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Displaying results 1 to 25 of 93.

  1. Stock market dispersion, sectoral shocks, and the German business cycle
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 2000
    Publisher:  Inst. of World Economics, Kiel

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  2. Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
    Author: Döpke, Jörg; Pierdzioch, Christian
    Published: 2000
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

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  3. Portfolio rebalancing in times of stress
    Author: Fischer, Andreas M.; Greminger, Rafael P.; Grisse, Christian
    Published: June 2017
    Publisher:  Swiss National Bank, Zurich

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: June 2017
    Series: SNB working papers ; 2017, 11
    Subjects: Portfolio rebalancing; equity flows; exchange rates; financial stress; structural VAR; sign restrictions; regime switching
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  4. Do tariffs generate stagflationary tendencies?
    Author: Mohammed, Mikidadu
    Published: August 2018
    Publisher:  ZBW, [Kiel

    Stagflation, a simultaneous increase in inflation and unemployment, is generally thought to result from exogenous oil shocks. In this paper, we investigate another potential source of stagflation focusing on tariffs. Relying on the estimation of... more

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    Stagflation, a simultaneous increase in inflation and unemployment, is generally thought to result from exogenous oil shocks. In this paper, we investigate another potential source of stagflation focusing on tariffs. Relying on the estimation of structural VAR model with sign restrictions over the period 1989- 2017 for the US economy, we found strong evidence of stagflationary tendencies following tariff shocks. In particular, tariff shocks on vital intermediate input, such as steel, trigger short-run rise in inflation and unemployment.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/181674
    Edition: 1st draft: July 2018
    Series: Working paper
    Subjects: tariff shocks; steel; stagflation; structural VAR
    Scope: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  5. Exchange rates, foreign currency exposure and sovereign risk
    Author: Bernoth, Kerstin; Herwartz, Helmut
    Published: 2019
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data... more

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    We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural shocks that allows to account for the complex interrelations within the triad of exchange rates, sovereign risks and interest rates. We find that the direction and size of the response of sovereign risk to FX rate movements depend on the type of exchange rate measure we look at and on the size of the net foreign currency exposure of an economy. A depreciation of the domestic currency against the USD increases sovereign risk. In contrast, a depreciation of the effective exchange rate turns out to have only a significant effect on sovereign risk for countries with large negative net foreign currency exposures of the private sector. In this case, a depreciation of the NEER also induces an increase in sovereign risk. We conclude that the 'financial channel' is more important in the transmission of exchange rate shocks to sovereign risk in comparison with the traditional 'net trade channel'.

     
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    hdl: 10419/194108
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1792
    Subjects: Exchange rates; sovereign risk; foreign currency exposure; structural VAR
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  6. The link between labor cost and price inflation in the euro area
    Author: Bobeica, Elena; Ciccarelli, Matteo; Vansteenkiste, Isabel
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper documents, for the first time in a systematic manner, the link between labor cost and price inflation in the euro area. Using country and sector quarterly data over the period 1985Q1-2018Q1 we find a strong link between labor cost and... more

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    This paper documents, for the first time in a systematic manner, the link between labor cost and price inflation in the euro area. Using country and sector quarterly data over the period 1985Q1-2018Q1 we find a strong link between labor cost and price inflation in the four major economies of the euro area and across the three main sectors. The dynamic interaction between prices and wages is time-varying and depends on the state of the economy and on the shocks hitting the economy. Our results show that it is more likely that labor costs are passed on to price inflation with demand shocks than with supply shocks. However, the pass-through is systematically lower in periods of low inflation as compared to periods of high inflation. These results confirm that, under circumstances of predominantly demand shocks, labor cost increases will be passed on to prices. Coming from a period of low inflation, however, this pass-through could be moderate at least until inflation stably reaches a sustained path.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289934978
    Other identifier:
    hdl: 10419/208269
    Series: Working paper series / European Central Bank ; no 2235 (February 2019)
    Subjects: Inflation; pass-through; labor costs; structural VAR; euro area; euro area; wage cost; inflation; econometrics; price index
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  7. Daily oil price shocks and their uncertainties
    Author: Wang, Shu
    Published: [2024]
    Publisher:  Georg-August-Universität Göttingen, Göttingen

    This paper presents a high-frequency structural VAR framework for identifying oil price shocks and examining their uncertainty transmission in the U.S. macroeconomy and financial markets. Leveraging the stylized features of financial data -... more

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    This paper presents a high-frequency structural VAR framework for identifying oil price shocks and examining their uncertainty transmission in the U.S. macroeconomy and financial markets. Leveraging the stylized features of financial data - specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks increases the oil-equity price covariance, while precautionary demand shocks, triggering heightened investor risk aversion, significantly diminish this covariance. A real-time forecast error variance decomposition further highlights that oil supply uncertainty was the primary source of oil price forecast uncertainty from late March to early May 2020, yet it contributed minimally during the 2022 Russian invasion of Ukraine.

