Search Results - subject:"Response functions"

Estimating the effects of global uncertainty in open economies

Delrio, Silvia - 2016

Persistent link: https://www.econbiz.de/10011636654

Statistical inference for independent component analysis : application to structural VAR models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2016 - March 2016, revised version

Persistent link: https://www.econbiz.de/10011855307

Macroeconomic tail events with non-linear Bayesian VARs

Chiu, Ching Wai Jeremy; Hacıoǧlu Hoke, Sinem - 2016

Persistent link: https://www.econbiz.de/10011557391

The nonlinear effects of uncertainty shocks

Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10012299603

Public research, local knowledge transfer, and regional development: insights from a structural VAR model

Eberle, Jonathan; Brenner, Thomas; Mitze, Timo - In: International regional science review : IRSR ; an … 43 (2020) 6, pp. 555-586

Persistent link: https://www.econbiz.de/10012261144

Dynamic vector mode regression

Kemp, Gordon C. R.; Parente, Paulo M. D. C.; Silva, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 647-661

Persistent link: https://www.econbiz.de/10012262502

Import penetration and price relationships : an empirical analysis of the U.S. catfish market

Surathkal, Prasanna; Dey, Madan M. - In: Aquaculture economics & management : official journal … 24 (2020) 2, pp. 143-160

Persistent link: https://www.econbiz.de/10012206494

Multivariate Volatility Impulse Response Analysis of GFC News Events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

HH approach is that it involves a novel application of the concept of impulse response functions, tracing the effects of … response functions (VIRF) provide information about the impact of independent shocks on volatility. HH's VIRF extends a …

Persistent link: https://www.econbiz.de/10011403543

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011460766

Effects of fiscal shocks in new EU members estimated from a SVARX model with debt feedback

Stanova, Nadja - Volkswirtschaftliche Fakultät, … - 2015

This paper analyses in a VAR framework with debt feedback effects of fiscal policy over 1999q1-2013q4 in five Central and East European economies: Slovakia, Czech republic, Hungary, Slovenia and Lithuania. The results are compared to two alternative specifications, a model without debt feedback,...

Persistent link: https://www.econbiz.de/10011207380