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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
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
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10013243822
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
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock …
Persistent link: https://www.econbiz.de/10013139795
(a demand shock, an employment shock, a wage and price mark-up shocks). In addition, it provides the shock decomposition …
Persistent link: https://www.econbiz.de/10013117688
The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to elicit the prior on the non-zero...
Persistent link: https://www.econbiz.de/10013097952
a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …
Persistent link: https://www.econbiz.de/10013102102
We examine the real effects of credit-supply shocks using a series of structural vector autoregressive models estimated on the basis on a new quarterly data set for Denmark spanning the past 90 years or so. We find no effects on the unemployment level from supply shocks to credit from...
Persistent link: https://www.econbiz.de/10013102107
Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...
Persistent link: https://www.econbiz.de/10013159237