     
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    Series: University of Göttingen working paper in economics ; no. 436 (December 2024)
    Subjects: Oil price; uncertainty; impulse response functions; structural VAR; forecast error variance decomposition; GARCH
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  8. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with... more

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    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.

     
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    Other identifier:
    hdl: 10419/203504
    Series: Array ; Array
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  9. Refining the workhorse oil market model
    Author: Zhou, Xiaoqing
    Published: September 6, 2019
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

    The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the... more

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    The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2) explicitly incorporating narrative sign restrictions into the estimation, (3) relaxing the upper bound on the impact price elasticity of oil supply, (4) evaluating the implied posterior distribution of the structural models, and (5) extending the sample. I demonstrate that the substantive conclusions of Kilian and Murphy (2014) are largely unaffected by these changes

     
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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 1910
    FRB of Dallas Working Paper ; No. 1910
    Subjects: Oil market; global real activity; structural VAR; narrative sign restrictions; identification; Bayesian inference
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  10. The econometrics of oil market VAR models
    Author: Kilian, Lutz; Zhou, Xiaoqing
    Published: February 26, 2020
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

    Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream... more

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    Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between alternative oil market models, let alone the basis for the sometimes divergent conclusions reached in the literature. The purpose of this survey is to provide a guide to this literature. Our focus is on the econometric foundations of the analysis of oil market models with special attention to the identifying assumptions and methods of inference. We not only explain how the workhorse models in this literature have evolved, but also examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated unconventional, puzzling or erroneous conclusions. Finally, we discuss the construction of extraneous measures of oil demand and oil supply shocks that have been used as external or internal instruments for VAR models

     
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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2006
    FRB of Dallas Working Paper ; No. 2006
    Subjects: Oil supply elasticity; oil demand elasticity; IV estimation; structural VAR
    Scope: 1 Online-Ressource (circa 63 Seiten)
  11. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock... more

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    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US -Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Other identifier:
    hdl: 10419/259822
    Edition: This (updated) version: May 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  12. A weekly structural VAR model of the US crude oil market
    Author: Valenti, Daniele; Bastianin, Andrea; Manera, Matteo
    Published: May 2022
    Publisher:  Fondazione Eni Enrico Mattei, Milano, Italia

    We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion... more

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    We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a Bayesian approach that allows to impose restrictions directly on structural parameters of interest, such as supply and demand elasticises. Our model incorporates both the futures-spot price spread to capture shocks to the real price of crude oil driven by changes in expectations and US inventories to describe price fluctuations due to unexpected of variations of above-ground stocks. Including the futures-spot price spread is key for accounting for feedback effects from the financial to the physical market for crude oil and for identifying a new structural shock that we label expectational shock. This shock plays a crucial role when describing the series of events that have led to the spike in the price of crude oil recorded in the aftermath of Russia's invasion of Ukraine.

     
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    hdl: 10419/263899
    Series: Working paper / Fondazione Eni Enrico Mattei ; 2022, 11
    Subjects: COVID-19; WTI price; futures-spot price spread; speculation; structural VAR; Bayesian VAR
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  13. Global uncertainty
    Author: Caggiano, Giovanni; Castelnuovo, Efrem
    Published: [2021]
    Publisher:  Università degli studi di Padova, dSEA, [Padova]

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    Series: Marco Fanno working papers ; 269 (February 2021)
    Subjects: Global Financial Uncertainty; dynamic hierarchical factor model; structural VAR; world output loss; global finance uncertainty multiplier
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  14. Global uncertainty
    Author: Caggiano, Giovanni; Castelnuovo, Efrem
    Published: January 2021
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Series: CAMA working paper ; 2021, 21 (February 2021)
    Subjects: Global Financial Uncertainty; dynamic hierarchical factor model; structural VAR; world output loss; global finance uncertainty multiplier
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  15. Impacts of social distancing policy and vaccination during the COVID-19 pandemic in the Republic of Korea
    Author: Kim, Kijin; Kim, So-yŏng; Lee, Donghyun; Park, Cyn-Young
    Published: [2022]
    Publisher:  Asian Development Bank, Metro Manila, Philippines

    This paper investigates the dynamic impact of social distancing policy on coronavirus disease (COVID-19) infection control, mobility of people, and consumption expenditures in the Republic of Korea. We employ structural and threshold vector... more

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    This paper investigates the dynamic impact of social distancing policy on coronavirus disease (COVID-19) infection control, mobility of people, and consumption expenditures in the Republic of Korea. We employ structural and threshold vector autoregressive (VAR) models using big-data-driven mobility data, credit card expenditure, and a social distancing index. We find that the social distancing policy significantly reduces the spread of COVID-19, but there exists a significant, growing trade-off between infection control and economic activity over time. When the level of stringency in social distancing is already high, its marginal effect on mobility is estimated to be smaller than when social distancing stringency is low. Increased vaccination is found to significantly reduce the critical rate while it increases visitors and consumption expenditures. The results also show that the effect of social distancing policy on mobility reduction is strongest among the population of age under 20 and the weakest among the population of age over 60.

