocks that those events and policies imply. Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests...
Persistent link: https://www.econbiz.de/10012648889
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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
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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
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Growth expectations, undue optimism, and short-run fluctuations
Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013
line with theory, induce a negative nowcast error but raise economic activity in the short run. They account for up to 30 …
Persistent link: https://www.econbiz.de/10010224834
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Sequential identification of technological news shocks
Seymen, Atılım - 2013
In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR...
Persistent link: https://www.econbiz.de/10010225546
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Growth expectations, undue optimism, and short-run fluctuations : conference paper
Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013 - Preliminary and incomplete
-run restrictions on a VAR model to disentangle the effects of both shocks. We find that optimism shocks - in line with theory - reduce …
Persistent link: https://www.econbiz.de/10010342128
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Do bivariate SVAR models with long-run identifying restrictions yield reliable results? : the case of Germany
Gottschalk, Jan; Van Zandweghe, Willem - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10011476382
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News Shocks and the Effects of Monetary Policy
Zhang, Ren - 2019
-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …
Persistent link: https://www.econbiz.de/10012891083
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The Nonlinear Effects of Uncertainty Shocks
Jackson Young, Laura - 2019
We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertainty, the effect of a further increase in uncertainty is...
Persistent link: https://www.econbiz.de/10012897315
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Noisy News in Business Cycles
Forni, Mario - 2014
of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our …
Persistent link: https://www.econbiz.de/10013043877