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  1. New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks
    Autor*in: Lukmanova, Elizaveta; Rabitsch, Katrin
    Erschienen: [2018]
    Verlag:  KU Leuven, Department of Economics, Leuven

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    Sprache: Englisch
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    Schriftenreihe: Discussion paper series / KU Leuven, Department of Economics ; DPS18, 13 (November 2018)
    Schlagworte: Monetary policy; Neo-Fisher effect; Time-varying inflation target; DSGE; VAR
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  2. Household debt, consumption and inequality
    Autor*in: Bahadir, Berrak; De, Kuhelika; Lastrapes, William Dean
    Erschienen: December 12, 2020
    Verlag:  Florida International University, Department of Economics, [Miami, FL]

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    Schriftenreihe: Working papers / Florida International University, Department of Economics ; 2011
    Schlagworte: Credit constraints; credit shocks; income distribution; VAR; Gini coefficient; local projections
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  3. Macroeconomic effects of EU value chain participation
    Autor*in: Camarero Olivas, Mariam; Lopez Villavicencio, Antonia; Tamarit Escalona, Cecilio R.
    Erschienen: [2021]
    Verlag:  EconomiX - UMR7235, Université Paris Nanterre, Nanterre

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    Schriftenreihe: Working paper / EconomiX ; 2021, 12
    Schlagworte: Global Value Chains; EU; local projections; VAR
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  4. The effect of legislated tax changes on the trade balance
    empirical evidence for the United States, Germany, and the United Kingdom
    Autor*in: Hayo, Bernd; Mierzwa, Sascha
    Erschienen: [2021]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    Using a narrative account of quarterly discretionary changes in tax liabilities from 1974Q4 to 2018Q2 in a VAR setting, we study whether legislative tax changes affect the trade balance in the United States, Germany, and the United Kingdom. As... mehr

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    Using a narrative account of quarterly discretionary changes in tax liabilities from 1974Q4 to 2018Q2 in a VAR setting, we study whether legislative tax changes affect the trade balance in the United States, Germany, and the United Kingdom. As legislative tax changes we consider (i) all changes, (ii) personal income tax changes, (iii) business tax changes, (iv) indirect tax changes in Germany and the UK, (v) spillovers of US tax changes into Germany and the UK, and (vi) asymmetric reactions after tax hikes and cuts. Generally, we find that after a reduction in aggregated tax liabilities, imports and exports in the US and Germany react quite similarly: imports tend to rise; exports do not change much. Consequently and fostered by growing output - the net-exports-to-GDP ratio decreases. We find no clear net effect in the UK. Instead, UK imports only increase after cuts to indirect taxes. However, employing normal variations of the tax changes as a yardstick, the economic magnitude of the estimated effects on the trade variables is not particularly large. Thus, there remain doubts as to whether tax policy is an effective instrument for addressing trade imbalances.

     
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    hdl: 10419/234857
    Auflage/Ausgabe: This version: 27 January 2021
    Schriftenreihe: Joint discussion paper series in economics ; no. 2021, 03
    Schlagworte: Fiscal policy; tax policy; legislated tax changes; trade balance; exports; imports; Germany; United Kingdom; United States; VAR; narrative approach
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. The macroeconomic effects of government spending shocks in New Zealand
    Autor*in: Lyu, Yifei
    Erschienen: June 2021
    Verlag:  New Zealand Treasury, Wellington

    This paper estimates the macroeconomic effects of government spending shocks in New Zealand. Using a structural vector autoregression (SVAR) model, I find small output multipliers for government consumption but large multipliers for government... mehr

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    This paper estimates the macroeconomic effects of government spending shocks in New Zealand. Using a structural vector autoregression (SVAR) model, I find small output multipliers for government consumption but large multipliers for government investment. Importantly, the real exchange rate appreciates after positive government spending shocks, consistent with classic theory. Private consumption and private investment decrease after government consumption shocks, but increase after government investment shocks. I show that selecting the appropriate series for government investment is important to estimating its effects.

