The ”irrational exuberance” of the stock market in the late 1990’s lead to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study I employ a structural VAR to estimate the response of the stock market returns to innovations in the federal funds rate. The effect of the stock market on ...

A positive technology shock may lead to a rise or a fall in per capita hours, depending on how hours enter the empirical VAR model. We provide evidence that, independent of how hours enter the VAR, a positive technology shock leads to a weak response in nominal wage inflation, a modest decline in price inflation, and a modest rise in the real wage in the short-run and a permanent rise in the lo...

The paper analyses the relationship between shadow economy and unemployment rates using a Structural VAR approach for quarterly data during the period 2000-2010. The size of Romanian shadow economy is estimated using the currency demand approach based on VECM models, stating that its size is decreasing over the analyzed period, from 36.5% at the end of 2000 to about 31.5% of real GDP at the mid...

This paper investigates the sources of the substantial decrease in output growth volatility in the mid-1980s by identifying which of the structural parameters in a representative New Keynesian and Structural VAR models changed. Overturning conventional wisdom, we show that the Great Moderation was not only due to changes in shocks volatilities but also to changes in monetary policy parameters a...

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present stud...

This paper represents a contribution to the study of the international transmission of business cycle shocks. A domestic positive productivity shock hitting countries vis-à-vis the rest of the world is identified in a VAR model following the methodology of sign restriction pioneered by Canova and De Nicolò in 2002. By this identification strategy, restrictions are imposed on impulse response fu...

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks....

This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indi...

This study proposes a method to identify factor-augmented vector autoregression models without imposing uncorrelatedness or any timing restrictions among observed and unobserved factors in the system. To this end, we utilize changes unconditional shock variances following Rigobon (2003). The proposed can incorporate both structural system allows contemporaneous matrix be fully unrestricted. We ...

We study the energy-momentum and baryonic number conservation laws for quark-gluon plasma discontinuity transitions into hadron matter states. We find that the time-like shock hadronization of a supercooled quark-gluon plasma (when the normal vector to the discontinuity hypersurface is timelike) should take place. We consider some properties of this process, which is different from the standard...