Search Results - subject:"Impulse Response function"

The Nonlinear Dynamics of Output and Unemployment in the US

Altissimo, Filippo; Violante, Giovanni L - C.E.P.R. Discussion Papers - 2000

This paper studies the joint dynamics of US output and unemployment rates in a nonlinear VAR model. The nonlinearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model,...

Persistent link: https://www.econbiz.de/10005791372

The effects of shocks on the Austrian unemployment rate : a structural VAR approach

Maidorn, Susanne - 2000

Persistent link: https://www.econbiz.de/10001509918

Industry effects of monetary policy in Germany

Hayo, Bernd; Uhlenbrock, Birgit - In: Regional aspects of monetary policy in Europe, (pp. 127-158). 2000

Persistent link: https://www.econbiz.de/10001495327

THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH

Persson, Anna; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1999

This paper analyzes the net barter terms of trade measured by the primary commodity price index relative to the index of unit values of export of manufactures from industrial countries. The starting-point is that the series is stationary but possibly nonlinear. Statistical tests indicate that...

Persistent link: https://www.econbiz.de/10005423802

Industry effects of monetary policy in Germany

Hayo, Bernd; Uhlenbrock, Birgit - 1999

Persistent link: https://www.econbiz.de/10001404486

Dynamic effects of persistent shocks

Alloza, Mario; Gonzalo, Jesús; Sanz, Carlos

We show that several shocks identifi ed without restrictions from a model, and frequently used in the empirical literature, display some persistence. We demonstrate that the two leading methods to recover impulse responses to shocks (moving average representations and local projections) treat...

Persistent link: https://www.econbiz.de/10012523677

Recent changes in investment in Spain from a macroeconomic perspective

Aguilar, Pablo; Ghirelli, Corinna; Jiménez García, Blanca

Rationale Cyclical fluctuations in investment are usually sharper than fluctuations in other components of aggregate demand. This article aims to analyse, based on an econometric model, the role played by interest rates, demand and agents’ confidence (the drivers traditionally studied in the...

Persistent link: https://www.econbiz.de/10014313347

News and correlations: an impulse response analysis.

Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine

correlations. In a second step, we apply the deﬁnition of the impulse response function in nonlinear models of Koop, Pesaran and … horizon, we estimate the density of the impulse response function with non parametric kernel estimator. These densities show … random shocks and histories. In a second step, we estimate these impulse response function with the observed history for …

Persistent link: https://www.econbiz.de/10009189930

DSGE Models for Monetary Policy Analysis

Christiano, Lawrence J.; Trabandt, Mathias; Walentin, Karl - In: Handbook of Monetary Economics

Monetary DSGE models are widely used because they fit the data well and they can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The...

Persistent link: https://www.econbiz.de/10009002673

Real Output and Prices Adjustments under Different Exchange Rate Regimes

MIRDALA, Rajmund - In: Financial Aspects of Recent Trends in the Global Economy

Exchange rate regimes evolution in the European transition economies refers to one of the most crucial policy decision in the beginning of the 1990s employed during the initial stages of the transition process. During the period of last two decades we may identify some crucial milestones in the...

Persistent link: https://www.econbiz.de/10010674560