75 research outputs found
Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns
Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
Monetary Policy Shocks, Set-identifying Restrictions, and Asset Prices: A Benchmarking Approach for Analyzing Set-identified Models
Identification of Financial Factors in Economic Fluctuations
We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second step we disentangle shocks originating in the housing sector, shocks originating in credit markets and uncertainty shocks. In the extended set-up financial shocks are even more important and a leading role is played by housing shocks that have large and persistent effects on output.publishedVersio
Projecting the Medium-Term: Outcomes and Errors for GDP Growth
The focus of this paper is the evaluation of a very popular method for potential output estimation and medium-term forecasting - the production function approach - in terms of predictive performance. For this purpose, a forecast evaluation for the three to five years ahead predictions of GDP growth for the individual G7 countries is conducted. To carry out the forecast performance check a particular testing framework is derived that allows the computation of robust test statistics given the specific nature of the generated out-of sample forecasts. In addition, medium-term GDP projections from national and international institutions are examined and it is assessed whether these projections convey a reliable view about future economic developments and whether there is scope for improving their predictive content
Photosynthetic pigments as biomarkers oof phytoplankton populations and processes involved in the transformation of particulate organic matter at the Biotrans site (47°N, 20°W)
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