Search Results - subject:"structural shocks"

Crisis-regime dynamic volatility spillovers in U.S. commodity markets : a Bayesian mixture-identified SVAR approach

Deng, Xinyan; Aruga, Kentaka; Tang, Chaofeng - In: Risks : open access journal 14 (2026) 4, pp. 1-32

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...

Persistent link: https://www.econbiz.de/10015639153

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the …

Persistent link: https://www.econbiz.de/10015592539

Reassessing proxy-based identification of multiple monetary policy shocks for the euro area, the US, and the UK

Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2026 - This version: April 28, 2026

Several recent studies consider a set of proxies to identify different monetary policy shocks for different regions in the world. We show that the way the proxies are used to identify the monetary policy shocks may lead to correlated shocks and dubious structural analysis and we demonstrate how...

Persistent link: https://www.econbiz.de/10015639125

A Bayesian estimation of monetary policy effects on macroeconomic dynamics in Sierra Leone : a new Keynesian DSGE approach

Daboh, Foday; Jackson, E. A.; Tamuke, Edmund - In: West African journal of monetary and economic integration 24 (2025) 1, pp. 1-37

This paper conducts a Bayesian assessment of a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model in the context of Sierra Leone's economy by utilising quarterly data from 2011 to 2022. It examines how monetary policy, demand shocks, and cost-push shocks affect selected...

Persistent link: https://www.econbiz.de/10015605324

Estimation of continuous-time linear DSGE models from discrete-time measurements

Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, … - In: Journal of econometrics 244 (2024) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10015552445

How Ricardian are we?

Adams, Jonathan; Matthes, Christian - 2026

Persistent link: https://www.econbiz.de/10015636937

Trend inflation and structural shocks

Fu, Bowen; Mendieta-Muñoz, Ivan - 2025

so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be … these structural shocks on the trend inflation rate via an unobserved components model with stochastic volatility and … structural shocks. We document the following results. First, four structural shocks have significant and quantitatively important …

Persistent link: https://www.econbiz.de/10015195132

Identification based on higher moments in macroeconometrics

Lewis, Daniel J. - In: Annual review of economics 17 (2025), pp. 665-693

Persistent link: https://www.econbiz.de/10015607023

Trend inflation and structural shocks

Fu, Bowen; Mendieta-Munoz, Ivan - 2025

Persistent link: https://www.econbiz.de/10015183179

An estimated DSGE model under the New Keynesian framework for Mexico

Fonseca-Zendejas, Alejandro Steven; Borrego-Salcido, Carmen - In: Computational economics 66 (2025) 2, pp. 1297-1320

Persistent link: https://www.econbiz.de/10015590948