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  1. The macroeconomic effects of global supply chain disruptions
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2023]
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 464
    Fernleihe:
    keine Fernleihe

     

    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables with data from international container trade. Using a novel identification scheme, we augment conventional sign restrictions on the impulse responses by narrative information about three episodes: the Tohoku ¯ earthquake in 2011, the Suez Canal obstruction in 2021, and the Shanghai backlog in 2022. We show that a global supply chain shock causes a drop in euro area real economic activity and a strong increase in consumer prices. Over a horizon of one year, the global supply chain shock explains about 30% of inflation dynamics. We also use regional data on supply chain pressure to isolate shocks originating in China. Our results show that supply chain disruptions originating in China are an important driver for unexpected movements in industrial production, while disruptions originating outside China are an especially important driver for the dynamics of consumer prices.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/268227
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 178 (2023)
    Schlagworte: Container Trade; Supply Chain; Inflation; Narrative Identification; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  2. (Almost) recursive identification of monetary policy shocks with economic parameter restrictions
    Autor*in: Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: [2023]
    Verlag:  Universität Trier, Trier

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 434
    Fernleihe:
    keine Fernleihe

     

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization problem under non-linear constraints using an augmented Lagrange solution approach, which adjusts the VAR coefficients to meet the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to the parameter restrictions. Based on a Monte Carlo study and an empirical application, we show that particularly the "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/274112
    Auflage/Ausgabe: First Draft: January 9, 2023
    Schriftenreihe: Research papers in economics ; no. 23, 1
    Schlagworte: Monetary Policy Transmission; Non-Linear Optimization; Price Puzzle; Recursive Identification; Rotation; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 30 Seiten)
  3. Is deflation ause for panic?
    evidence from the national banking era
    Autor*in: Pender, Casey
    Erschienen: August 16, 2023
    Verlag:  Carleton University, Department of Economics, Ottawa, Ontario, Canada

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 429
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Carleton economics working papers ; CEWP 23, 04
    Schlagworte: Bank Panics; Deflation; U.S. Monetary History; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen