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Nonlinear transmission of financial shocks : some new evidence

Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022

that includes a nonlinear function of the financial shock. …

Persistent link: https://www.econbiz.de/10013207315

Commodity prices and business cycles in small open economies : the role of news shocks

Farias, Cleyton; Silva, Marcelo - In: Economia : revista da ANPEC 24 (2023) 2, pp. 264-311

endogenous commodity production. There are five exogenous processes: a country-specific interest rate shock that responds to … commodity price fluctuations, a productivity (TFP) shock for each sector and a commodity price shock. Both TFP and commodity …

Persistent link: https://www.econbiz.de/10014418171

Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

Aggregate shocks and the Brazilian housing market dynamics

Silva, Marcelo Eduardo Alves da; Besarria, Cássio da … - In: Economia : revista da ANPEC 20 (2019) 2, pp. 121-137

shocks, while a contractionary monetary policy shock depress housing output, demand and prices. Additionally, we find …

Persistent link: https://www.econbiz.de/10012171072

A narrative approach to a fiscal DSGE model

Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837

‐SVAR that partially identify policy shocks in the VAR and assess the fit of the DSGE model relative to this narrative benchmark …

Persistent link: https://www.econbiz.de/10012214069

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

Persistent link: https://www.econbiz.de/10014314068

GDP growth as a bank loan quality determinant

Rachuba, Joanna - In: Journal of banking and financial economics 2 (2020) 14, pp. 21-37

Past financial crises and recessions have revealed the importance of the economy’s condition for the loan quality. Macroeconomic determinants of the non-performing loans have been attracting considerable attention in recent years. The aim of this paper is to organize and summarize studies...

Persistent link: https://www.econbiz.de/10012887740

The determinants of Indonesia’s business cycle

Harahap, Berry A.; Bary, Pakasa; Kusuma, Anggita Cinditya M. - In: Journal of central banking theory and practice 9 (2020), pp. 215-235

This study investigates the determinants of Indonesian’s business cycle using the global vector autoregressive (GVAR) approach, by including spillover responses within 33 countries with 2000 bootstrap replications. The results show that Indonesia’s business cycle is influenced by both...

Persistent link: https://www.econbiz.de/10012306712

Anticipated productivity and the labor market

Chahrour, Ryan; Chugh, Sanjay K.; Potter, Tristan - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 897-934

We identify the main shock driving fluctuations in long‐horizon productivity expectations, consistent with theories of … TFP news. The identified shock induces strong comovement patterns in output, consumption, investment, employment, and … news shock. The model also matches the empirical patterns of vacancies, labor force participation, hours, and job …

Persistent link: https://www.econbiz.de/10014362540

Uncertainty-driven business cycles : assessing the markup channel

Born, Benjamin; Pfeifer, Johannes - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 587-623

Precautionary pricing and increasing markups in representative-agent DSGE models with nominal rigidities are commonly used to generate negative output effects of uncertainty shocks. We assess whether this theoretical model channel is consistent with the data. Three things stand out. First,...

Persistent link: https://www.econbiz.de/10012598448