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Luca Gambetti

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Jordi Gali & Luca Gambetti, 2008. "On the Sources of the Great Moderation," NBER Working Papers 14171, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Moderately well understood : The Great Moderation is evident, but its causes are complex
      by ? in FRED blog on 2017-10-05 18:00:27
  2. Fabio Canova & Luca Gambetti, 2004. "On the Time Variations of US Monetary Policy: Who is right?," Money Macro and Finance (MMF) Research Group Conference 2004 96, Money Macro and Finance Research Group.

    Mentioned in:

    1. [経済]A prophecy that misread could have been...
      by himaginary in himaginaryの日記 on 2012-11-05 14:00:00

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, Centre for Economic Policy Research.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models
  2. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models
  3. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Jordi Galí & Luca Gambetti, 2015. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 233-257, January.

    Mentioned in:

    1. The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence (AEJ:MA 2015) in ReplicationWiki ()
  2. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.

    Mentioned in:

    1. Macroeconomic forecasting and structural change (Journal of Applied Econometrics 2013) in ReplicationWiki ()
  3. Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.

    Mentioned in:

    1. Structural changes in the US economy: Is there a role for monetary policy? (JEDC 2009) in ReplicationWiki ()
  4. Luca Gambetti & Jordi Galí, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.

    Mentioned in:

    1. On the Sources of the Great Moderation (AEJ:MA 2009) in ReplicationWiki ()
  5. Fabio Canova & Luca Gambetti, 2010. "Do Expectations Matter? The Great Moderation Revisited," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 183-205, July.

    Mentioned in:

    1. Do Expectations Matter? The Great Moderation Revisited (AEJ:MA 2010) in ReplicationWiki ()

Working papers

  1. Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England Staff Working Paper series 1118, Bank of England.

    Cited by:

    1. Marco Pinchetti, 2025. "Geopolitical Risk and Inflation: The Role of Energy Markets," Working papers 1005, Banque de France.
    2. Langfeng Zhou, 2025. "Propagation of Geopolitical Risks to the Federal Reserve's Policy Toolkit," Economic Papers, The Economic Society of Australia, vol. 44(1), pages 15-48, March.
    3. Emiel Sanders & Rudi Vander Vennet, 2025. "Geopolitical Risk, Cost of Equity, and Bank Lending: Evidence From the Ukrainian War," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 25/1122, Ghent University, Faculty of Economics and Business Administration.
    4. Yevheniia Bondarenko & Nayeon Kang & Vivien Lewis & Matthias Rottner & Yves Schueler, 2026. "Geopolitical risk in the euro area: measurement and transmission," BIS Working Papers 1348, Bank for International Settlements.
    5. Ambrocio, Gene & Fungáčová, Zuzana & Heikkinen, Joni & Kerola, Eeva & Korhonen, Iikka & Norring, Anni, 2025. "Northern insights: Geopolitical risk from Finnish news media," Bank of Finland Research Discussion Papers 13/2025, Bank of Finland.
    6. Emna Trabelsi, 2025. "Monetary Policy Transmission Under Global Versus Local Geopolitical Risk: Exploring Time-Varying Granger Causality, Frequency Domain, and Nonlinear Territory in Tunisia," Economies, MDPI, vol. 13(7), pages 1-68, June.
    7. Migliavacca, Milena & Anwer, Zaheer & Fandella, Paola, 2026. "Geopolitical risk and stock market volatility: The case of US weapon and non-weapon firms," Research in International Business and Finance, Elsevier, vol. 81(C).
    8. Ioannou, Demosthenes & Prioriello, Raffaele & Durrani, Agha, 2026. "Measuring geoeconomic tension: a large-language-model approach for the euro area," Working Paper Series 3250, European Central Bank.
    9. Anttonen, Jetro & Lehmus, Markku, 2025. "Geopolitical surprises and macroeconomic shocks: A tale of two events," Bank of Finland Research Discussion Papers 5/2025, Bank of Finland.

  2. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric Transmission of Oil Supply News," Working papers 1020, Banque de France.

    Cited by:

    1. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector and Autoregressive Analysis," University of East Anglia School of Economics Working Paper Series 2026-01, School of Economics, University of East Anglia, Norwich, UK..
    2. Helmut Lütkepohl & Till Strohsal, 2025. "Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions," Discussion Papers of DIW Berlin 2146, DIW Berlin, German Institute for Economic Research.
    3. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2155, DIW Berlin, German Institute for Economic Research.
    4. Zhu, Zixiang & Wen, Yake & Zhou, Weimin & Liu, Xintong, 2025. "The state-dependent effects of oil supply news shocks," Energy Economics, Elsevier, vol. 149(C).
    5. Riccardo Degasperi, 2026. "Identification of expectational shocks in the oil market using OPEC announcements," Temi di discussione (Economic working papers) 1516, Bank of Italy, Economic Research and International Relations Area.

  3. Luca Gambetti & Dimitris Korobilis & John Tsoukalas & Francesco Zanetti, 2023. "Agreed and Disagreed Uncertainty," Papers 2302.01621, arXiv.org.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert L., 2026. "Uncertainty shocks and inflation: The role of credibility and expectation anchoring," Journal of International Money and Finance, Elsevier, vol. 160(C).
    2. Ding Dong & Zheng Liu & Pengfei Wang & Min Wei, 2025. "Inflation Disagreement Weakens the Power of Monetary Policy," Working Paper Series 2024-27, Federal Reserve Bank of San Francisco.

  4. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2023. "The impact of financial shocks on the forecast distribution of output and inflation," Working Paper 2023/3, Norges Bank.

    Cited by:

    1. Korobilis, Dimitris & Schroeder, Maximilian, 2024. "Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach," MPRA Paper 128774, University Library of Munich, Germany.
    2. Mario Forni & Luca Sala & Luca Gambetti & Davide Debortoli, 2023. "Nonlinear Monetary Policy Tradeoffs," Working Papers 1404, Barcelona School of Economics.
    3. Zabavnik, Darja & Verbič, Miroslav, 2025. "Revisiting the impact of financial shocks on the fiscal position of euro area countries," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 622-635.
    4. Carboni, Giacomo & Fonseca, Luís & Fornari, Fabio & Urrutia, Leonardo, 2026. "Structural drivers of growth at risk: insights from a VAR-quantile regression approach," Working Paper Series 3171, European Central Bank.

  5. Debortoli, Davide & Forni, Mario & Gambetti, Luca & Sala, Luca, 2023. "Asymmetric Monetary Policy Tradeoffs," CEPR Discussion Papers 18438, Centre for Economic Policy Research.

    Cited by:

    1. Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Afonso S. Moura & Lorenz Emter & Nico Zorell & Ralph Setzer, 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Papers w202414, Banco de Portugal, Economics and Research Department.
    3. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    5. Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Journal of International Money and Finance, Elsevier, vol. 149(C).
    6. Ryan Niladri Banerjee & Valerie Boctor & Aaron Mehrotra & Fabrizio Zampolli, 2022. "Fiscal deficits and inflation risks: the role of fiscal and monetary policy regimes," BIS Working Papers 1028, Bank for International Settlements.
    7. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    8. Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
    9. Leonardo Nogueira Ferreira, 2023. "Monetary Policy Surprises, Financial Conditions, and the String Theory Revisited," Working Papers Series 573, Central Bank of Brazil, Research Department.
    10. Ferrari Minesso, Massimo & Van Robays, Ine & Cassinis, Maria Giulia, 2025. "Supply shocks and inflation: timely insights from financial markets," Working Paper Series 3096, European Central Bank.

  6. Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2023. "External Instrument SVAR Analysis for Noninvertible Shocks," CEPR Discussion Papers 17886, Centre for Economic Policy Research.

    Cited by:

    1. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    2. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).
    3. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    4. Odendahl, Florens & Pagliari, Maria Sole & Penalver, Adrian & Rossi, Barbara & Sestieri, Giulia, 2024. "Euro area monetary policy effects. Does the shape of the yield curve matter?," Journal of Monetary Economics, Elsevier, vol. 147(S).
    5. Fierro, Luca Eduardo & Martinoli, Mario, 2025. "An empirical inquiry into the distributional consequences of energy price shocks," Journal of International Money and Finance, Elsevier, vol. 159(C).
    6. Rünstler, Gerhard, 2024. "The macroeconomic impact of euro area labor market reforms: evidence from a narrative panel VAR," European Economic Review, Elsevier, vol. 168(C).

  7. Forni, Mario & Gambetti, Luca & Granese, Antonio & Sala, Luca & Soccorsi, Stefano, 2023. "An American Macroeconomic Picture. Supply and Demand Shocks in the Frequency Domain," CEPR Discussion Papers 18070, Centre for Economic Policy Research.

    Cited by:

    1. Granese, Antonio, 2026. "Two main business cycle shocks are better than one," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    2. Todd E. Clark & Florian Huber & Gary Koop, 2026. "A Nonparametric Approach to Augmenting a Bayesian VAR with Nonlinear Factors," Working Papers 26-14, Federal Reserve Bank of Cleveland.

  8. Mario Forni & Luca Sala & Luca Gambetti & Davide Debortoli, 2023. "Nonlinear Monetary Policy Tradeoffs," Working Papers 1404, Barcelona School of Economics.

    Cited by:

    1. Maria Lymar & Alena Nelyubina, 2025. "Overview of the Bank of Russia, NES, and HSE University Workshop 'Monetary Policy and Inflation: Effects of Asymmetry and Behavioural Aspects'," Russian Journal of Money and Finance, Bank of Russia, vol. 84(4), pages 101-120, December.
    2. Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    3. Afonso S. Moura & Lorenz Emter & Nico Zorell & Ralph Setzer, 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Papers w202414, Banco de Portugal, Economics and Research Department.
    4. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    5. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    6. Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Journal of International Money and Finance, Elsevier, vol. 149(C).
    7. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric Transmission of Oil Supply News," Working papers 1020, Banque de France.
    8. Ferrari Minesso, Massimo & Van Robays, Ine & Cassinis, Maria Giulia, 2025. "Supply shocks and inflation: timely insights from financial markets," Working Paper Series 3096, European Central Bank.

  9. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2022. "Nonlinear transmission of financial shocks: Some new evidence," Working Paper 2022/3, Norges Bank.

    Cited by:

    1. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.
    2. Sílvia Gonçalves & Ana María Herrera & Iones Kelanemer Holban & Lutz Kilian & Elena Pesavento, 2026. "Semiparametric Local Projections," Working Papers 2616, Federal Reserve Bank of Dallas.
    3. Andrea Bastianin & Luca Rossini & Alessandra Testa, 2026. "Industrial Metal Supply Shocks and Heterogeneous Macroeconomic Effects: Evidence from Copper," Working Papers 2026.02, Fondazione Eni Enrico Mattei.
    4. Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024. "Identification of vector autoregressive models with nonlinear contemporaneous structure," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    5. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.
    6. Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.
    7. Philippe Goulet Coulombe & Karin Klieber, 2025. "Opening the Black Box of Local Projections," Papers 2505.12422, arXiv.org, revised Jul 2025.
    8. Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2025.
    9. Broadbent, Elijah & Ennis, Huberto M. & Pike, Tyler J. & Sapriza, Horacio, 2026. "Bank lending standards and the U.S. economy," Journal of Economic Dynamics and Control, Elsevier, vol. 183(C).
    10. Neville Francis & Peter Reinhard Hansen & Chen Tong, 2025. "Principled Identification of Structural Dynamic Models," Papers 2512.17005, arXiv.org, revised Apr 2026.
    11. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric transmission of oil supply news," Quantitative Economics, Econometric Society, vol. 16(3), pages 947-979, July.
    12. Damiano Di Francesco & Omar Pietro Carnevale, 2025. "Are Hysteresis Effects Nonlinear?," LEM Papers Series 2025/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    13. Sílvia Gonçalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024. "Nonparametric Local Projections," Working Papers 2414, Federal Reserve Bank of Dallas.
    14. Fu, Bowen & Mendieta-Munoz, Ivan, 2025. "Trend inflation and structural shocks," EconStor Preprints 308793, ZBW - Leibniz Information Centre for Economics.
    15. Klieber, Karin & Coulombe, Philippe Goulet, 2025. "Opening the black box of local projections," Working Paper Series 3105, European Central Bank.
    16. Jan Kwakkel & Willem L. Auping & Jan Willem van den End, 2026. "Identifying scenarios of interest under deep uncertainty," Working Papers 860, DNB.
    17. Milov{s} Ciganovi'c & Elena Scola Gagliardi & Massimiliano Tancioni, 2025. "Disentangling the Distributional Effects of Financial Shocks in the Euro Area," Papers 2510.11289, arXiv.org.
    18. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.

