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Eigenvalue filtering in VAR models with application to the Czech business cycle

Beneš, Jaromír; Vávra, David - 2005

model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import … scheme to calculate the structural innovations. We test the results in a simple bootstrap simulation experiment. We find two …

Persistent link: https://www.econbiz.de/10011604595

Forecasting and stress testing with quantile vector autoregression

Chavleishvili, Sulkhan; Manganelli, Simone - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012142174

Monetary/fiscal policy regimes in post-war Europe

Bouabdallah, Othman; Jacquinot, Pascal; Patella, Valeria - 2023

inflation facts. Using a Dynamic Stochastic General Equilibrium model with Markov-switching policy rules, we identify three …

Persistent link: https://www.econbiz.de/10014543672

Low inflation and monetary policy in the euro area

Conti, Antonio M.; Neri, Stefano; Nobili, Andrea - 2017

Inflation in the euro area has been falling since mid-2013, turned negative at the end of 2014 and remained below … by means of sign restrictions, to inflation and economic activity. Shocks to oil supply do not tell the full story about … contractionary. A country analysis confirms that the negative effects of oil supply and monetary policy shocks on inflation was …

Persistent link: https://www.econbiz.de/10011606050

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

Low Inflation and Monetary Policy in the Euro Area

Conti, Antonio M. - 2017

Persistent link: https://www.econbiz.de/10012963915

Macroeconomic shocks in an oil market var

Melolinna, Marko - 2012

relevant in driving real oil prices, and had less of an effect on US inflation than demand shocks. Overall, the effects of oil …

Persistent link: https://www.econbiz.de/10011605477

Loan supply shocks and the business cycle

Gambetti, Luca; Musso, Alberto - 2012

to have a significant effect on economic activity and credit market variables, but to some extent also inflation, in all …

Persistent link: https://www.econbiz.de/10011605514

Loan Supply Shocks and the Business Cycle

Gambetti, Luca - 2012

to have a significant effect on economic activity and credit market variables, but to some extent also inflation, in all …

Persistent link: https://www.econbiz.de/10013101121

Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010

Abildgren, Kim - 2012

In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic...

Persistent link: https://www.econbiz.de/10013102102