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  1. 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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    Language: English
    Media type: Book
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    Other identifier:
    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
  2. 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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    Media type: Ebook
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    ISBN: 9789289934978
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    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
  3. 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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    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
  4. 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
  5. 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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    Other identifier:
    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
  6. 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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    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
  7. 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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    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)
  8. 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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    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
  9. What drives inventory accumulation?
    news on rates of return and marginal costs
    Author: Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A.
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the... more

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    We study the effects of news shocks on inventory accumulation in a structural VAR framework. We establish that inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the transmission channel of news shocks to inventories works through movements in marginal costs, through movements in sales, or through interest rates. We provide evidence that changes in external and internal rates of return are central to the transmission for such news shocks. We do not find evidence of a strong substitution effect that shifts production from the present into the future.

     
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    Other identifier:
    hdl: 10419/207282
    Series: Array ; no. 7891 (October 2019)
    Subjects: structural VAR; news shocks; inventories
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  10. Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
    Author: Miescu, Mirela S.; Mumtaz, Haroon
    Published: [2019]
    Publisher:  Lancaster University Management School, Lancester

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    Series: Economics working paper series ; 2019/021
    Subjects: information sufficiency; dynamic factor models; instrumentalvariables; monetary policy; structural VAR
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  11. Fiscal and monetary policy interaction in Malawi
    Author: Matola, Joseph Upile; Leon-Gonzalez, Roberto
    Published: September 2019
    Publisher:  National Graduate Institute for Policy Studies, Tokyo, Japan

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    Series: GRIPS discussion paper ; 19, 16
    Subjects: Fiscal dominance; monetary dominance; fiscal policy; monetary policy; structural VAR; sign restrictions; Malawi
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  12. Facts and fiction in oil market modeling
    Author: Kilian, Lutz
    Published: 09 October 2019
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP14047
    Subjects: oil supply elasticity; Oil demand elasticity; IV estimation; structural VAR; Bayesianinference; oil price; global real activity
    Scope: 1 Online-Ressource (circa 47 Seiten)
  13. Macroeconomic effects of fiscal shocks in Portugal
    Author: Bova, Elva; Klyviene, Violeta
    Published: 2019
    Publisher:  Publications Office of the European Union, Luxembourg

    This study analyses the impact of fiscal shocks on GDP, inflation and interest rates in Portugal over 1995-2017. In line with the relevant literature, we estimate multipliers using a structural VAR a' la Blanchard and Perotti (2002) based on OECD... more

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    This study analyses the impact of fiscal shocks on GDP, inflation and interest rates in Portugal over 1995-2017. In line with the relevant literature, we estimate multipliers using a structural VAR a' la Blanchard and Perotti (2002) based on OECD elasticities. As fiscal shocks, we include changes in direct and indirect taxes on the revenue side, and, on the expenditure side, changes in public consumption, investment and transfers. We find small tax multipliers and larger government consumption multipliers for growth, while short-term responses to shocks in transfer and investment spending are found to be negligible. We find an ambiguous impact of fiscal shocks on inflation, with both indirect and direct taxes having an inflationary impact but government consumption having the contrary impact. Fiscal shocks of an expansionary nature are found to trigger declines in real interest rates, possibly through the inflation channel. The results are robust to different orderings of the variables used in the structural VAR and to the selection of alternative time periods. Overall, the analysis of output multipliers compares well with some other studies conducted on the Portuguese economy and confirms the importance of the disposable income channel in the transmission of fiscal shocks to the rest of the economy.

     
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    ISBN: 9789279774331
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    Series: Array ; 096 (May 2019)
    Subjects: inflation; fiscal policy; interest; gross domestic product; macroeconomics; Portugal; Fiscal shocks; structural VAR; Portugal
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  14. Country-level effects of the ECB's expanded asset purchase programme
    Author: Zlobins, Andrejs
    Published: 2019
    Publisher:  Latvijas Banka, Riga

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    ISBN: 9789934578113
    Series: Working paper / Latvijas Banka ; 2019,2
    Subjects: forward guidance; central bank communication; unconventional monetary policy; euro area; structural VAR
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  15. What accounts for the German labor market miracle?
    a macroeconomic investigation
    Author: Klein, Mathias; Schiman, Stefan
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    We study the driving forces of the so-called "German labor market miracle" the trend-shift and steady decline of German unemployment over the last two decades that persisted beyond the Great Recession. Our structural VAR approach encompasses various... more