  10. Luca Gambetti & Nicolò Maffei-Faccioli & Sarah Zoi, 2022. "Bad News, Good News: Coverage and Response Asymmetries," Working Paper 2022/8, Norges Bank.

    Cited by:

    1. Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2025.

  11. Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Downside and Upside Uncertainty Shocks," CEPR Discussion Papers 15881, Centre for Economic Policy Research.

    Cited by:

    1. Tibor Szendrei & Nikolett V'ag'o & Katalin Varga, 2026. "A Roof Over Risk: A House Price-at-Risk Framework for Hungary," Papers 2602.18592, arXiv.org.
    2. Jiawen Luo & Jingyi Deng & Rangan Gupta & Oguzhan Cepni, 2026. "Time-Varying Effects of Skewness: An International Comparison," Working Papers 202602, University of Pretoria, Department of Economics.
    3. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2023. "The impact of financial shocks on the forecast distribution of output and inflation," Working Paper 2023/3, Norges Bank.
    4. Oscar Claveria & Petar Sorić, 2023. "Labour market uncertainty after the irruption of COVID-19," Empirical Economics, Springer, vol. 64(4), pages 1897-1945, April.
    5. Korobilis, Dimitris & Schroeder, Maximilian, 2024. "Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach," MPRA Paper 128774, University Library of Munich, Germany.
    6. Martin Iseringhausen & Ivan Petrella & Konstantinos Theodoridis, 2022. "Aggregate skewness and the business cycle," Working Papers 53, European Stability Mechanism.
    7. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).
    8. Han, Yang & Liao, Wenting & Xiong, Rui, 2025. "The time-varying effects of skewness on the macroeconomy," Economics Letters, Elsevier, vol. 254(C).
    9. Francisco Serranito & Nicolas Himounet & Julien Vauday, 2023. "Uncertainty is bad for Business. Really?," EconomiX Working Papers 2023-26, University of Paris Nanterre, EconomiX.
    10. Dimitris Korobilis & Maximilian Schroder, 2023. "Monitoring multicountry macroeconomic risk," Papers 2305.09563, arXiv.org.
    11. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    12. Carboni, Giacomo & Fonseca, Luís & Fornari, Fabio & Urrutia, Leonardo, 2026. "Structural drivers of growth at risk: insights from a VAR-quantile regression approach," Working Paper Series 3171, European Central Bank.

  12. Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Macroeconomic Uncertainty and Vector Autoregressions," CEPR Discussion Papers 15692, Centre for Economic Policy Research.

    Cited by:

    1. Alina Bobasu & Lucia Quaglietti & Martino Ricci, 2024. "Tracking Global Economic Uncertainty: Implications for the Euro Area," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(2), pages 820-857, June.
    2. Ambrocio, Gene, 2022. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2022, Bank of Finland.

  13. De Giorgi, Giacomo & Gambetti, Luca & Naguib, Costanza, 2020. "Life-Cycle Inequality: Blacks And Whites Differentials In Life Expectancy, Savings, Income, And Consumption," CEPR Discussion Papers 15182, Centre for Economic Policy Research.

