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Displaying results 1 to 18 of 18.

  1. 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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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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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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    Source: Union catalogues
    Language: English
    Media type: Book
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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)
  2. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2020
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    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. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, 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
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    Other identifier:
    hdl: 10419/218975
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1854
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  3. The econometrics of oil market VAR Models
    Author: Kilian, Lutz; Zhou, Xiaoqing
    Published: March 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    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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    Source: Union catalogues
    Language: English
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    hdl: 10419/216549
    Series: CESifo working paper ; no. 8153 (2020)
    Subjects: identification; model specification; elasticity; Bayesian estimation; structural VAR; instruments; textual analysis
    Scope: 1 Online-Ressource (circa 63 Seiten)
  4. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 03/2020
    Publisher:  Kiel Institute for the World Economy, Kiel

    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. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, 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
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    hdl: 10419/215399
    Series: Kiel working paper ; no. 2151 (March 2020)
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  5. The effects of conventional and unconventional monetary policy
    identification through the yield curve
    Author: Kortela, Tomi; Nelimarkka, Jaakko
    Published: 22 January 2020
    Publisher:  Bank of Finland, Helsinki

    Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a... more

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    Since the Great Recession, the main evolution in monetary policy has been its attempts to affect the medium and the long-term interest rates with instruments other than the policy rate. Consequently, measuring the stance of monetary policy by a single interest rate becomes problematic. This study explores the macroeconomic effects of conventional and unconventional policy measures in the euro area in a unified framework. We identify simultaneously three monetary policy shocks that influence different parts of the yield curve. These shocks reflect various aspects of actions and communications of the European Central Bank in conventional and unconventional monetary policy periods. According to the results, conventional interest rate policy, forward guidance and quantitative easing have asymmetric output and price responses.

     
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    ISBN: 9789523233119
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    hdl: 10419/240326
    Series: Bank of Finland research discussion papers ; 2020, 3
    Subjects: Unconventional monetary policy; structural VAR; zero lower bound; term structureof interest rates
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  6. Pre- and post-GFC policy multipliers
    Author: Ouliaris, Sam; Rochon, Céline
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels using an augmented Blanchard-Perotti model to allow for the dynamic effects of shocks to the central bank balance sheet, real... more

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    This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels using an augmented Blanchard-Perotti model to allow for the dynamic effects of shocks to the central bank balance sheet, real interest rates and debt levels on economic activity. Given the elevated debt level and significantly larger central bank balance sheet in the U.S. after 2008, the paper estimates the likely impact of new stimulus packages. We find that expenditure multipliers have fallen post-2008 crisis because of higher government debt, implying that the effectiveness of fiscal policy has declined. The analysis also investigates the impact of quantitative easing. The results suggest that it is beneficial, but requires sizable balance sheet interventions to lead to noticeable effects on real GDP. The results are used to assess the impact of the policy packages to address COVID-19. Because of rising debt stocks, dealing with a crisis is becoming more and more costly despite the current low interest rate environment

     
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  7. Understanding the estimation of oil demand and oil supply elasticities
    Author: Kilian, Lutz
    Published: [2020]
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    Using a novel dataset, we develop a structural model of the Very Large Crude Carrier (VLCC) market between the Arabian Gulf and the Far East. We study how fluctuations in oil tanker rates, oil exports, shipowner profits, and bunker fuel prices are... more