     
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    hdl: 10419/268085
    Schriftenreihe: New Zealand Treasury working paper ; 21, 02
    Schlagworte: government consumption; government investment; New Zealand; multiplier; VAR
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  6. News shocks under financial frictions
    Autor*in: Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco
    Erschienen: October 2020
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2020, 94 (October 2020)
    Schlagworte: News shocks; Business cycles; DSGE; VAR; Bayesian estimation
    Umfang: 1 Online-Ressource (circa 99 Seiten), Illustrationen
  7. Current account targeting hypothesis versus twin deficit hypothesis
    the EMU experience of Portugal
    Autor*in: Afonso, António; Coelho, José Carlos
    Erschienen: 2021
    Verlag:  ifo Institute, Munich, Germany

    We study the relationship between the government budget balance and the current account balance for Portugal, using quarterly data from 1999 to 2019. On the one hand, the causality tests find a unidirectional relation running from the current account... mehr

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    We study the relationship between the government budget balance and the current account balance for Portugal, using quarterly data from 1999 to 2019. On the one hand, the causality tests find a unidirectional relation running from the current account balance to the government budget balance. On the other hand, IV estimations show a bi-directional relationship between these variables, and the existence of a bilateral relationship between the structural components of both balances. Even so, the policy implication is that the use of fiscal policy to correct the external imbalance, especially in an economic crisis, is not substantial, due to the small size of the estimated impact. In addition, with an ARDL model, we find a negative long run relationship between the share of public consumption on GDP and the current account balance. As expected, the variation of real public consumption produces an adverse accumulated response on the current account balance. Finally, the investment rate negatively affects the cyclical component of the current account balance and contributes to the structural improvement of the budget balance.

     
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    hdl: 10419/236735
    Schriftenreihe: EconPol working paper ; vol. 5, 68 (2021, July)
    Schlagworte: budget balance; external balance; current account targeting hypothesis; twin deficits; government consumption; ARDL; causality; VAR; Portugal
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  8. You'll never walk alone
    Porträts, Storys und Denkanstöße aus der Fußballwelt
    Beteiligt: Scheuermann, Andreas (Herausgeber); Orth, Harald (Herausgeber)
    Erschienen: 2024
    Verlag:  Brunnen, Gießen

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  9. How do fiscal and technology shocks affect real exchange rates? : New evidence for the United States
    Autor*in: Enders, Zeno; Müller, Gernot J.; Scholl, Almut
    Erschienen: 2008
    Verlag:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  10. Confidence as a driver of private investment in selected countries of Central America
    Autor*in: Janada, Carlos Alfredo; Teodoru, Iulia Ruxandra
    Erschienen: December 2020
    Verlag:  International Monetary Fund, [Washington, DC]

    This paper argues that structural weaknesses may make private investment particularly sensitive to business confidence relative to other traditional investment drivers and global shocks. It gauges the importance of confidence over recent years in... mehr

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    This paper argues that structural weaknesses may make private investment particularly sensitive to business confidence relative to other traditional investment drivers and global shocks. It gauges the importance of confidence over recent years in selected countries in Central America, including Costa Rica, the Dominican Republic, El Salvador, and Guatemala. Using a vector error correction model to carry out the empirical work, a system representing global activity and the domestic economy, including a set of investment drivers (interest rates, unit labor costs, and confidence) is analyzed. The findings suggest that confidence has been, on average, the most important driver of investment in these countries, exceeded only by global factors. Since confidence, arguably, can be influenced by policymakers' decisions, structural reforms to improve the business climate and reduce uncertainty play an important role in promoting investment and economic growth

     
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    Quelle: Staatsbibliothek zu Berlin
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    ISBN: 9781513563275
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    Schriftenreihe: IMF working paper ; WP/20, 270
    Schlagworte: determinants of investment; confidence; uncertainty; VAR; VECM; Confidence; Determinants Of Investment; Uncertainty; VAR; VECM
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  11. News shocks under financial frictions
    Autor*in: Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco
    Erschienen: June 23, 2016
    Verlag:  [University of Glasgow, Adam Smith Business School], [Glasgow]

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    Schriftenreihe: [Discussion papers / University of Glasgow, Adam Smith Business School ; 2016, 15]
    Schlagworte: News shocks; Business cycles; DSGE; VAR; Bayesian estimation
    Umfang: 1 Online-Ressource (circa 89 Seiten), Illustrationen
  12. Testing the causality between electricity consumption, energy use and education in Africa
    Erschienen: 2014
    Verlag:  William Davidson Inst., Ann Arbor, Mich.

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    Weitere Identifier:
    hdl: 2027.42/132984
    Schriftenreihe: William Davidson Institute working papers ; 1084
    Schlagworte: Education; Energy use; Electricity consumption; Education for All; VAR
    Umfang: Online-Ressource (27 S.), graph. Darst.
  13. Uninsurable risk and the determination of real interest rates
    an investigation using UK indexed bonds
    Autor*in: Barr, David G.; Basu, Parantap; Wada, Kenji
    Erschienen: 2012
    Verlag:  Columbia Business School, Center on Janapese Economy and Business, New York, NY

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    Weitere Identifier:
    hdl: 10022/AC:P:13273
    Schriftenreihe: Working paper series ; 305
    Schlagworte: uninsurable consumption risk; incomplete market; inflation indexed bond; impulse response; VAR
    Umfang: Online-Ressource (37 S.)
  14. Do contractionary monetary policy shocks expand shadow banking?
    Autor*in: Nelson, Benjamin F.; Pinter, Gabor; Theodoridis, Konstantinos
    Erschienen: 2015
    Verlag:  Bank of England, London

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    Schriftenreihe: Working paper / Bank of England ; 521
    Schlagworte: Monetary policy; financial intermediaries; shadow banking; VAR; DSGE
    Umfang: Online-Ressource (44 S.), graph. Darst.
  15. Econometric models of climate systems
    the equivalence of two-component energy balance models and cointegrated VARs
    Autor*in: Pretis, Felix
    Erschienen: 2015
    Verlag:  Univ. of Oxford, Dep. of Economics, Oxford

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    Sprache: Englisch
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    Schriftenreihe: Department of Economics discussion paper series / University of Oxford ; 750
    Schlagworte: Cointegration; VAR; Climate; Energy Balance
    Umfang: Online-Ressource (34 S.), graph. Darst.
  16. The aggregate and country-specific effectiveness of ECB policy
    evidence from an external instruments (VAR) approach : fellowship initiative “Challenges to Integrated Markets”
    Autor*in: Hafemann, Lucas; Tillmann, Peter
    Erschienen: 2017
    Verlag:  Publications Office of the European Union, Luxembourg

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    Sprache: Englisch
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    Format: Online
    ISBN: 9789279649172
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    Schriftenreihe: Array ; 063 (July 2017)
    Schlagworte: Geldpolitik; Geldpolitische Transmission; Schock; Kreditmarkt; Finanzmarkt; VAR-Modell; EU-Staaten; Euro area; VAR; external instrument; local projections; monetary
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  17. The financial market effects of the ECB's balance sheet policies
    Autor*in: Lewis, Vivien; Roth, Markus
    Erschienen: [2015]
    Verlag:  KU Leuven, Center for Economic Studies, Faculty of Economics and Business, Leuven

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    Schriftenreihe: Discussion paper series / KU Leuven, Center for Economic Studies ; DPS15, 20 (October 2015)
    Schlagworte: Balance sheet; unconventional monetary policy; central bank; shock identification; VAR
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  18. Does partisan conflict impact the cash holdings of firms?
    a sign restrictions approach
    Autor*in: Hankins, William B.; Cheng, Chak Hung Jack; Chiu, Ching Wai Jeremy; Stone, Anna-Leigh
    Erschienen: December 2016
    Verlag:  Bank of England, [London]

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    Schriftenreihe: Staff working paper / Bank of England ; no. 638
    Schlagworte: Partisan conflict; cash holdings; economic policy uncertainty; VAR; sign restrictions
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  19. The macroeconomic shock with the highest price of risk
    Autor*in: Pinter, Gabor
    Erschienen: September 2016
    Verlag:  Bank of England, [London]

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    Schriftenreihe: Staff working paper / Bank of England ; no. 616
    Schlagworte: Stock returns; VAR; identification; shocks; technology news; monetary policy
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  20. Economic growth and public and private investment returns
    Autor*in: Afonso, António; St. Aubyn, Miguel
    Erschienen: 2016
    Verlag:  ISEG - School of Economics and Management, Department of Economics, University of Lisbon, Lisbon

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    hdl: 10400.5/12026
    Schriftenreihe: Working papers / ISEG, School of Economics and Management, Department of Economics ; WP 2016, 14 DE/UECE
    Schlagworte: fiscal policy; public investment; private investment; impulse response functions; VAR
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  21. Markups' cyclical behavior
    the role of demand and supply shocks
    Autor*in: Afonso, António; Jalles, João Tovar
    Erschienen: February 2015
    Verlag:  ISEG - School of Economics and Management, Department of Economics, University of Lisbon, Lisbon

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    hdl: 10400.5/8613
    Schriftenreihe: Working papers / ISEG, School of Economics and Management, Department of Economics ; WP 2015, 08 DE/UECE
    Schlagworte: Blanchard-Quah; mark-up; VAR; impulse response function; local projection
    Umfang: 1 Online-Ressource (circa 9 Seiten), Illustrationen
  22. What are the macroeconomic effects of high-frequency uncertainty shocks?
    Autor*in: Ferrara, Laurent; Guérin, Pierre
    Erschienen: 2015
    Verlag:  Univ. de Paris Ouest Nanterre La Défense, Nanterre

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    Schriftenreihe: Document de travail / EconomiX ; 2015-12
    Schlagworte: MIDAS model; Mixed-frequency; VAR; Uncertainty
    Umfang: Online-Ressource (30 S.), graph. Darst.
  23. Productivity and firm dynamics over the business cycle
    Autor*in: Assefa, Abraham; Lapitskaya, Darya; Uusküla, Lenno
    Erschienen: 2022
    Verlag:  The University of Tartu FEBA, Tartu

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    ISBN: 9789985413180
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    hdl: 11159/8719
    Schriftenreihe: [Working paper series] / University of Tartu, Faculty of Social Sciences, School of Economics and Business Administration ; no. 141
    Schlagworte: VAR; DSGE; Firm dynamics; Productivity; Firm turnover; Technology shocks; Investment specific technology shocks
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  24. The econometrics of global warming
    Autor*in: Razzak, Weshah A.
    Erschienen: [2022]
    Verlag:  EERI, Economics and Econometrics Research Institute, Brussels, Belgium

    Evidence-based policy of global warming is best relying on a relevant sample of data. We choose a sample of annual data from 1959 to-date to provide some statistically robust stylized facts about the relationships between actual CO2 and temperature.... mehr

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    Evidence-based policy of global warming is best relying on a relevant sample of data. We choose a sample of annual data from 1959 to-date to provide some statistically robust stylized facts about the relationships between actual CO2 and temperature. Visually, there is a clear upward trend in both data. Time series analyses suggest that CO2 is difference-stationary and temperature is trend-stationary. Thus, the moments (mean, variance, etc.) of the data in levels are functions of time, which means that the correlation between the two variables may be spurious. Most importantly is that the variance of CO2 (and all greenhouse gases) are significantly smaller than the variance of temperature, hence they cannot explain the variations in temperature. We find no statistically robust evidence of correlation, long run co-variation, long run common trend, or common cycles between CO2 and temperature over a period of 60 years. Nonetheless, at most 40 percent of the variance of the Northern Hemisphere temperature is due to , 20 percent of the Southern Hemisphere, and much less of global temperature.

     
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    hdl: 10419/273049
    Schriftenreihe: EERI research paper series ; no 2022, 06
    Schlagworte: Econometrics of unit root; trend; cycle; VAR; temperature; global warming; CO2; greenhouse gasses; fossil fuel consumption
    Umfang: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  25. Demand shocks vs. supply shocks
    which shocks matter more in income and price inequality?
    Autor*in: Hwang, Seolwoong; Lee, Kwangwon; Yim, Geunhyung
    Erschienen: 2022. 2
    Verlag:  Bank of Korea, Seoul, Korea

    This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in Blanchard... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 629
    Fernleihe:
    keine Fernleihe

     

    This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in Blanchard and Quah (1989) and Bashar (2011). In addition, several income distribution indices are calculated, and a relative consumer price index by income class is calculated. The effects of extracted shocks on the distribution index of income and the relative consumer price index are analyzed using a local projection model. The results reveal that both negative supply and demand shocks significantly worsen the income distribution. It is estimated that the effect of the demand shock is long-lasting. In contrast to this, a supply shock worsens the index in the short-term and has a short duration. In addition, negative supply and demand shocks are estimated to increase relative consumer prices for the lower income groups, exacerbating inequality in the price aspect. However, overall it is difficult to identify a clear difference in the effects of the two types of shock

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: BOK working paper ; no. 2022, 6
    Schlagworte: Demand Shock; Supply Shock; Income Inequality; Price Inequality; Long Run Restriction; VAR; Local Projection
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen