in this paper, asymmetric effects of exchange rate fluctuation (according to positive and negative shocks) on real output were investigated. in the meantime, the study of behaviour of real output growth in iran’s economy over the period 1338-1386 was done. in specification of the output growth equation, in spite of considering positive and negative shocks of exchange rate, the effects of other ...

This paper investigates how income shocks shape consumption dynamics over the business cycle. First, we break new ground and create a unique panel dataset of transitory permanent by combining household-level expectations with realizations from DNB Household Survey for Netherlands in 2006–2018. We then use first second moments identified structural life-cycle framework show that model matches ob...

Abstract This paper deals with the analysis of statistical properties profitability yielded by Private Equity from a fractionally integrated viewpoint. Using quarterly data 1981q2 to 2021q3, results support hypothesis stationarity and mean reversion in all cases; however, we observe differences degree persistence across regions, Europe being closest short memory while US shows highest long rang...

Because the budget constraint implies that consumption must eventually fully adjust to permanent shocks, intuition suggests that consumption-smoothers will have an immediate marginal propensity to consume of one out of permanent shocks. However, this paper shows that if consumers are impatient and experience both transitory and permanent income shocks, the immediate marginal propensity to consu...

We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied t...

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy in the early 1980’s. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common transitory component and idiosyncratic components. We find that the moderation of business cycle was a result of the moderation in transitory a...

This paper documents the determinants of real oil price in global market based on an empirical model embedding transitory and permanent shocks. We find evidence significant differences propagation mechanisms versus disturbances, pointing to importance disentangling their distinct effects. Permanent supply shocks are found be very influential driving fluctuations.

this paper estimates a structural cointegrating varx model with exogenous variables for iran. the long-run macroeconomic relationships are identified and tested within this framework. we make use of the generalized forecast error variance decomposition to analyze the dynamic properties of the model in response to different shocks. we also examine via the persistence profiles, the speed of adjus...

We examine the effect of rainfall on agricultural output and democratization in world’s most countries. As economics literature, we find that relationship between has an inverted U-shape, as agriculture is harmed by both droughts very wet conditions. also to be transitory. The U-shaped short run, this persists long run. Hence democratic transitions outlast (transitory) shocks started process. c...