Search Results - subject:"impulse responses."

Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10010531839

How are firms affected by exchange rate shocks? Evidence from survey based impulse responses

Bannert, Matthias; Drechsel, Dirk; Mikosch, Heiner; … - 2015

National Bank in September 2011 using a survey based impulse responses analysis. Survey based impulse responses incorporate …

Persistent link: https://www.econbiz.de/10011307775

Macro and micro level impulse responses: A survey experimental identification procedure

Drechsel, Dirk; Mikosch, Heiner; Sarferaz, Samad; … - 2015

bottom up approach. We show how to generate firm level impulse responses by incorporating experimental settings into surveys … impulse responses. We further show that the effects obtained from survey experiments can be mapped into impulse responses … VAR. At the micro level we analyze the driving forces behind firm specific impulse responses, controlling for several firm …

Persistent link: https://www.econbiz.de/10011307791

Theoretical Foundations of SVAR Modeling

Skrobotov, Anton; Turuntseva, Marina - Russian Presidential Academy of National Economy and … - 2015

confidence intervals for impulse responses are discussed. The paper also discusses the problems associated with non …

Persistent link: https://www.econbiz.de/10011265375

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2015

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

Persistent link: https://www.econbiz.de/10011605859