This paper studies the effect of uncertainty shocks on demand for business loans in individual euro area countries. The results Bayesian vector autoregression (VAR) model impulse response functions show that some countries overall loans, and particularly fixed-investment financing, respond significantly negatively to shock.

This paper investigates the linear and nonlinear effects of financial regulation policy uncertainty shocks on US macroeconomic aggregates within a Vector Autoregressive (VAR) framework. Financial regulation policy uncertainty (FRPU) is quantified with a news-based index developed by Baker et al. (2013). Particular attention is paid to the reaction of corporate credit spreads to FRPU shocks. The...

Appealing to the twin deficit hypothesis, according to which shocks to the government budget move the current account in the same direction, many observers call for fiscal consolidation in the US as a necessary measure to reduce the large external imbalance of this country. We reconsider the international transmission mechanism in a standard two-country two-good business cycle model, and find t...

What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan-to-value (LTV) ratios? Using a structural VAR, we find that GDP and business investment increase following an expansionary LTV shock. Residential investment, by contrast, falls, a result that depends on the systematic reaction of monetary policy. We show that, in ...

This paper quantifies and assesses the impact of an adverse loan supply (LS) shock on Peru's main macroeconomic aggregates using a Bayesian vector autoregressive (BVAR) model in combination with identification scheme sign restrictions. The results indicate that LS shock: (i) reduces credit real GDP growth by 372 75 basis points period, respectively; (ii) explains 11.2% variability average over ...

This paper considers an application of the Markov switching vector error correction model to analysis long-run and short-run dependence Russian real GDP exchange on oil prices. An algorithm for estimation with a priori information state hidden chain in some periods time is provided. It shown that period 1999–2018 two different regimes are well defined: slow adjustment rate sharp reaction respon...

This paper studies the effects of a monetary policy shock on industry’s profitability through publicly traded firms in Peru. I use that controls possible endogeneity between with economic activity and Central Bank’s anticipation events. two measures: ROA Net Profits. The methodology is Local Projections (LP) because it allows for control persistence shocks; case biases, usually smaller than tra...

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or identifying shock interest. Some authors construct sophisticated proxies that account dating and size while other consider simpler versions use only signs particular shocks. It shown such qualitative (sign-)proxies can lead to impulse response estimates impact effects int...

abstract growth quality index (qgi) is affected by two sets of structural and social composite indicators. structural indicator contributes to achieve the main target of sound, sustainable, and competitive output growth. by the way, the sound output growth should enhance social public services and living standard. although qgis are computed based on different scenarios, the trend of the qgis an...

A self-similar model for one-dimensional unsteady isothermal and adiabatic flows behind a strong exponential shock wave driven out by a cylindrical piston moving with time according to an exponential law in an ideal gas in the presence of azimuthal magnetic field and variable density is discussed in a rotating atmosphere. The ambient medium is assumed to possess radial, axial and azimuthal comp...