     
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    Other identifier:
    hdl: 10419/264374
    Series: ADB economics working paper series ; no. 658 (May 2022)
    Subjects: COVID-19; Therapie; Epidemie; Impfung; Wirkung; Auswirkung; Mobilität; Bevölkerungsgruppe; COVID-19; social distancing policy; mobility; vaccination; Republic of Korea; structural VAR; threshold VAR
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  16. Identification with external instruments in structural VARs
    Author: Miranda-Agrippino, Silvia; Ricco, Giovanni
    Published: April 2022
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 973
    Subjects: Identification with external instruments; structural VAR; invertibility; monetary policy shocks
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  17. Comment on giacomini, kitagawa and read's "narrative restrictions and proxies"
    Author: Kilian, Lutz
    Published: 18 December 2021
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP16818
    Subjects: structural VAR; single prior; multiple prior; posterior; Joint inference; impulse response; narrative restrictions
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  18. Forward guidance shocks
    Author: Miescu, Mirela S.
    Published: [2022]
    Publisher:  Lancaster University Management School, Lancester

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    Series: Economics working paper series ; 2022/003
    Subjects: forward guidance; monetary policy; event study; heteroscedasticity; structural VAR
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  19. Exploring correlations between aggregate demand and supply shocks in India
    Author: Goyal, Ashima; Ray, Sritama
    Published: March 2022
    Publisher:  Indira Gandhi Institute of Development Research, Mumbai

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    Series: [WP series / Indira Gandhi Institute of Development Research] ; WP-2022, 004
    Subjects: Correlated demand and supply shocks; asymmetry; monetary policy; horizontal andvertical supply curves; India; structural VAR
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  20. Validating dsge models through dynamic factor models
    Author: Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca
    Published: 11 June 2022
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP17379
    Subjects: DSGE models; validation; structural VAR; structural factor model; news shocks
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  21. Do SVARs with sign restrictions not identify unconventional monetary policy shocks?
    Author: Boeckx, Jef; Dossche, Maarten; Galesi, Alessandro; Hofmann, Boris; Peersman, Gert
    Published: Juni 2019
    Publisher:  National Bank of Belgium, Brussels

    A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had... more

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    A growing empirical literature has shown, based on structural vector autoregressions (SVARs) identified through sign restrictions, that unconventional monetary policies implemented after the outbreak of the Great Financial Crisis (GFC) had expansionary macroeconomic effects. In a recent paper, Elbourne and Ji (2019) conclude that these studies fail to identify true unconventional monetary policy shocks in the euro area. In this note, we show that their findings are actually fully consistent with a successful identification of unconventional monetary policy shocks by the earlier studies and that their approach does not serve the purpose of evaluating identification strategies of SVARs.

     
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    hdl: 10419/207752
    Series: Working paper research / National Bank of Belgium ; no 372 (June 2019)
    Subjects: Non-standard measures; structural VAR; identification; ECB
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  22. Systematic monetary policy and the macroeconomic effects of shifts in loan-to-value ratios
    Author: Bachmann, Ruediger; Rüth, Sebastian
    Published: 2017
    Publisher:  Universiteit Gent, Faculteit Economie en Bedrijfskunde, Gent

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    Series: Working paper / Universiteit Gent, Faculteit Economie en Bedrijfskunde ; 934 (2017)
    Subjects: loan-to-value ratios; monetary policy; residential investment; structural VAR; Cholesky identification; Taylor rules
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  23. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: [2019]
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an... more

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    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the most important, freely floating currencies, we find that FX intervention shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/222102
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 205 (December 4, 2019)
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  24. Facts and fiction in oil market modeling
    Author: Kilian, Lutz
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil... more

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    Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its precursors are incorrect. Their critiques are also directed at other researchers who have worked in this area and, more generally, extend to research using structural VAR models outside of energy economics. The purpose of this paper is to help the reader understand what the real issues are in this debate. The focus is not only on correcting important misunderstandings in the recent literature, but on the substantive and methodological insights generated by this exchange, which are of broader interest to applied researchers.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/207293
    Series: Array ; no. 7902 (October 2019)
    Subjects: oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesianinference; oil price; global real activity
    Scope: 1 Online-Ressource (circa 46 Seiten)
  25. Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
    Author: Miescu, Mirela S.; Mumtaz, Haroon
    Published: [2019]
    Publisher:  School of Economics and Finance, Queen Mary University of London, London

    We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a... more

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    We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that remains robust in the presence of this problem. In an empirical exercise, we demonstrate that this issue has important consequences for the estimated impact of monetary policy shocks in the US. We find that the impulse responses of real activity and prices estimated using a Proxy FAVAR are substantially larger and more persistent than those suggested by a small-scale Proxy SVAR.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/210452
    Series: Working paper / School of Economics and Finance, Queen Mary University of London ; no. 894 (September 2019)
    Subjects: information sufficiency; dynamic factor models; instrumental variables; monetary policy; structural VAR
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen