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Title:The propagation of uncertainty shocks : Rotemberg vs. Calvo Author(s):OH, Joonseok
Date:2019Type:Working PaperSeries/Number:EUI ECO; 2019/01Abstract:This paper studies the effects of uncertainty shocks on economic activity, focusing on inflation. Using a VAR, I show that increased uncertainty has negative demand effects, reducing GDP and prices. I then consider standard ...
Date:2019Type:Working PaperSeries/Number:EUI ECO; 2019/01Abstract:This paper studies the effects of uncertainty shocks on economic activity, focusing on inflation. Using a VAR, I show that increased uncertainty has negative demand effects, reducing GDP and prices. I then consider standard ...
Title:Vector autoregressive models Author(s):LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Title:Endogenous Monetary Policy Regimes and the Great Moderation Author(s):GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract:This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract:This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the ...
Title:Path Forecast Evaluation Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/34Abstract: error bands, based on the collection of marginal predictive densities for each horizon, are vastly off mark. The paper showcases these methods with an application to the most recent monetary episode of interest rate hikes ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/34Abstract: error bands, based on the collection of marginal predictive densities for each horizon, are vastly off mark. The paper showcases these methods with an application to the most recent monetary episode of interest rate hikes ...
Title:Econometric Analysis with Vector Autoregressive Models Author(s):LUETKEPOHL, HelmutDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are
reviewed. Model specification and parameter estimation are discussed and various uses of
these models for forecasting and economic analysis ...
Title:Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries Author(s):CORSETTI, Giancarlo; 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 ...
; 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 ...
Title:Twin Deficits: Squaring Theory, Evidence and Common Sense Author(s):CORSETTI, Giancarlo; MÜLLER, Gernot J.Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/22
; MÜLLER, Gernot J.Date:2005Type:Working PaperSeries/Number:EUI ECO; 2005/22
Title:International Risk-Sharing and the Transmission of Productivity Shocks Author(s):CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, SylvainDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/22
; DEDOLA, Luca; LEDUC, SylvainDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/22