Showing 1 - 10 of 106
Persistent link: https://www.econbiz.de/10009710496
This paper carries out a systematic investigation into the possibility of structural shifts in the UK economy using a Markov-switching dynamic stochastic general equilibrium (DSGE) model. We find strong evidence for shifts in the structural parameters of several equations of the DSGE model. In...
Persistent link: https://www.econbiz.de/10013139868
A growing literature has documented changes to the dynamics of key macroeconomic variables in industrialized countries and highlighted the possibility that these variables may react differently to structural shocks over time. However, existing empirical work on the international transmission of...
Persistent link: https://www.econbiz.de/10013124529
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10014403955
Persistent link: https://www.econbiz.de/10003321374
Persistent link: https://www.econbiz.de/10009693569
Persistent link: https://www.econbiz.de/10003384599
Persistent link: https://www.econbiz.de/10003391476
The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the policy debate. This paper proposes a theoretically consistent identification strategy using...
Persistent link: https://www.econbiz.de/10013136458
Persistent link: https://www.econbiz.de/10003844249