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    Using a novel dataset, we develop a structural model of the Very Large Crude Carrier (VLCC) market between the Arabian Gulf and the Far East. We study how fluctuations in oil tanker rates, oil exports, shipowner profits, and bunker fuel prices are determined by shocks to the supply and demand for oil tankers, to the utilization of tankers, and to the cost of operating tankers, including bunker fuel costs. Our analysis shows that time charter rates are largely unresponsive to tanker cost shocks. In response to higher costs, voyage profits decline, as cost shocks are only partially passed on to round-trip voyage rates. Oil exports from the Arabian Gulf also decline, reflecting lower demand for VLCCs. Positive utilization shocks are associated with higher profits, a slight increase in time charter rates and lower fuel prices and oil export volumes. Tanker supply and tanker demand shocks have persistent effects on time charter rates, round-trip voyage rates, the volume of oil exports, fuel prices, and profits with the expected sign. This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric problems that have been overlooked in this literature. Once these problems are recognized, seemingly conflicting conclusions in the recent literature can be resolved. My analysis reaffirms the conclusion that the one-month oil supply elasticity is close to zero, which implies that oil demand shocks are the dominant driver of the real price of oil. The focus of this paper is not only on correcting some 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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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/229158
    Series: CFS working paper series ; no. 649
    Subjects: Oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; gasoline price
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  8. Understanding the estimation of oil demand and oil supply elasticities
    Author: Kilian, Lutz
    Published: August 29, 2020
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2027
    Subjects: Oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; gasoline price
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  9. On the international dissemination of technology news shocks
    Author: Claudio, João Carlos; Schweinitz, Gregor von
    Published: [02. Dezember 2020]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    This paper investigates the propagation of technology news shocks within and across industrialised economies. We construct quarterly utilisation-adjusted total factor productivity (TFP) for thirteen OECD countries. Based on country-specific... more

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    This paper investigates the propagation of technology news shocks within and across industrialised economies. We construct quarterly utilisation-adjusted total factor productivity (TFP) for thirteen OECD countries. Based on country-specific structural vector autoregressions (VARs), we document that (i) the identified technology news shocks induce a quite homogeneous response pattern of key macroeconomic variables in each country; and (ii) the identified technology news shock processes display a significant degree of correlation across several countries. Contrary to conventional wisdom, we find that the US are only one of many different sources of technological innovations diffusing across advanced economies. Technology news propagate through the endogenous reaction of monetary policy and via trade-related variables. That is, our results imply that financial markets and trade are key channels for the dissemination of technology.

     
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    Source: Union catalogues
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    hdl: 10419/227099
    Series: IWH discussion papers ; 2020, no. 25 (December 2020)
    Subjects: technology news shocks; technology spillover; structural VAR; international trade
    Scope: 1 Online-Ressource (III, 30 Seiten), Diagramme
  10. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: September 24, 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US... more

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    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively overall, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. These effects reveal elements of both relative price shocks and uncertainty shocks of which the latter may be more important. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/224529
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 34
    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 61 Seiten), Illustrationen
  11. Understanding the estimation of oil demand and oil supply elasticities
    Author: Kilian, Lutz
    Published: 01 September 2020
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP15244
    Subjects: oil supply elasticity; Oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; gasoline price
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  12. Measuring monetary policy with residual sign restrictions at known shock dates
    Author: Badinger, Harald; Schiman, Stefan
    Published: September 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions.... more

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    We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area reveals that interest rate decisions of the ECB surprised financial markets at least fifteen times since 1999. This information is used to restrict the sign and magnitude of the structural residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach achieves strong identification, suggesting that unexpected ECB decisions have an immediate impact on the short-term money market rate, the narrow money stock, commodity prices, consumer prices and the Euro-Dollar exchange rate, and that real output responds gradually. Our close to assumption-free approach obtains as an outcome what traditional sign restrictions on impulse responses impose as an assumption.

     
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    Source: Union catalogues
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    hdl: 10419/226260
    Series: CESifo working paper ; no. 8558 (2020)
    Subjects: structural VAR; set identification; monetary policy; ECB
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  13. Understanding the estimation of oil demand and oil supply elasticities
    Author: Kilian, Lutz
    Published: September 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also... more

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    This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric problems that have been overlooked in this literature. Once these problems are recognized, seemingly conflicting conclusions in the recent literature can be resolved. My analysis reaffirms the conclusion that the one-month oil supply elasticity is close to zero, which implies that oil demand shocks are the dominant driver of the real price of oil. The focus of this paper is not only on correcting some 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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    Source: Union catalogues
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    hdl: 10419/226269
    Series: CESifo working paper ; no. 8567 (2020)
    Subjects: oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; gasoline price
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  14. Testing the effectiveness of unconventional monetary policy in Japan and the United States
    Author: Ikeda, Daisuke; Li, Shangshang; Mavroeidis, Sophocles; Zanetti, Francesco
    Published: July 2020
    Publisher:  Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, Japan

