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Growth expectations, undue optimism, and short-run fluctuations

Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013

We assess the contribution of "undue optimism" (Pigou) to short-run fluctuations. In our analysis, optimism pertains to total factor productivity which determines economic activity in the long run, but is not contemporaneously observed by market participants. In order to recover optimism shocks...

Persistent link: https://www.econbiz.de/10010224834

Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10003751230

Economic policy uncertainty spillovers in booms and busts

Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018

due to US EPU shocks are also found for the UK economy. This evidence, which refers to a large economy having a low trade …

Persistent link: https://www.econbiz.de/10011862894

Economic policy uncertainty and unemployment in the United States : a nonlinear approach

Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018

We model U.S. post-WWII monthly data with a Smooth Transition VAR model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to be statistically and economically larger in recessions....

Persistent link: https://www.econbiz.de/10011864417

Real effects of quantitative easing at the zero-lower bound : structural VAR-based evidence from Japan

Schenkelberg, Heike; Watzka, Sebastian - 2011

shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding …. These results are interesting not only for Japan, but also for other advanced economies where monetary policy is currently …

Persistent link: https://www.econbiz.de/10009130244

The macroeconomic policy challenges of balance sheet recession : lessons from Japan for the European crisis

Schnabl, Gunther - 2013

current crisis therapies. -- Japan ; Europe ; bubble economy ; European crisis ; low interest rate policy ; government debt …The paper compares the boom-and-bust cycles in Japan and Europe with respect to the reasons for excessive booms, the … characteristics of the crises, and the (potential) effects of the crisis therapies. As in Japan the consequence of expansionary …

Persistent link: https://www.econbiz.de/10009743745

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

the state of the economy matters for the magnitude, persistence, and occasionally also for the sign of the effect. Second …

Persistent link: https://www.econbiz.de/10014388605

Expectations and speculation in the natural gas markets

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure expectations-driven speculative demand three approaches are followed, which are based respectively on using natural gas inventories consistently with the theory of storage (Kilian and...

Persistent link: https://www.econbiz.de/10015065319

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Functional oil price expectations shocks and inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper investigates the inflation effects of oil price expectations shocks constructed as functional shocks, i.e. as shifts in the entire oil futures term structure (both standard and risk-adjusted). The latter are then included in a vector autoregressive model with exogenous variables...

Persistent link: https://www.econbiz.de/10014496462