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    We study the driving forces of the so-called "German labor market miracle" the trend-shift and steady decline of German unemployment over the last two decades that persisted beyond the Great Recession. Our structural VAR approach encompasses various factors within a single comprehensive framework based on robust sign restrictions. We find that wage bargaining shocks account for most of the observed unemployment decline. Wage moderation was most pronounced right after the implementation of Hartz IV, but it persisted far beyond that. Moreover, the real effects of wage bargaining shocks were stronger post-1999, i.e. within the monetary union. In contrast, the muted response of unemployment to the Great Recession was not significantly different to the experience in previous business cycle downturns. The results are robust to several modifications of the model and changes in the sample.

     
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    hdl: 10419/203593
    Edition: This version: February 28, 2019
    Series: Array ; Array
    Subjects: German labor market miracle; structural VAR; sign restrictions
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  16. Facts and fiction in oil market modeling
    Author: Kilian, Lutz
    Published: September 4, 2019
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

    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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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 1907
    FRB of Dallas Working Paper ; No. 1907
    Subjects: Oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; global real activity
    Scope: 1 Online-Ressource (circa 44 Seiten)
  17. The macroeconomic effects of forward communication
    Author: Brubakk, Leif; Ellen, Saskia ter; Robstad, Ørjan; Xu, Hong
    Published: [2019]
    Publisher:  Norges Bank, Oslo

    This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the "forward guidance puzzle". Our identification strategy allows us to disentangle the change in future... more

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    This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the "forward guidance puzzle". Our identification strategy allows us to disentangle the change in future interest rates stemming from deviations from the systematic part of monetary policy ("target" and "forward guidance" shocks) and changes in future interest rates that are due to unanticipated revisions in the central bank's economic outlook ("information" shocks). This enables us to make a qualitative assessment of the relative importance of forward guidance. We investigate to what extent the horizon of guidance matters for its macroeconomic effects, and find that the more forward the shock is, the weaker is its impact on output and inflation. This runs contrary to the prediction from standard New Keynesian models that the power of forward guidance increases with its horizon.

     
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    ISBN: 9788283791204
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    hdl: 11250/2652993
    hdl: 10419/246101
    Series: Working paper / Norges Bank ; 2019, 20
    Subjects: monetary policy; forward guidance puzzle; high-frequency identification; structural VAR; central bank information
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  18. Asymmetric conjugate priors for large Bayesian VARs
    Author: Chan, Joshua
    Published: 2019
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, [Canberra]

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    Series: CAMA working paper ; 2019, 51 (July 2019)
    Subjects: shrinkage prior; forecasting; marginal likelihood; optimal hyperparameters; structural VAR
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  19. Minnesota-type adaptive hierarchical priors for large Bayesian VARs
    Author: Chan, Joshua
    Published: 2019
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, [Canberra]

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    Series: CAMA working paper ; 2019, 61 (August 2019)
    Subjects: shrinkage prior; forecasting; stochastic volatility; structural VAR
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  20. Makroeconomic effects of the ECB's forward guidance
    Author: Zlobins, Andrejs
    Published: 2019
    Publisher:  Latvijas Banka, Riga

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789934578168
    Series: Working paper / Latvijas Banka ; 2019,3
    Subjects: forward guidance; central bank communication; unconventional monetary policy; euro area; structural VAR
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  21. Much ado about nothing?
    the shale oil revolution and the global supply curve
    Author: Foroni, Claudia; Stracca, Livio
    Published: [2019]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la... more

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    We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la Stackelberg. We find that the supply function is atter for the high cost producer, and that the supply function for shale oil producers becomes more responsive to demand shocks when adjustment costs decline. On the empirical side, we apply an instrumental variable approach using estimates of demand-driven oil price changes derived from a standard structural VAR of the oil market. A main finding is that global oil supply is rather vertical, practically all the time. Moreover, for the global oil market as a whole, we do not find evidence of a major shift to a more price elastic supply as a result of the shale oil boom.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289935715
    Other identifier:
    hdl: 10419/208343
    Series: Working paper series / European Central Bank ; no 2309 (August 2019)
    Subjects: Oil supply; shale oil; oil shocks; structural VAR; instrumental variables; sign restrictions
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen