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What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective

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Cited by:

  1. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market : How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland, Institute for Economies in Transition.
  2. Gianluigi Pelloni & Wolfgang Polasek, "undated". "Intersectoral Labour Reallocation and Employment Volatility: A Bayesian Analysis using a VAR-GARCH-M model," Discussion Papers 99/4, Department of Economics, University of York.
  3. Martin Geiger & Johann Scharler, 2018. "How do consumers interpret the macroeconomic effects of oil price fluctuations? Evidence from U.S. survey data," Working Papers 2018-13, Faculty of Economics and Statistics, Universität Innsbruck.
  4. Klug, Thorsten & Mayer, Eric & Schuler, Tobias, 2022. "The corporate saving glut and the current account in Germany," Journal of International Money and Finance, Elsevier, vol. 121(C).
  5. Uhlig, Harald, 2006. "Discussion of "The source of historical economic fluctuations: An analysis using long-run restrictions" by Neville Francis and Valerie A. Ramey," SFB 649 Discussion Papers 2006-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
  7. Cornand, Camille & Gandré, Pauline & Gimet, Céline, 2016. "Increase in home bias in the Eurozone debt crisis: The role of domestic shocks," Economic Modelling, Elsevier, vol. 53(C), pages 445-469.
  8. Thorsten Drautzburg, 2020. "A narrative approach to a fiscal DSGE model," Quantitative Economics, Econometric Society, vol. 11(2), pages 801-837, May.
  9. Bulat Gafarov & Madina Karamysheva & Andrey Polbin & Anton Skrobotov, 2024. "Wild inference for wild SVARs with application to heteroscedasticity-based IV," Papers 2407.03265, arXiv.org, revised Nov 2024.
  10. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
  11. Samad Sarferaz & Florian Eckert, 2019. "Agnostische Schätzung und Zerlegung von Produktionslücken," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 13(4), pages 27-36, December.
  12. Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
  13. Martin Geiger & Eric Mayer & Johann Scharler, 2020. "Inequality and the business cycle: evidence from U.S. survey data," Applied Economics, Taylor & Francis Journals, vol. 52(31), pages 3418-3435, June.
  14. Uhlig, H.F.H.V.S., 1996. "Bayesian Vector Autoregressions with Stochastic Volatility," Other publications TiSEM 4fd55395-6830-46a2-9d18-e, Tilburg University, School of Economics and Management.
  15. Chadha, Jagjit S. & Corrado, Luisa & Sun, Qi, 2010. "Money and liquidity effects: Separating demand from supply," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1732-1747, September.
  16. Pooyan Amir Ahmadi & Harald Uhlig, 2015. "Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks," NBER Working Papers 21738, National Bureau of Economic Research, Inc.
  17. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
  18. Nitin Arora & Deepika Malik & Rahul Arora, 2022. "Which Combination of Impossible Trinity Choices Ensures Output and Price Stabilities in India? A Sign‐Restricted Vector Autoregressive Analysis," Economic Papers, The Economic Society of Australia, vol. 41(3), pages 260-275, September.
  19. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  20. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2019. "Identification of Financial Factors in Economic Fluctuations," The Economic Journal, Royal Economic Society, vol. 129(617), pages 311-337.
  21. Carrillo-Maldonado, Paul & Díaz-Cassou, Javier, 2023. "An anatomy of external shocks in the Andean region," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  22. Rahaman, Ataur & Leon-Gonzalez, Roberto, 2021. "The effects of fiscal policy shocks in Bangladesh: An agnostic identification procedure," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 626-644.
  23. Martin Geiger & Johann Scharler, 2021. "How Do People Interpret Macroeconomic Shocks? Evidence from U.S. Survey Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 813-843, June.
  24. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
  25. Jagjit S. Chadha & Luisa Corrado & Qi Sun, 2008. "Money, Prices and Liquidity Effects: Separating Demand from Supply," Studies in Economics 0817, School of Economics, University of Kent.
  26. Enders, Zeno & Müller, Gernot J. & Scholl, Almuth, 2011. "How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States," Journal of International Economics, Elsevier, vol. 83(1), pages 53-69, January.
  27. Vivien Lewis, 2006. "Macroeconomic fluctuations and firm entry: theory and evidence," Computing in Economics and Finance 2006 112, Society for Computational Economics.
  28. Schenkelberg, Heike & Watzka, Sebastian, 2013. "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 327-357.
  29. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2020. "Capital flows in the euro area and TARGET2 balances," Journal of Banking & Finance, Elsevier, vol. 113(C).
  30. Tomasz Woźniak, 2016. "Bayesian Vector Autoregressions," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 49(3), pages 365-380, September.
  31. Andrew Mountford, 2005. "Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 597-621, October.
  32. Fabrice Dabiré, 2022. "Forward guidance and the exchange rate: A theoretical sign restricted VAR analysis," Cahiers de recherche 22-03, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  33. Ritschl, Albrecht, 2002. "Deficit Spending in the Nazi Recovery, 1933-1938: A Critical Reassessment," Journal of the Japanese and International Economies, Elsevier, vol. 16(4), pages 559-582, December.
  34. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
  35. Christian Glocker, 2013. "Government Expenditures and Business Cycles—Policy Reaction and Surprise Shocks," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 7(3), pages 215-254, August.
  36. Harald Uhlig & Pooyan Amir Ahmadi, 2012. "Measuring The Dynamic Effects Of Monetary Policy Shocks: A Bayesian Favar Approach With Sign Restriction," 2012 Meeting Papers 1060, Society for Economic Dynamics.
  37. Weale, Martin & Wieladek, Tomasz, 2022. "Financial effects of QE and conventional monetary policy compared," Journal of International Money and Finance, Elsevier, vol. 127(C).
  38. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  39. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
  40. Korobilis, D & Yilmaz, K, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers 20937, University of Essex, Essex Business School.
  41. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  42. Uhlig, Harald, 1998. "The robustness of identified VAR conclusions about money : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 245-263, December.
  43. Summers, Peter M., 2004. "Bayesian evidence on the structure of unemployment," Economics Letters, Elsevier, vol. 83(3), pages 299-306, June.
  44. Katerina Arnostova & Jaromir Hurnik, 2005. "The Monetary Transmission Mechanism in the Czech Republic (evidence from VAR analysis)," Working Papers 2005/04, Czech National Bank.
  45. Anderl, Christina & Caporale, Guglielmo Maria, 2024. "Shipping cost uncertainty, endogenous regime switching and the global drivers of inflation," International Economics, Elsevier, vol. 178(C).
  46. Breitenlechner, Maximilian & Scharler, Johann, 2016. "The Bank Lending Channel and the Market for Banks' Wholesale Funding," VfS Annual Conference 2016 (Augsburg): Demographic Change 145679, Verein für Socialpolitik / German Economic Association.
  47. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  48. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects of Reserve Requirements," WIFO Working Papers 420, WIFO.
  49. Timothy Cogley & Thomas J. Sargent, 2002. "Evolving Post-World War II US Inflation Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 331-388, National Bureau of Economic Research, Inc.
  50. Breitenlechner, Max & Scharler, Johann & Sindermann, Friedrich, 2016. "Banks’ external financing costs and the bank lending channel: Results from a SVAR analysis," Journal of Financial Stability, Elsevier, vol. 26(C), pages 228-246.
  51. Albrecht Ritschl & Ulrich Woitek, "undated". "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," IEW - Working Papers 050, Institute for Empirical Research in Economics - University of Zurich.
  52. Vargas-Silva, Carlos, 2008. "Monetary policy and the US housing market: A VAR analysis imposing sign restrictions," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 977-990, September.
  53. Ben Zeev, Nadav, 2018. "What can we learn about news shocks from the late 1990s and early 2000s boom-bust period?," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 94-105.
  54. Lomonosov, Daniil, 2021. "Роль Коронавирусной Пандемии И Развала Сделки Опек+ В Динамике Цены На Нефть В 2020 Году [The role of the coronavirus pandemic and the collapse of the OPEC + deal in the dynamics of oil prices in 2," MPRA Paper 109319, University Library of Munich, Germany.
  55. Cinzia Alcidi, 2009. "The Effect of Equity Market Integration on the Transmission Monetary Policy. Evidence from Australia," IHEID Working Papers 03-2009, Economics Section, The Graduate Institute of International Studies.
  56. Christophe Andre & Rangan Gupta & Patrick T. Kanda, 2012. "Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 58(1), pages 19-70.
  57. Maffei-Faccioli, Nicolò & Vella, Eugenia, 2021. "Does immigration grow the pie? Asymmetric evidence from Germany," European Economic Review, Elsevier, vol. 138(C).
  58. Saeidinezhad, Elham, 2014. "The International Spillover of Fiscal and Technology Shocks before the Crisis: The case of the UK and Italy," MPRA Paper 98556, University Library of Munich, Germany.
  59. László Békési & Lorant Kaszab & Szabolcs Szentmihályi, 2017. "The EAGLE model for Hungary - a global perspective," MNB Working Papers 2017/7, Magyar Nemzeti Bank (Central Bank of Hungary).
  60. Harald Uhlig, 1997. "Bayesian Vector Autoregressions with Stochastic Volatility," Econometrica, Econometric Society, vol. 65(1), pages 59-74, January.
  61. repec:hum:wpaper:sfb649dp2006-042 is not listed on IDEAS
  62. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
  63. Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
  64. Nadav Ben Zeev, 2019. "Adjustable-Rate Mortgages, Systematic Monetary Policy, And The Root Cause Of The Financial Crisis," Working Papers 1908, Ben-Gurion University of the Negev, Department of Economics.
  65. Hakan M. Berument & Zulal S Denaux & Yeliz Yalcin, 2012. "How does the Exchange Rate Movement Affect Macroeconomic Performance? A VAR Analysis with Sign Restriction Approach– Evidence from Turkey," Economics Bulletin, AccessEcon, vol. 32(1), pages 295-305.
  66. Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2020. "Uniform Priors for Impulse Responses," Working Papers 22-30, Federal Reserve Bank of Philadelphia.
  67. Breitenlechner, Max & Scharler, Johann, 2021. "Monetary policy announcements and bank lending: Do banks’ refinancing markets matter?," Economic Modelling, Elsevier, vol. 102(C).
  68. Glocker, Christian & Towbin, Pascal, 2015. "Reserve requirements as a macroprudential instrument – Empirical evidence from Brazil," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 158-176.
  69. Tibor Szendrei & Katalin Varga, 2020. "FISS - A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
  70. Uebele, Martin, 2011. "National and international market integration in the 19th century: Evidence from comovement," Explorations in Economic History, Elsevier, vol. 48(2), pages 226-242, April.
  71. Geiger, Martin & Scharler, Johann, 2019. "How do consumers assess the macroeconomic effects of oil price fluctuations? Evidence from U.S. survey data," Journal of Macroeconomics, Elsevier, vol. 62(C).
  72. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
  73. Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Other publications TiSEM 2e0fa8dd-ead5-4c6b-97cb-1, Tilburg University, School of Economics and Management.
  74. Alexandra Horobet & Irina Mnohoghitnei & Emanuela Marinela Luminita Zlatea & Lucian Belascu, 2022. "The Interplay between Digitalization, Education and Financial Development: A European Case Study," JRFM, MDPI, vol. 15(3), pages 1-23, March.
  75. Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
  76. Bermperoglou, Dimitrios & Pappa, Evi & Vella, Eugenia, 2017. "The government wage bill and private activity," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 21-47.
  77. Thams, Andreas, 2006. "Fiscal policy effects in the European Union," SFB 649 Discussion Papers 2006-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  78. Max Breitenlechner & Johann Scharler, 2018. "How does monetary policy influence bank lending? Evidence from the market for banks' wholesale funding," Working Papers 2018-01, Faculty of Economics and Statistics, Universität Innsbruck.
  79. Neville Francis & Michael T. Owyang, 2004. "Monetary policy in a Markov-switching VECM: implications for the cost of disinflation and the price puzzle," Working Papers 2003-001, Federal Reserve Bank of St. Louis.
  80. Beckmann, Joscha & Breitenlechner, Max & Scharler, Johann, 2024. "Is the exchange rate a shock absorber? The shocks matter," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 114-130.
  81. Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
  82. Halkos, George E. & Paizanos, Epameinondas Α., 2016. "The effects of fiscal policy on CO2 emissions: Evidence from the U.S.A," Energy Policy, Elsevier, vol. 88(C), pages 317-328.
  83. repec:zbw:bofitp:2019_015 is not listed on IDEAS
  84. Max Breitenlechner & Riikka Nuutilainen, 2023. "China’s Monetary Policy and the Loan Market: How Strong is the Credit Channel in China?," Open Economies Review, Springer, vol. 34(3), pages 555-577, July.
  85. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  86. Christina Anderl & Guglielmo Maria Caporale, 2024. "Global Food Prices and Inflation," CESifo Working Paper Series 10992, CESifo.
  87. Pooyan Amir‐Ahmadi & Thorsten Drautzburg, 2021. "Identification and inference with ranking restrictions," Quantitative Economics, Econometric Society, vol. 12(1), pages 1-39, January.
  88. Breitenlechner, Max & Mathy, Gabriel P. & Scharler, Johann, 2021. "Decomposing the U.S. Great Depression: How important were loan supply shocks?," Explorations in Economic History, Elsevier, vol. 79(C).
  89. Chaturvedi, Anoop & Kumar, Jitendra, 2005. "Bayesian unit root test for model with maintained trend," Statistics & Probability Letters, Elsevier, vol. 74(2), pages 109-115, September.
  90. Thams, Andreas, 2007. "The Relevance of the fiscal Theory of the Price Level revisited," MPRA Paper 1645, University Library of Munich, Germany.
  91. Ritschl, Albrecht & Woitek, Ulrich, 2000. "Did Monetary Forces Cause the Great Depression?," CEPR Discussion Papers 2547, C.E.P.R. Discussion Papers.
  92. Tim Berg, 2012. "Did monetary or technology shocks move euro area stock prices?," Empirical Economics, Springer, vol. 43(2), pages 693-722, October.
  93. Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
  94. Paul Levine & Joseph Pearlman & Alessio Volpicella & Bo Yang, 2022. "The Use and Mis-Use of SVARs for Validating DSGE Models," School of Economics Discussion Papers 0522, School of Economics, University of Surrey.
  95. Oussama Abi Younes & Sumru Altug, 2021. "The COVID-19 Shock: A Bayesian Approach," JRFM, MDPI, vol. 14(10), pages 1-15, October.
  96. Geiger, Martin & Scharler, Johann, 2016. "How do Macroeconomic Shocks affect Expectations? Lessons from Survey Data," VfS Annual Conference 2016 (Augsburg): Demographic Change 145747, Verein für Socialpolitik / German Economic Association.
  97. repec:hum:wpaper:sfb649dp2005-037 is not listed on IDEAS
  98. repec:hum:wpaper:sfb649dp2006-016 is not listed on IDEAS
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