    Cited by:

    1. Giacomo Giorgi & Luca Gambetti & Costanza Naguib, 2024. "The Black and white differential in income and consumption dynamics," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 22(4), pages 981-997, December.
    2. Giacomo De Giorgi & Luca Gambetti & Costanza Naguib, 2023. "Life-Cycle Inequality: the Black and White Differential," Diskussionsschriften dp2301, Universitaet Bern, Departement Volkswirtschaft.

  14. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, Centre for Economic Policy Research.

    Cited by:

    1. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    2. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    3. Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org, revised Jun 2026.
    4. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    5. Mario Forni & Luca Gambetti & Antonio Granese & Luca Sala & Stefano Soccorsi, 2025. "An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain," American Economic Journal: Macroeconomics, American Economic Association, vol. 17(3), pages 311-341, July.

  15. Mario Forni & Luca Sala & Luca Gambetti & Davide Debortoli, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Working Papers 1205, Barcelona School of Economics.

    Cited by:

    1. Mr. Pragyan Deb & Julia Estefania-Flores & Melih Firat & Davide Furceri & Siddharth Kothari, 2023. "Monetary Policy Transmission Heterogeneity: Cross-Country Evidence," IMF Working Papers 2023/204, International Monetary Fund.
    2. Rompolis, Leonidas S., 2025. "Quantitative easing, uncertainty, and risk aversion," Journal of Banking & Finance, Elsevier, vol. 177(C).
    3. Brignone, Davide & Gambetti, Luca & Ricci, Martino, 2024. "Geopolitical risk shocks: when size matters," Working Paper Series 2972, European Central Bank.
    4. Uluc Aysun & Zeynep Yom, 2025. "Technology creation, business cycles and monetary transmission," Villanova School of Business Department of Economics and Statistics Working Paper Series 61, Villanova School of Business Department of Economics and Statistics.
    5. Ander Pérez-Orive & Yannick Timmer & Alejandro Van der Ghote, 2026. "Monetary Policy under Multiple Financing Constraints," Finance and Economics Discussion Series 2026-021, Board of Governors of the Federal Reserve System (U.S.).
    6. Ryan Niladri Banerjee & Valerie Boctor & Aaron Mehrotra & Fabrizio Zampolli, 2022. "Fiscal deficits and inflation risks: the role of fiscal and monetary policy regimes," BIS Working Papers 1028, Bank for International Settlements.
    7. Fierro, Luca Eduardo & Martinoli, Mario, 2025. "An empirical inquiry into the distributional consequences of energy price shocks," Journal of International Money and Finance, Elsevier, vol. 159(C).
    8. Josef Baumgartner & Serguei Kaniovski & Franz Sinabell, 2024. "Policy Brief: Robuste Versorgungsketten in der Agrar- und Nahrungsmittelwirtschaft. Eine kurzfristige Prognose der Preisänderungen von Nahrungsmitteln und Getränken für Österreich," WIFO Studies, WIFO, number 71405.
    9. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    10. Velasco, Sofia, 2024. "Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian quantile factor augmented VAR," Working Paper Series 2983, European Central Bank.
    11. Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
    12. Tobias Adrian & Gaston Gelos & Nora Lamersdorf & Emanuel Moench, 2024. "The asymmetric and persistent effects of Fed policy on global bond yields," BIS Working Papers 1195, Bank for International Settlements.
    13. Leonardo Nogueira Ferreira, 2023. "Monetary Policy Surprises, Financial Conditions, and the String Theory Revisited," Working Papers Series 573, Central Bank of Brazil, Research Department.
    14. Timmer, Yannick & Van der Ghote, Alejandro & Perez-Orive, Ander, 2026. "Monetary policy under multiple financing constraints," Working Paper Series 3217, European Central Bank.
    15. Bobasu, Alina & Repele, Amalia, 2025. "Effects of monetary policy on labor income: the role of the employer," Working Paper Series 3046, European Central Bank.
    16. Blot, Christophe & Hubert, Paul & Labondance, Fabien, 2024. "The asymmetric effects of monetary policy on stock price bubbles," European Economic Review, Elsevier, vol. 168(C).
    17. Perez-Orive, Ander & Timmer, Yannick & Van der Ghote, Alejandro, 2026. "Monetary policy under multiple financing constraints," Research Bulletin, European Central Bank, vol. 144.
    18. Glenn Abela & Arianna Antezza & Alissa Gorelova & Gianmarco Meta & Roberta Montebello, 2026. "The Asymmetric Effects of Monetary Policy in the Euro Area," Discussion Papers of DIW Berlin 2165, DIW Berlin, German Institute for Economic Research.
    19. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
    20. Uluc Aysun & Sewon Hur & Zeynep Yom, 2025. "Technology creation and monetary transmission," Working Papers 2025-02, University of Central Florida, Department of Economics.

