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Displaying results 51 to 75 of 95.

  1. 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 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, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. Regarding shock types, we reveal a dominating trade policy uncertainty shock and a weaker level shock. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/235764
    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 78 Seiten), Illustrationen
  2. 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
  3. The European energy crisis and the US natural gas market dynamics
    a structural VAR investigation
    Author: Szafranek, Karol; Rubaszek, Michał
    Published: March 2024
    Publisher:  Warsaw School of Economics, Collegium of Economic Analysis, [Warsaw]

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    hdl: 20.500.12182/1256
    Series: Collegium of Economic Analysis working paper series ; number: 099 (2024)
    Subjects: Natural gas market; structural VAR; Impulse-response function; Bayesian inference
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  4. Exchange rate in emerging markets
    shock absorber or source of shock?
    Author: Pym Manopimoke; Nuwat Nookhwun; Jettawat Pattararangrong
    Published: [2024]
    Publisher:  [Puey Ungphakorn Institute for Economic Research], [Bangkok]

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    Edition: This version: 22 April 2024
    Series: Discussion paper / Puey Ungphakorn Institute for Economic Research ; no. 220 (April 2024)
    Subjects: flexible exchange rate; shock absorber; exchange rate pass-through; shock dependency; structural VAR
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  5. The effects of the ECB's pandemic-related monetary policy measures
    Author: Nelimarkka, Jaakko; Laine, Olli-Matti
    Published: [2021]
    Publisher:  Bank of Finland, Helsinki

    We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using... more

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    We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the framework, multiple monetary policy measures may simultaneously be analysed. According to our results, the asset purchase programmes implemented during the crisis have increased the annual GDP growth by approximate 2 percentage points in 2020-2021 and inflation by 0.5 percentage points. The longer-term refinancing operations have contributed positively but more mildly to the economic activity.

     
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    hdl: 10419/242949
    Series: BoF economics review ; 2021, 4
    Subjects: Monetary policy; Covid-19; ECB; structural VAR; policy evaluation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  6. Dry bulk shipping and the evolution of maritime transport costs, 1850-2020
    Author: Jacks, David S.; Stuermer, Martin
    Published: March 2021
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2102
    Subjects: Dry bulk; maritime freight rates; structural VAR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  7. Global Uncertainty
    Author: Caggiano, Giovanni; Castelnuovo, Efrem
    Published: [2021]
    Publisher:  Monash University, Monash Business School, Department of Economics, [Clayton]

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    Series: Discussion paper / Monash University, Department of Economics ; no. 2021, 12
    Subjects: Global Financial Uncertainty; dynamic hierarchical factor model; structural VAR; world output loss; global finance uncertainty multiplier
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  8. Facts and fiction in oil market modeling
    Author: Kilian, Lutz
    Published: [2021]
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different... more

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    A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different econometric approach. Their main aim has been to revise the consensus in the literature that oil demand shocks are a more important determinant of oil price fluctuations than oil supply shocks. Substantial progress has been made in recent years in sorting out the pros and cons of the underlying econometric methodologies and data in this debate, and in separating claims that are supported by empirical evidence from claims that are not. The purpose of this paper is to take stock of the VAR literature on global oil markets and to synthesize what we have learned. Combining this evidence with new data and analysis, I make the case that the concerns regarding the existing VAR oil market literature have been overstated and that the results from these models are quite robust to changes in the model specification.

     
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    hdl: 10419/246873
    Series: CFS working paper series ; no. 661
    Subjects: Elasticity; structural VAR; Bayesian inference; oil price; global real activity; oil inventories
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  9. 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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    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
  10. 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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    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
  11. 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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    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
  12. Real activity and uncertainty shocks
    the long and the short of it
    Author: Krogh, Mathias Sjøgreen; Pellegrino, Giovanni
    Published: [2024]
    Publisher:  Department of Economics and Management "Marco Fanno", University of Padova, Padova

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    Edition: This version: February 14, 2024
    Series: Marco Fanno working papers ; 310 (February 2024)
    Subjects: uncertainty shocks; medium-scale DSGE model; structural VAR; nonrecursive identification; VIX term structure
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  13. Impact of excess reserves on monetary policy transmission in Papua New Guinea
    Author: Wangi, Thomas
    Published: 2024
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

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    Series: CAMA working paper series ; 2024, 16 (February 2024)
    Subjects: excess reserves; monetary policy transmission; structural VAR
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  14. 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)
  15. 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
    Other identifier:
    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
  16. 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)
  17. 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
  18. 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
  19. 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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    ISBN: 9789292568481
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    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
  20. 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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    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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    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
  21. Makroeconomic effects of the ECB's forward guidance
    Author: Zlobins, Andrejs
    Published: 2019
    Publisher:  Latvijas Banka, Riga

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    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
  22. Exchange rate pass-through in emerging Asia and exposure to external shocks
    Author: Beirne, John; Renzhi, Nuobu; Panthi, Pradeep
    Published: [2023]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global... more

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    Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global shocks as propagation channels to both producer and consumer price ERPT, specifically via oil prices, global output, US monetary policy, and the VIX. Our main findings are: (i) ERPT is incomplete and mostly higher for ERPT to producer than consumer prices; (ii) longer-term ERPT to producer and consumer prices is mostly greater in magnitude than shorter-term ERPT; (iii) ERPT has been declining for most Asian EMEs since around 2010; (iv) oil price and global output shocks mostly affect longer-term producer price ERPT in emerging Asia; and (v) US monetary policy and VIX shocks mostly affect longer-term consumer price ERPT in emerging Asia.

     
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    Series: ADBI working paper series ; no. 1379 (May 2023)
    Subjects: exchange rate pass-through; global shocks; structural VAR; time-varying parameter VAR
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  23. The economic impact of Russia's invasion of Ukraine on European countries
    a SVAR approach
    Author: Bruhin, Jonas M.; Scheufele, Rolf; Stucki, Yannic
    Published: [2023]
    Publisher:  Swiss National Bank, Zurich

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    Series: SNB working papers ; 2023, 4
    Subjects: Geopolitical risk; structural VAR; narrative sign restriction; war in Ukraine; Russia; Europe
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  24. The hard road to a soft landing
    evidence from a (modestly) nonlinear structural model
    Author: Verbrugge, Randal; Zaman, Saeed
    Published: [2023]
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 36
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Federal Reserve Bank of Cleveland working paper series ; no. 23, 03 (January 2023)
    Subjects: nonlinear Phillips curve; frequency decomposition; supply price pressures; structural VAR; nonlinear impulse response functions; welfare analysis
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  25. Energy price shocks and inflation in the Euro area
    Author: Neri, Stefano; Busetti, Fabio; Conflitti, Cristina; Corsello, Francesco; Delle Monache, Davide; Tagliabracci, Alex
    Published: [2023]
    Publisher:  Banca d'Italia, [Rom]

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 547
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    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Questioni di economia e finanza / Banca d'Italia ; number 792 (July 2023)
    Subjects: inflation; energy prices; structural VAR; time-varying Phillips curve; DynamicFactor model
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen