Search Results - subject:"Response functions"

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...

Persistent link: https://www.econbiz.de/10011586699

Measuring the Channels of Monetary Policy Transmission: A Factor-Augmented Vector Autoregressive (Favar) Approach

Senbet, Dawit - In: Journal of Central Banking Theory and Practice 5 (2016) 2, pp. 5-40

response functions than the commonly used vector autoregressive (VAR) models that utilize only 4–8 variables. I include 154 …

Persistent link: https://www.econbiz.de/10012217826

Macroeconomic regimes, technological shocks and employment dynamics

Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016

In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...

Persistent link: https://www.econbiz.de/10011483831