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Displaying results 76 to 95 of 95.

  1. The multiplier effects of government expenditures on social protection: a multi-country analysis
    Author: Cardoso, Dante de Souza; Carvalho, Laura; Lima, Gilberto Tadeu; Pires, Luiza Nassif; Rugitsky, Fernando; Sanches, Marina da Silva
    Published: [2023]
    Publisher:  [FEA/USP], [São Paulo]

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Department of Economics-FEA/USP ; no 2023, 11
    Subjects: Social protection policies; fiscal multipliers; inclusive economic growth; incomeinequality; human development; structural VAR
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. Commodity price shocks and the business cycle
    structural evidence for the US
    Author: Gubler, Matthias; Hertweck, Matthias S.
    Published: 2011
    Publisher:  WWZ, Basel

    This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a... more

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    This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic fluctuations, second only to investment-specific technology shocks. In particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology shocks and monetary policy shocks seem less relevant at business cycle frequencies. The impulse response dynamics provide support for medium-scale DSGE models, but not for strong price rigidities.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/123415
    Edition: This version: March 28, 2011
    Series: WWZ Discussion Paper ; 11,05
    Subjects: Rohstoffpreis; Schock; Wirkungsanalyse; Konjunktur; VAR-Modell; Schätzung; USA; business cycles; commodity price shocks; structural VAR
    Scope: Online-Ressource (PDF-Datei: 41 S.), graph. Darst.
  3. Structural unemployment and the output gap in Germany : evidence from an SVAR analysis within a hysteresis framework
    Author: Fritsche, Ulrich; Logeay, Camille
    Published: 2002
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. 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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  5. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  6. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2023
    Publisher:  Humboldt-Universität zu Berlin, Berlin

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Parent title: In: Journal of applied econometrics, Band 38, Ausgabe 3, Seite 388-406, 2022
    Subjects: Außenwirtschaftspolitik; Handelspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; Vektor-autoregressives Modell
    Other subjects: (stw)Außenwirtschaftspolitik; (stw)Aktienmarkt; (stw)Wechselkurs; (stw)Zins; (stw)Wirkungsanalyse; (stw)VAR-Modell; (stw)USA; (stw)China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity; Graue Literatur; Kongressbeitrag
    Scope: Online-Ressource
  7. Structural unemployment and the output gap in Germany
    evidence from an SVAR analysis within a hysteresis framework
    Author: Fritsche, Ulrich; Logeay, Camille
    Published: 2002
    Publisher:  DIW, Berlin

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  8. 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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  9. O crédito imobiliário no Brasil e sua relação com a política monetária
    Author: Mendonça, Mário Jorge
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    Switching model, we estimate the demand for mortgage using aggregate monthly data from January 2003 to September 2012. The results show that this variable has been subject to cycles of contraction and expansion since 2003. The boom starts at the end... more

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    Switching model, we estimate the demand for mortgage using aggregate monthly data from January 2003 to September 2012. The results show that this variable has been subject to cycles of contraction and expansion since 2003. The boom starts at the end of 2005 is marked by the alternation of two distinct regimes. The first one that concentrates between late 2005 until early 2009 seems to be driven by factors pro-market resulting from changes in legislation, economic growth, rising in real income, etc. The situation changes at the beginning of 2009 when the condition of the demand for mortgage is mainly motivated by countercyclical measures adopted by the federal government with the aim of mitigating the effects of the world economic crisis of 2007-2008. The recessive phase of the credit cycle is linked to a single regime that extends until 2005 returning around March 2012 when the series of credit seems to slow down. We also applied the structural VAR model with the purpose of evaluating the effect of a monetary policy shock on the demand mortgage. According to the results, a contractionary shock produces a negative effect on real estate. We note a continuous and sharp decline in mortgage demand, price home, industrial output construction as well as a rising on defaults.

     
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    Content information
    Source: Union catalogues
    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/121572
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1909
    Subjects: mortgage choice; reverse causality; Markov Switching model; structural VAR; directed acyclic graph
    Scope: Online-Ressource (54 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache
  10. News and uncertainty shocks
    Author: Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C.
    Published: September, 2018
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to... more

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    We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial uncertainty shocks. We find that by removing uncertainty effects from news shocks, the positive responses of economic activity to news shocks are strengthened in the short term; and that the negative responses of activity to financial uncertainty shocks are deepened in the medium term as ‘good uncertainty' effects on technology are purged

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: International finance discussion papers ; number1240 (November 2018)
    FRB International Finance Discussion Paper ; No. 1240
    Subjects: forecasting error variance; structural VAR; news shocks; uncertainty shocks
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  11. We just estimated twenty million fiscal multipliers
    Author: Čapek, Jan; Crespo Cuaresma, Jesús
    Published: August 2018
    Publisher:  Vienna University of Economics and Business, Wien

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics working paper / Vienna University of Economics and Business ; no. 268
    Subjects: Fiscal multiplier; structural VAR; meta-analysis
    Scope: 1 Online-Ressource (circa 17 Seiten)
  12. 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
  13. An estimated dynamic stochastic general equilibrium model for the Kyrgyz Republic
    Contributor: Shatmanov, Iskender (HerausgeberIn)
    Published: 2017
    Publisher:  National Bank of the Kyrgyz Republic, Bishkek

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    Contributor: Shatmanov, Iskender (HerausgeberIn)
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Economic Research Center ; 2017, No.1
    Subjects: econometric modelling; DSGE; monetary policy; fiscal policy; Bayesian estimation; impulse response functions; structural VAR
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  14. The price puzzle
    fact or artefact?
    Author: Arestis, Philip; Karoglou, Michail; Muratidēs, Kōstas
    Published: 2013
    Publisher:  Univ. of Sheffield, Dep. of Economics, Sheffield

