Search Results - subject:"impulse–response functions"

Balanced bootstrap joint confidence bands for structural impulse response functions

Bruder, Stefan; Wolf, Michael - 2018 - This version: January 2018

Constructing joint confidence bands for structural impulse response functions based on a VAR model is a difficult task …

Persistent link: https://www.econbiz.de/10011729041

Dynamic relationships between price and net asset value for Asian real estate stocks

Liow, Kim Hiang; Yeo, Sherry - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-17

This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally,...

Persistent link: https://www.econbiz.de/10011857268

Macroeconomic dynamics under bounded rationality : on the impact of consumers' forecast heuristics

Jang, Tae-Seok; Sacht, Stephen - 2018

baseline New-Keynesian model, we compare the impulse response functions that stem from the hybrid version under rational …

Persistent link: https://www.econbiz.de/10011942439

Avaliação do regime de metas de inflação nos países da América Latina entre 2001 e 2014

Triches, Divanildo; Fiorentin, Guilherme Pons - In: Revista de economia contemporânea : publication of the … 22 (2018) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012181076

Fiscal policies and credit regimes: A TVAR approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013

In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...

Persistent link: https://www.econbiz.de/10010328398

Assessing the Impact of Nonperforming Loans on Economic Growth in The Bahamas

Jordan, Alwyn; Tucker, Carisma - In: Monetaria I (2013) 2, pp. 371-400

This paper examines the extent to which economic output and other variables affect nonperforming loans in The Bahamas utilizing a vector error correction (vec) model. It also seeks to determine if there is a feedback response from nonperforming loans to economic growth. Data utilized in the...

Persistent link: https://www.econbiz.de/10010883975

Fiscal policies and credit regimes: a tvar approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - Centre de recherche en Économie (OFCE), Sciences … - 2013

Persistent link: https://www.econbiz.de/10010614862

Choques de política monetaria en México: una aplicación del modelo SVAR, 1995–2012

Adelaido García–Andrés y Leonardo Torre Cepeda - Departamento de Ciencias Sociales, Universidad … - 2013

The purpose of the paper is to analyze the impact of short-term monetary shocks on output and the price level in Mexico. We follow the Structural Vector Autoregressive (SVAR) methodology of Bernanke and Mihov (1998) to identify specific monetary policy shocks consistent with the operating...

Persistent link: https://www.econbiz.de/10010703404

Fiscal Policies and Credit Regimes: A TVAR Approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - Dipartimento di Scienze Economiche, Facoltà di Economia - 2013

Persistent link: https://www.econbiz.de/10010718651

Fiscal Policies and Credit Regimes: A TVAR Approach

Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - Laboratory of Economics and Management (LEM), Scuola … - 2013

In the present work we investigate how the state of credit markets non-linearly affect the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...

Persistent link: https://www.econbiz.de/10010607493