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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

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

Global Impacts of Us Monetary Policy Uncertainty Shocks

Lastauskas, Povilas; Minh, Anh - 2021

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

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

The Impact of Monetary Policy Shocks on Commodity Prices

Anzuini, Alessio - 2010

empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in … overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock …

Persistent link: https://www.econbiz.de/10013139795

Profit Dynamics Across the Largest Euro Area Countries and Sectors

Maurin, Laurent - 2011

(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

Bayesian Analysis of Recursive SVAR Models with Overidentifying Restrictions

Kociecki, Andrzej - 2012

The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive …

Persistent link: https://www.econbiz.de/10013097952

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

reduced-form vector autoregressive (VAR) models. The long-span data sets make it possible to estimate VAR models of a higher … dimension than is usually found in the literature due to degrees-of-freedom problems. The results from the VAR analysis indicate … 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

Financial Structures and the Real Effects of Credit-Supply Shocks in Denmark 1922-2011

Abildgren, Kim - 2012

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