Showing 1 - 10 of 16
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … the unemployment rate displays time-varying volatility and skewness, with peaks coinciding with the Global Financial … risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation …
Persistent link: https://www.econbiz.de/10014362647
Persistent link: https://www.econbiz.de/10013264907
The large majority of the work published on firm investment is done in the neoclassical frame of a rational optimizing firm attempting to achieve optimal size. While this frame addresses one important consideration in firm investment, it has two important shortcomings that this paper will...
Persistent link: https://www.econbiz.de/10012581594
a latent mortality variable and of unemployment and GDP growth as main business cycle indicators. We find that young … the other age classes between childhood and old age react with lower mortality to increased unemployment or decreased GDP …
Persistent link: https://www.econbiz.de/10005678021
This paper proposes a Skewed Stochastic Volatility (SSV) model to model time varying, asymmetric forecast distributions to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth". In contrary to their semi-parametric approach, the SSV...
Persistent link: https://www.econbiz.de/10012807854
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional...
Persistent link: https://www.econbiz.de/10010263594
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011449879
Hand-to-mouth consumers and Edgeworth complementarity between private consumption and public expenditures are two competing mechanisms that were put forward by the literature to investigate the effects of government spending. Using Bayesian prior and posterior analysis and several econometric...
Persistent link: https://www.econbiz.de/10011085469
Hand-to-mouth consumers and Edgeworth complementarity between private consumption and public expenditures are two competing mechanisms that were put forward by the literature to investigate the effects of government spending. Using Bayesian prior and posterior analysis and several econometric...
Persistent link: https://www.econbiz.de/10011086700