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    Series: Array ; no. 2020, E-10
    Subjects: Effective lower bound; unconventional monetary policy; structural VAR
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  15. The econometrics of oil market VAR models
    Author: Kilian, Lutz; Zhou, Xiaoqing
    Published: 01 March 2020
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP14460
    Subjects: Elasticity; identification; Model specification; Bayesian estimation; structural VAR; textual analysis
    Scope: 1 Online-Ressource (circa 64 Seiten)
  16. Empirical estimates of fiscal multipliers for South Africa
    Author: Kemp, Johannes Hermanus
    Published: July 2020
    Publisher:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    Despite the frequent use of fiscal policy for stabilization purposes and the important role fiscal activism has played over the last decade, the size of budgetary multipliers (i.e. the output response following an exogenous shock to fiscal policy)... more

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    Despite the frequent use of fiscal policy for stabilization purposes and the important role fiscal activism has played over the last decade, the size of budgetary multipliers (i.e. the output response following an exogenous shock to fiscal policy) has been heatedly debated at the theoretical and empirical levels, both globally and in the South African context. This paper estimates fiscal multipliers for South Africa using a variety of identification approaches and model specifications. The main findings show that the size of budgetary multipliers is sensitive to the identification strategy and modelling approach used. Keeping this caveat in mind, the estimation results show that government spending multipliers are positive, albeit generally smaller than 1. In contrast, tax multipliers are large and distortionary. It is also shown that both spending and tax multipliers are larger when the economy is in a recessionary state (or downswing).

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789292568481
    Other identifier:
    hdl: 10419/229315
    Series: WIDER working paper ; 2020, 91
    Subjects: fiscal multiplier; fiscal policy; state-dependent; structural VAR
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  17. Labor supply shocks and the Beveridge Curve
    empirical evidence from EU enlargement
    Author: Schiman, Stefan
    Published: August 2020
    Publisher:  Österreichisches Institut für Wirtschaftsforschung, Wien

    Labor supply shocks can have substantial effects on the Beveridge Curve. Structural VARs with sign restrictions show that the shocks associated with the free movement of workers from Eastern Europe have temporarily increased unemployment in Austria,... more

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    DS 533
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    Labor supply shocks can have substantial effects on the Beveridge Curve. Structural VARs with sign restrictions show that the shocks associated with the free movement of workers from Eastern Europe have temporarily increased unemployment in Austria, a major destination country, by 25 percent and job vacancies by 40 percent. The 2 percent increase in total employment was accompanied by a temporary decline in the employment of domestic workers. The greatest impact is seen in regions bordering on the home countries of the migrant workers. Beyond these findings the paper addresses empirical regularities of labor supply shocks that are at odds with theoretical predictions.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/224138
    Edition: Revised version
    Series: WIFO working papers ; 2020, 606
    Subjects: labor supply shocks; Beveridge Curve; job-related migration; signrestrictions; structural VAR
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  18. Pre- and post-GFC policy multipliers
    Author: Ouliaris, Sam; Rochon, Céline
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels using an augmented Blanchard-Perotti model to allow for the dynamic effects of shocks to the central bank balance sheet, real... more

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    This paper estimates the change in policy multipliers in the U.S. relative to their pre-2008 financial crisis levels using an augmented Blanchard-Perotti model to allow for the dynamic effects of shocks to the central bank balance sheet, real interest rates and debt levels on economic activity. Given the elevated debt level and significantly larger central bank balance sheet in the U.S. after 2008, the paper estimates the likely impact of new stimulus packages. We find that expenditure multipliers have fallen post-2008 crisis because of higher government debt, implying that the effectiveness of fiscal policy has declined. The analysis also investigates the impact of quantitative easing. The results suggest that it is beneficial, but requires sizable balance sheet interventions to lead to noticeable effects on real GDP. The results are used to assess the impact of the policy packages to address COVID-19. Because of rising debt stocks, dealing with a crisis is becoming more and more costly despite the current low interest rate environment

     
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