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Hysteresis and Economic Fluctuations (Spain, 1970-94)

Dolado, Juan J.; López-Salido, J David - C.E.P.R. Discussion Papers - 1996

differenced unemployment rate, to isolate three 'structural' shocks which drove business cycle fluctuations in Spain during 1970 … unit-root persistence in the unemployment rate. Our basic finding is that disinflationary policies in an economy suffering … from high persistence can become very costly in terms of unemployment, unless supply-side reforms, aimed at eliminating the …

Persistent link: https://www.econbiz.de/10005124406

Does Information Help Recovering Structural Shocks from Past Observations?

Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2006

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and...

Persistent link: https://www.econbiz.de/10005666465

Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States

Ravn, Morten O; Simonelli, Saverio - C.E.P.R. Discussion Papers - 2007

We use a 12-dimensional VAR to examine the dynamic effects on the labour market of four structural technology and policy shocks. For each shock, we examine the dynamic effects on the labour market, the importance of the shock for labour market volatility, and the comovement between labour market...

Persistent link: https://www.econbiz.de/10005123759

Testing for Sufficient Information in Structural VARs

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2011

. We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked. We find that the three variables …

Persistent link: https://www.econbiz.de/10008854473

Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?

Clarida, Richard; Galí, Jordi - C.E.P.R. Discussion Papers - 1994

This paper attempts to identify the sources of real exchange rate fluctuations since the collapse of the Bretton Woods period. We use a structural VAR model with recursive long-run restrictions to decompose the real exchange rate series into three components, associated with supply, demand and...

Persistent link: https://www.econbiz.de/10005667040

Identifying Monetary Policy Shocks in Japan

Shioji, Etsuro - C.E.P.R. Discussion Papers - 1997

It is sometimes argued that central banks influence the private economy in the short run through controlling a specific component of high powered money, not its total amount. Using a structural VAR approach, this paper evaluates this claim empirically, in the context of the Japanese economy. It...

Persistent link: https://www.econbiz.de/10005789026

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....

Persistent link: https://www.econbiz.de/10005789043

Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions

Lippi, Francesco; Nobili, Andrea - C.E.P.R. Discussion Papers - 2008

We consider an economy where the oil price, industrial production, and other macroeconomic variables fluctuate in response to a variety of fundamental shocks. We estimate the effects of different structural shocks using robust sign restrictions suggested by theory using US data for the 1973-2007...

Persistent link: https://www.econbiz.de/10005791245

Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?

Galí, Jordi - C.E.P.R. Discussion Papers - 1996

Using data for the G7 countries, conditional correlations of employment and productivity are estimated, based on a decomposition of the two series into technology and non-technology components. The picture that emerges is hard to reconcile with the predictions of the standard real business cycle...

Persistent link: https://www.econbiz.de/10005656273

Aggregate and Regional Disaggregate Fluctuations

Quah, Danny - C.E.P.R. Discussion Papers - 1995

This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Persistent link: https://www.econbiz.de/10005504615