We approximate the finite-sample distribution of impulse response function (IRF) estimators that are just-identified with a weak instrument using the conventional local-to-zero asymptotic framework. Since the distribution lacks a mean, we assess bias using the mode and conclude that researchers...

This paper studies the macroeconomic effects of global copper supply shocks. We identify exogenous disruptions to copper supply using a Bayesian structural VAR of the world copper market that combines sign and narrative restrictions. We then trace the international transmission of the identified...

Directed acyclic graphs (DAGs) provide a transparent framework for encoding causal structures and identifying causal effects. This paper demonstrates how DAGs help specify local projections (LPs) for estimating causal impulse responses. Examples illustrate how graphical rules can be used to...

In recent years, because of the 2008 financial crisis and the evolution of the sovereign debt markets, there has been a significant increase in interest in understanding the factors that determine the risk premium, becoming a key indicator of the financial stability of countries, and a measure...

This research aims to explain the role of food processing in improving the sustainability of food security under the framework of 'Goal 2' associated with the Sustainable Development Goals (SDGs). The research methodology relied on descriptive and quantitative analysis methods, where the VAR...

Interest in empirical studies of monetary policy has grown over the past decade, and particularly since the post COVID-19 pandemic period characterized by a surge in inflation rates in every corner of the globe. Against this backdrop, central banks' traditional inflation forecast framework has...

This paper investigates the macroeconomic impacts of structural oil price shocks by employing a Global Vector Autoregression (GVAR) framework, utilizing the structural shocks as identified by Baumeister and Hamilton (2019). Our analysis differentiates among three types of oil shocks: economic...

This study focusses on the transmission of carbon pricing mechanisms in shaping trade dynamics between the Eurozone and key partners: the USA and China. Using Bayesian variable selection methods and a Time-Varying Structural Vector Autoregressions (TV-SVAR) model, the research identifies the key...

Do temporary aggregate demand shocks have lasting effects, and are they asymmetric between contractions and expansions? Using U.S. data from 1983:Q1-2019:Q4, we identify demand shocks with potential long-run consequences via a Bayesian SVAR and trace their propagation with nonlinear local...

Identifying the causal effects of monetary policy is challenging due to the endogeneity of policy decisions. In recent years, high-frequency monetary policy surprises have become a popular identification strategy. To serve as a valid instrument, monetary policy surprises must be correlated with...

To estimate the impact of disagreement about expected inflation on the transmission of monetary policy in the Czech Republic, this article makes three novel contributions to the literature. First, we reconstruct a series of inflation expectations and calculate their disagreement from qualitative...

This paper investigates the effectiveness of macroprudential policy across different phases of macro-financial cycles. Utilizing a panel threshold vector autoregression (PT-VAR) model, the study evaluates the asymmetric impacts of capital-based and borrower-based regulatory tools under varying...

We examine how the macroeconomic effects of temperature shocks have evolved in the United States since 1947. Using a time-varying parameter vector autoregression with stochastic volatility estimated on monthly data, we document a structural shift in the propagation of temperature shocks. Before...

We examine how labor market institutions shape monetary policy transmission in euro area countries. A theoretical model suggests that higher union density flattens the Phillips curve, amplifying output responses while dampening the inflation effects of monetary shocks. This is empirically...