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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040

Using the Global Dimension to Identify Shocks with Sign Restrictions

Chudik, Alexander - 2011

Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...

Persistent link: https://www.econbiz.de/10013128288

Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach

Bracke, Thierry - 2008

Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...

Persistent link: https://www.econbiz.de/10012771616

Autoregressions in Small Samples, Priors about Observables and Initial Conditions

Jarocinski, Marek - 2010

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...

Persistent link: https://www.econbiz.de/10013136582

Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Chudik, Alexander; Georgiadis, Georgios - 2021

where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a … frequency of the shock, and (iv) the full set of relevant endogenous variables entering the DGP is unknown or unobserved …

Persistent link: https://www.econbiz.de/10013315353

Structural Reform Waves and Economic Growth

Marrazzo, Marco - 2017

At a time of slow growth in several advanced and emerging countries, calls for more structural reforms are multiplying. However, estimations of the short- and medium-term impact of these reforms on GDP growth remain methodologically problematic and still highly controversial. We contribute to...

Persistent link: https://www.econbiz.de/10012943464

The Euro Plus Pact : Cost Competitiveness and External Capital Flows in the EU Countries

Gabrisch, Hubert - 2014

The Euro Plus Pact was approved by 23 EU countries in March 2011 and came into force shortly afterwards. The Pact stipulates a range of quantitative targets meant to strengthen cost competitiveness with the aim of preventing the accumulation of external financial imbalances. This paper uses...

Persistent link: https://www.econbiz.de/10013058551

Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...

Persistent link: https://www.econbiz.de/10014076665

Modelling Global Trade Flows : Results from a GVAR Model

Bussière, Matthieu - 2015

various scenarios, such as an output shock in the United States, a shock to the US real effective exchange rate and shocks to …) shock to US output than to a real effective depreciation of the dollar. In addition, the model can be used to monitor trade …

Persistent link: https://www.econbiz.de/10013039364

Are Asset Price Data Informative About News Shocks? A DSGE Perspective

Iskrev, Nikolay I. - 2018

Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...

Persistent link: https://www.econbiz.de/10012916362