Search Results - subject:"impulse responses."

Non-Separability, Heterogeneous Labor Supply, Investment, and the Business Cycle

Guerron, Pablo A. - Department of Economics, Poole College of Management - 2006

I study the effects of a monetary shock in an economy characterized by heterogenous labor schedules and non-separability between consumption and labor in the utility function. To that end, I develop a simple method to deal with household heterogeneity arising from wealth differentials. Compared...

Persistent link: https://www.econbiz.de/10005802113

How does monetary policy affect aggregate demand? A multimodel approach for Hungary

Jakab, Zoltán M.; Várpalotai, Viktor; Vonnák, Balázs - Magyar Nemzeti Bank (MNB) - 2006

This paper assesses the effect of monetary policy on major components of aggregate demand. We use three different macromodels, all estimated on Hungarian data of the past 10 years. All three models indicated that after an unexpected monetary policy tightening investments decrease quickly. The...

Persistent link: https://www.econbiz.de/10005562432

Exploring the International Linkages of the Euro Area: a Global VAR Analysis

Dees, Stephane; Mauro, Filippo di; Pesaran, M. Hashem; … - Society for Computational Economics - SCE - 2006

impulse responses. Finally, in addition to generalized impulse responses, the paper also considers the use of the GVAR for … the impulse responses. Finally, in addition to generalized impulse responses, the paper also considers the use of the … macroeconomic modeling, impulse responses. JEL Classification: C32, E17, F47 4 ECB Working Paper Series No. 568 December …

Persistent link: https://www.econbiz.de/10005706213

Identifying Monetary Policy Shocks via Changes in Volatility

Lanne, Markku; Luetkepohl, Helmut - Department of Economics, European University Institute - 2006

A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...

Persistent link: https://www.econbiz.de/10005697646

How does monetary policy affect aggregate demand? A multimodel approach for Hungary

Jakab, Zoltán M.; Várpalotai, Viktor; Vonnák, Balázs - 2006

Persistent link: https://www.econbiz.de/10010322452

Output Relationships in South Asia: Are Bangladesh and India Different from Neighbours?

Paul, Biru Paksha - In: South Asia Economic Journal 14 (2013) 1, pp. 35-57

The formation of the South Asian Association of Regional Cooperation (SAARC) in the mid-1980s was aimed at achieving regional integration and economic growth. Hence, examining output interrelationships among South Asian economies becomes imperative, but work on this aspect has remained...

Persistent link: https://www.econbiz.de/10011135945

Methods for Measuring Expectations and Uncertainty in Markov-Switching Models

Bianchi, Francesco - C.E.P.R. Discussion Papers - 2013

I develop a toolbox to analyze the properties of multivariate Markov-switching models. I first derive analytical formulas for the evolution of first and second moments, taking into account the possibility of regime changes. The formulas are then used to characterize the evolution of expectations...

Persistent link: https://www.econbiz.de/10011083330

Monetary Shocks with Observation and Menu Costs

Alvarez, Fernando; Lippi, Francesco; Paciello, Luigi - C.E.P.R. Discussion Papers - 2013

We compute the impulse response of output to an aggregate monetary shock in a general equilibrium when firms set prices subject to a costly observation of the state and a menu cost. We study how the aggregate effects of a monetary shock depend on the relative size of these costs. We find that...

Persistent link: https://www.econbiz.de/10011083721

Reducing confidence bands for simulated impulse responses

Lütkepohl, Helmut - In: Statistical Papers 54 (2013) 4, pp. 1131-1145

out that this feature can result in very misleading confidence intervals for impulse responses if simulation methods such …, can result in substantial reductions in the confidence bands for impulse responses. Copyright Springer-Verlag Berlin …

Persistent link: https://www.econbiz.de/10010998636

Macroeconomic effects of oil price shocks in Brazil and in the United States

Cavalcanti, Tiago; Jalles, João Tovar - In: Applied Energy 104 (2013) C, pp. 475-486

This paper studies the effects of oil price shocks in the last 30years on the Brazilian and American inflation rate and rhythm of economic activity. The Brazilian and the United States economies are interesting polar cases, since they had a completely different path on the oil import dependence...

Persistent link: https://www.econbiz.de/10010688021