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    VS 202 (2013,8)
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    Format: Online
    Series: Sheffield economic research paper series ; 2013008
    Subjects: Monetary policy; price puzzle; Markov regime-switching; structural VAR
    Scope: Online-Ressource (8 S.), graph. Darst.
  15. Expansionary and contractionary technology improvements
    conference paper
    Author: Balleer, Almut; Enders, Zeno
    Published: 2013
    Publisher:  ZBW, [Kiel

    This paper examines the effects of expansionary technology shocks (shocks that increase labor productivity and factor inputs) as opposed to contractionary technology shocks (shocks that increase labor productivity, but decrease factor inputs). We... more

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    This paper examines the effects of expansionary technology shocks (shocks that increase labor productivity and factor inputs) as opposed to contractionary technology shocks (shocks that increase labor productivity, but decrease factor inputs). We estimate these two shocks jointly based on a minimum set of identifying restrictions in a structural VAR. We show that most of the business cycle variation of key macroeconomic variables such as output and consumption is driven by expansionary technology shocks. However, contractionary technology shocks are important to understand the variation in labor productivity and production inputs. In addition, these shocks trigger different reactions of certain variables, which can help explain why existing evidence on technology shocks does not deliver clear results. In a simple DSGE model with managerial technology, which is consistent with our identifying restrictions, we interpret contractionary technology shocks as process innovations and motivate the difference to expansionary technology shocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/80046
    Edition: Preliminary and incomplete
    Series: Array ; V3
    Subjects: Technology shocks; business cycles; productivity; structural VAR
    Scope: Online-Ressource (19 S.), graph. Darst.
  16. O crédito imobiliário no Brasil e sua relação com a política monetária
    Author: Mendonça, Mário Jorge
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    Switching model, we estimate the demand for mortgage using aggregate monthly data from January 2003 to September 2012. The results show that this variable has been subject to cycles of contraction and expansion since 2003. The boom starts at the end... more

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    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Switching model, we estimate the demand for mortgage using aggregate monthly data from January 2003 to September 2012. The results show that this variable has been subject to cycles of contraction and expansion since 2003. The boom starts at the end of 2005 is marked by the alternation of two distinct regimes. The first one that concentrates between late 2005 until early 2009 seems to be driven by factors pro-market resulting from changes in legislation, economic growth, rising in real income, etc. The situation changes at the beginning of 2009 when the condition of the demand for mortgage is mainly motivated by countercyclical measures adopted by the federal government with the aim of mitigating the effects of the world economic crisis of 2007-2008. The recessive phase of the credit cycle is linked to a single regime that extends until 2005 returning around March 2012 when the series of credit seems to slow down. We also applied the structural VAR model with the purpose of evaluating the effect of a monetary policy shock on the demand mortgage. According to the results, a contractionary shock produces a negative effect on real estate. We note a continuous and sharp decline in mortgage demand, price home, industrial output construction as well as a rising on defaults.

     
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    Source: Union catalogues
    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/121572
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1909
    Subjects: mortgage choice; reverse causality; Markov Switching model; structural VAR; directed acyclic graph
    Scope: Online-Ressource (54 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache
  17. Subjective interest rate uncertainty and the macroeconomy
    a cross-country analysis
    Author: Istrefi, Klodiana; Mouabbi, Sarah
    Published: [2017]
    Publisher:  Banque de France, Paris

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    Format: Online
    Series: Working paper / Banque de France ; #619 (January 2017)
    Subjects: interest rates; subjective uncertainty; surveys of professional forecasters; macroeconomic fluctuations; structural VAR
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  18. Economic policy uncertainty, trust and inflation expectations
    Author: Istrefi, Klodiana; Piloiu-Popescu, Anamaria-Valeria
    Published: 2013
    Publisher:  CESifo, München

    Theory and evidence suggest that in an environment of well-anchored expectations, temporary news or shocks to economic variables, should not affect agents ́expectations of inflation in the long term. Our estimated structural VARs show that both long-... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Theory and evidence suggest that in an environment of well-anchored expectations, temporary news or shocks to economic variables, should not affect agents ́expectations of inflation in the long term. Our estimated structural VARs show that both long- and short-term inflation expectations are sensible to policy-related uncertainty shocks. A rise of long-term inflation expectations in times of economic contraction, in response to such shocks, suggests that heightened policy uncertainty observed during the recent years indeed raises concerns about future inflation. Furthermore, both monetary and fiscal policy-related uncertainties are significant for the negative dynamics in citizens' trust in the ECB.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77710
    Edition: Second Draft: February 2013
    Series: Array ; 4294
    Subjects: Wirtschaftspolitik; Wirtschaftliche Sicherheit; Wirkungsanalyse; Inflationserwartung; Entscheidung unter Unsicherheit; USA; Eurozone; policy uncertainty; central banks; inflation expectations; structural VAR
    Scope: Online-Ressource (32 S.), graph. Darst.
  19. Large vector autoregressions with stochastic volatility and flexible priors
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Published: June 2016
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Series: Working paper / Federal Reserve Bank of Cleveland ; 16, 17
    Subjects: Big data; forecasting; structural VAR
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  20. Monetary policy transmission in an open economy
    new data and evidence from the United Kingdom
    Author: Cesa-Bianchi, Ambrogio; Thwaites, Gregory; Vicondoa, Alejandro
    Published: September 2016
    Publisher:  Bank of England, [London]

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    Series: Staff working paper / Bank of England ; no. 615
    Subjects: Monetary policy transmission; external instrument; high-frequency identification; structural VAR; local projections
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen