Showing 1 - 10 of 52
, Canada, Japan, and the UK. We identify shocks in government consumption, investment, vacancies and government wages in a SVAR …
Persistent link: https://www.econbiz.de/10011084631
Robust sign restrictions derived from calibrated DSGE models are used to identify structual shocks in the actual data. The dynamic behaviour of selected variables in response to these shocks is employed to measure, both qualitatively and quantitatively, the economic discrepancy between the model...
Persistent link: https://www.econbiz.de/10005666848
restrictions suggested by theory using US data for the 1973-2007 period. The estimates show that identifying the shock underlying …
Persistent link: https://www.econbiz.de/10005791245
This paper investigates the international dimension of productivity and demand shocks to US manufacturing. Identifying shocks with sign restrictions based on standard theory predictions we find that productivity gains in manufacturing - our measure of tradables - have substantial aggregate...
Persistent link: https://www.econbiz.de/10005124152
Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...
Persistent link: https://www.econbiz.de/10009493558
We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...
Persistent link: https://www.econbiz.de/10009399715
A method to evaluate cyclical models which does not require knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or...
Persistent link: https://www.econbiz.de/10009001058
restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To …
Persistent link: https://www.econbiz.de/10009148879
both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of …
Persistent link: https://www.econbiz.de/10008692318
that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so …
Persistent link: https://www.econbiz.de/10008468535