- Assessing Macroeconomic Tail Risk
2024/07/09 by Francesca Loria, Christian Matthes, Donghai Zhang · 1 citation
Economics, Econometrics and Finance · Mathematics · #Asymmetry #Autoregressive model #Econometrics #Economics #Energy, Environment, Economic Growth #Industrial production #Macroeconomics #Market Dynamics and Volatility #Matching (statistics) #Mathematics #Monetary Policy and Economic Impact #Monetary economics #Quantile #Shock (circulatory) #Statistics #Vector autoregression
- Sources of Economic Policy Uncertainty in the euro area
2023/01/16 by Andrés Azqueta-Gavaldón, Dominik Hirschbühl, Luca Onorante +2 · 4 citations
Economics, Econometrics and Finance · #Consumption (sociology) #Economic policy #Economics #Energy, Environment, Economic Growth #Fiscal policy #International economics #Investment (military) #Macroeconomics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Monetary economics #Political science #Politics #Private consumption #Vector autoregression
- Measuring labor supply and demand shocks during COVID-19
2021/09/15 by Pedro Brinca, Joao B. Duarte, João B. Duarte +1 · 25 citations
Economics, Econometrics and Finance · Health Professions · Mathematics · #Aggregate demand #Bayesian probability #Bayesian vector autoregression #COVID-19 Pandemic Impacts #COVID-19 epidemiological studies #Coronavirus disease 2019 (COVID-19) #Demand shock #Econometrics #Economics #Employment and Welfare Studies #Labor demand #Labour economics #Macroeconomics #Monetary economics #Monetary policy #Statistics #Structural vector autoregression #Supply and demand #Supply shock #Vector autoregression #Wage
- The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements
2021/03/30 by Diego R. Känzig · 14 citations
Economics, Econometrics and Finance · #Economics #Energy, Environment, Economic Growth #Exchange rate #Finance #Inflation (cosmology) #Liberian dollar #Macroeconomics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #Oil price #Oil supply #Production (economics) #Shock (circulatory) #Supply shock #Us dollar #Vector autoregression
- STATE DEPENDENCE IN LABOR MARKET FLUCTUATIONS
2020/03/30 by Carlo Pizzinelli, Konstantinos Theodoridis, Francesco Zanetti · 1 citation
Economics, Econometrics and Finance · Mathematics · #Aggregate (composite) #Computer science #Econometrics #Economic theories and models #Economics #Firm Innovation and Growth #Labor market dynamics and wage inequality #Labour economics #Macroeconomics #Mathematics #Productivity #Reservation #Separation (statistics) #Standard deviation #Statistics #Unemployment #Unemployment rate #Vector autoregression
- THE PROPAGATION OF UNCERTAINTY SHOCKS: ROTEMBERG VERSUS CALVO
2020/03/25 by Joonseok Oh · 2 citations
Economics, Econometrics and Finance · #Econometrics #Economic theories and models #Economics #Inflation (cosmology) #Keynesian economics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #New Keynesian economics #Physics #Structural vector autoregression #Vector autoregression
- Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
2019/05/01 by Christiane Baumeister, James D. Hamilton · 34 citations
Economics, Econometrics and Finance · Energy · #Bayesian inference #Bayesian probability #Bayesian vector autoregression #Computer science #Demand shock #Econometrics #Economics #Energy, Environment, and Transportation Policies #Identification (biology) #Inference #Lag #Macroeconomics #Market Dynamics and Volatility #Microeconomics #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #Oil price #Structural vector autoregression #Supply and demand #Supply shock #Vector autoregression
- HOW IMPORTANT ARE TERMS‐OF‐TRADE SHOCKS?
2017/11/29 by Stephanie Schmitt‐Grohé, Martín Uribe, Martı́n Uribe · 5 citations
Economics, Econometrics and Finance · #Aggregate (composite) #Business cycle #Econometrics #Economic Policies and Impacts #Economics #Emerging markets #Global Financial Crisis and Policies #Macroeconomics #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #Structural vector autoregression #Vector autoregression
- Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries
2015/02/12 by Hem C. Basnet, Kamal P. Upadhyaya · 5 citations
Economics, Econometrics and Finance · Energy · #Cointegration #Econometrics #Economics #Energy, Environment, and Transportation Policies #Exchange rate #Impulse response #Inflation (cosmology) #Macroeconomics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Monetary economics #Oil price #Variance decomposition of forecast errors #Vector autoregression
- Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data
2009/02/01 by Jean Boivin, Marc P Giannoni, Marc Giannoni +1 · 9 citations
Economics, Econometrics and Finance · #Econometrics #Economic theories and models #Economics #Flexibility (engineering) #Macroeconomic model #Macroeconomics #Market Dynamics and Volatility #Microeconomics #Monetary Policy and Economic Impact #Monetary economics #Monetary policy #Price setting #Structural vector autoregression #Vector autoregression
- Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
2007/05/01 by Frank Smets, Rafael Wouters · 64 citations
Economics, Econometrics and Finance · #Bayes estimator #Bayesian inference #Bayesian probability #Bayesian vector autoregression #Business cycle #Dynamic stochastic general equilibrium #Econometrics #Economic theories and models #Economics #Great Moderation #Inflation (cosmology) #Macroeconomics #Market Dynamics and Volatility #Monetary Policy and Economic Impact #Monetary policy #Statistics #Vector autoregression
- Bayesian Methods for Dynamic Multivariate Models
1998/11/01 by Christopher A. Sims, Tao Zha · 16 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Artificial intelligence #Autoregressive model #Bayesian inference #Bayesian probability #Bayesian vector autoregression #Computer science #Econometrics #Economics #Forecasting Techniques and Applications #Machine learning #Monetary Policy and Economic Impact #Multivariate statistics #Statistical Methods and Inference #Vector autoregression