This paper is an attempt to investigate the effect of fiscal policy on output in Indonesia using Structural Vector Autoregression (SVAR) methodology for the period 1983:1 – 2010:1. We use contemporaneous restriction and follow Blanchard and Perotti (1999) technique to identify structural fiscal policy shocks in Indonesia. The estimation results show that the government spending shocks are found...

This paper uses the SVAR approach to assess the degree of labor market flexibility – measured as the responsiveness of real and nominal wages to permanent and temporary shocks in eight EU member states (France, Italy, UK, Netherlands, Poland, Hungary, Slovakia and the Czech Republic) with a view to assessing their suitability for Euro-area membership. It is found that for Hungary and the Czech ...

The present paper analyses the impact of sales promotions on store performance, in the short and long term, from the retailer’s point of view. Relationships among promoted and regular sales in the hypermarkets of a large-scale retail chain of national importance, are investigated by means of a structural vector autoregressive model (SVAR). Statistically significant effects of sales promotions i...

In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is base...

Analysis of causal effects between continuous-valued variables typically uses either autoregressive models or structural equation models with instantaneous effects. Estimation of Gaussian, linear structural equation models poses serious identifiability problems, which is why it was recently proposed to use non-Gaussian models. Here, we show how to combine the non-Gaussian instantaneous model wi...

The past years were characterized by unprecedented rises in prices of commodities such as oil or wheat and infl ation rates moved up above the mark of two percent per annum. This led to a revival of the debate whether commodity prices indicate future CPI infl ation and if they can be used as indicator variables for central banks or not. We apply various econometric methods like Granger causalit...

Hösten 2000 ordnade Nätverket för självbiografiskt skrivande vid Nordiska museet ett seminarium med temat "Vad vill vi våra frågelistor". Då frågelistmetoden i dag är den kanske vanligaste insamlingsmetoden också Svenska litteratursällskapets folkkultursarkiv känns denna fråga brännande: vad egentligen frågelistor? Som folklorist kan jag strax besvara frågan: ha glimrande berättande som går att...

Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does type matter? We propose novel SVAR identification strategy address these questions via inequality constraints on structural shocks. find that sharply higher macroeconomic recessions often output shocks, while financial markets likely fluctuations. (JEL D81...