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  1. 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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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 125
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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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    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
  2. 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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    Fachinformationsverbund Internationale Beziehungen und Länderkunde
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    German Institute for Global and Area Studies, Bibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
  3. 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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
  4. Forward guidance shocks
    Author: Miescu, Mirela S.
    Published: [2022]
    Publisher:  Lancaster University Management School, Lancester

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
  5. 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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  6. 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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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17379
    Subjects: DSGE models; validation; structural VAR; structural factor model; news shocks
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  7. Effect of remittances on the macroeconomy
    a structural VAR study of Nepal
    Author: Dahal, Sudyumna
    Published: [2022]
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2022, 43 (July 2022)
    Subjects: remittance shock; Nepal; macro-economy; small open economy; structural VAR
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  8. Testing the effectiveness of unconventional monetary policy in Japan and the United States
    Author: Ikeda, Daisuke; Li, Shangshang; Mavroeidis, Sophocles; Zanetti, Francesco
    Published: [2022]
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2022, 68 (October 2022)
    Subjects: Effective lower bound; unconventional monetary policy; structural VAR
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  9. Testing the effectiveness of unconventional monetary policy in Japan and the United States
    Author: Ikeda, Daisuke; Li, Shangshang; Mavroeidis, Sophocles
    Published: October 2022
    Publisher:  [London School of Economics and Political Science], [London, UK]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: [CFM discussion paper series] ; [CFM-DP 2022, 18]
    Subjects: Effective lower bound; unconventional monetary policy; structural VAR
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  10. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2022
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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