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Credit shocks and macroeconomic fluctuations in emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013

In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...

Persistent link: https://www.econbiz.de/10009754529

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

Great recession, slow recovery and muted fiscal policies in the US

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate …

Persistent link: https://www.econbiz.de/10011434680

Uncertainty Shocks and Asymmetric Dynamics in Korea : A Nonlinear Approach

Larcher, Kevin - 2018

This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When...

Persistent link: https://www.econbiz.de/10012920628

The drivers of inflation in Korea : insights from a small open DSGE model

Kim, Kyunghun - In: East Asian economic review 29 (2025) 1, pp. 41-76

This study analyzes the drivers of inflation in South Korea using a Dynamic Stochastic General Equilibrium (DSGE) model tailored to the characteristics of Korea as a small open economy. Employing quarterly data from 1999Q2 to 2023Q2, Bayesian estimation is used to estimate Korea-specific...

Persistent link: https://www.econbiz.de/10015418135

Towards technology-news-driven business cycles

Di Casola, Paola; Sichlimiris, Spyridon - 2018

We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U ….S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption … technological innovations reduce inflation. The technology news shock became the predominant source of the business cycle from the …

Persistent link: https://www.econbiz.de/10011930326

Time use and macroeconomic uncertainty

Cacciatore, Matteo; Gnocchi, Stefano; Hauser, Daniela - 2023 - Last updated: May 30, 2023

recessionary effects of uncertainty and can result in aggregate dynamics consistent with a supply-side shock. …

Persistent link: https://www.econbiz.de/10014287049

Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

Macroeconomic shocks and racial labour market differences in the U.S.

De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...

Persistent link: https://www.econbiz.de/10012157899

Monetary policy shocks and business cycle fluctuations in a small open economy : Sweden 1986-2002

Lindé, Jesper - 2003

quarterly inflation rate in the empirical analysis. After a monetary policy shock, the impulse response functions for output and …

Persistent link: https://www.econbiz.de/10011583586