Search Results - subject:"impulse responses."

Confidence bands for impulse responses: Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in …

Persistent link: https://www.econbiz.de/10010331128

Confidence Bands for Impulse Responses: Bonferroni versus Wald

Luetkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in …

Persistent link: https://www.econbiz.de/10010333429

Confidence Bands for Impulse Responses: Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in …

Persistent link: https://www.econbiz.de/10011128842

The transmission effects of the subprime crisis to emerging markets: A global VAR analysis

Daboussi, Olfa Manai; Majoul, Amira - In: Asian Journal of Empirical Research 4 (2014) 9, pp. 427-438

particular the interdependence between national and international cycles. In addition to generalized impulse responses, the …

Persistent link: https://www.econbiz.de/10011078587

Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk

RUGE-MURCIA, Francisco - Centre Interuniversitaire de Recherche en Économie … - 2014

This paper proposes a nonlinear impulse-response matching procedure explicitly designed to estimate nonlinear dynamic models, and illustrates its applicability by estimating a macro-finance model of asset pricing under skewness risk. As auxiliary model, a new class of nonlinear vector...

Persistent link: https://www.econbiz.de/10011122149

Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory

Pellegrino, Giovanni - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

This paper investigates the interaction between uncertainty and monetary policy by estimating a non-linear VAR with US post-WWII data. The uncertainty indicator is treated both as an endogenous variable in the VAR and as the transition indicator discriminating "high" vs. "low" uncertainty...

Persistent link: https://www.econbiz.de/10011123414

Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S.

Bacchiocchi, Emanuele; Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

of our impulse responses estimated with post-WWII U.S. data by working with a break in macroeconomic volatilities … occurred in the mid-1980s. We show that the impulse responses obtained with our non-recursive identification scheme are quite … instabilities in the estimated VAR impulse responses are informative as for the calibration of some key-structural parameters. …

Persistent link: https://www.econbiz.de/10011123419

Confidence Bands for Impulse Responses: Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

these considerations are equally important for constructing forecast bands, we focus on the case of impulse responses in …

Persistent link: https://www.econbiz.de/10010734527

Effects of Mineral-Commodity Price Shocks on Monetary Policy in Developed Countries

Sekine, Atsushi - Institute of Economic Research, Kyoto University - 2014

This paper investigates effects of changes in mineral commodity prices on monetary policy. Using macroeconomic data from five developed countries (Australia, Canada and New Zealand as mineral-producing countries, and the US and the UK as non-mineral-resource countries), I estimate the impulse...

Persistent link: https://www.econbiz.de/10010763986

Fair Weather or Foul? The Macroeconomic Effects of El Niño

Cashin, Paul; Mohaddes, Kamiar; Raissi, Mehdi - Faculty of Economics, University of Cambridge - 2014

This paper employs a dynamic multi-country framework to analyze the international macroeconomic transmission of El Niño weather shocks. This framework comprises 21 country/region-specific models, estimated over the period 1979Q2 to 2013Q1, and accounts for not only direct exposures of countries...

Persistent link: https://www.econbiz.de/10010790556