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Title:Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity Author(s):NETŠUNAJEV, AlekseiDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/13Abstract:The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...

Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D. EUI affiliated

Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...

Title:Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut EUI affiliated

Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...

Title:Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/29Abstract:This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...

Title:Structural Vector Autoregressions with Markov Switching Author(s):LANNE, Markku; LUETKEPOHL, Helmut EUI affiliated

; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract:Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...

Title:Factor-Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/15Abstract:This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...

Title:Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis Author(s):LANNE, Markku; LUETKEPOHL, Helmut EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/29Abstract:The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...

Title:S-Curve Redux: On the International Transmission of Technology Shocks Author(s):ENDERS, Zeno; MÜLLER, Gernot J.Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/36Abstract:Using vector autoregressions on U.S. time series, we find that technology shocks induce an ‘S’- shaped cross-correlation function for the trade balance and the terms of trade (S-curve). In calibrating a prototypical ...

Title:Business Cycle Analysis and VARMA Models Author(s):KASCHA, Christian; MERTENS, KarelDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/37Abstract:An important question in empirical macroeconomics is whether structural vector autoregressions (SVARs) can reliably discriminate between competing DSGE models. Several recent papers have sug- gested that one reason SVARs ...

Title:Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries Author(s):CORSETTI, Giancarlo EUI affiliated

; DEDOLA, Luca; LEDUC, SylvainDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/39Abstract:This paper investigates the international transmission of productivity shocks in a sample of ve G7 countries. For each country, using long-run restrictions, we identify shocks that increase permanently domestic labor ...

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