  16. Jordi Galí & Luca Gambetti, 2019. "Has the U.S. Wage Phillips Curve Flattened? A Semi-Structural Exploration," Working Papers Central Bank of Chile 846, Central Bank of Chile.

    Cited by:

    1. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    2. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    3. Stefański, Maciej, 2022. "Macroeconomic effects and transmission channels of quantitative easing," Economic Modelling, Elsevier, vol. 114(C).
    4. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2019. "The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment," NBER Working Papers 26002, National Bureau of Economic Research, Inc.
    5. Clayton, Christopher & Schaab, Andreas, 2022. "A Theory of Dynamic Inflation Targets," TSE Working Papers 22-1389, Toulouse School of Economics (TSE).
    6. Christophe Blot & Jérôme Creel & Emmanuelle Faure & Paul Hubert, 2020. "Setting New Priorities for the ECB’s Mandate," Sciences Po Economics Publications (main) hal-03389186, HAL.
    7. Budrys, Žymantas & Porqueddu, Mario & Sokol, Andrej, 2021. "Striking a bargain: narrative identification of wage bargaining shocks," Working Paper Series 2602, European Central Bank.
    8. Shengliang Ou & Donghai Zhang, 2025. "Quantifying the Federal Reserve's objectives using a structural vector autoregressive model," Economica, London School of Economics and Political Science, vol. 92(366), pages 351-367, April.
    9. Gantert, Konstantin, 2025. "Shopping Time and Frictional Goods Markets: Implications for the New-Keynesian Model," VfS Annual Conference 2025 (Cologne): Revival of Industrial Policy 325386, Verein für Socialpolitik / German Economic Association.
    10. David Blanchflower & Alex Bryson & Jackson Spurling, 2024. "The wage curve after the Great Recession," Economica, London School of Economics and Political Science, vol. 91(362), pages 653-668, April.
    11. Sebastião Abreu, Daniel & Silva Lopes, Artur, 2019. "How to disappear completely: non-linearity and endogeneity in the new keynesian wage Phillips curve," MPRA Paper 94591, University Library of Munich, Germany.
    12. Petz, Nico & Zörner, Thomas O., 2026. "How Phillips curve dynamics enhance business cycle synchronization analysis in Central and Eastern Europe," Journal of International Money and Finance, Elsevier, vol. 161(C).
    13. Ferri, Piero & Cristini, Annalisa & Tramontana, Fabio, 2023. "Meta-models of the Phillips curve and income distribution," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 215-232.
    14. Anastasia Burya & Rui Mano & Yannick Timmer & Anke Weber, 2023. "The Wage Phillips Curve under Labor Market Power," AEA Papers and Proceedings, American Economic Association, vol. 113, pages 110-113, May.
    15. Rose Cunningham & Vikram Rai & Kristina Hess, 2019. "Exploring Wage Phillips Curves in Advanced Economies," Discussion Papers 2019-8, Bank of Canada.
    16. Hie Joo Ahn & Lam Nguyen, 2025. "Who's at Risk? Effects of Inflation on Unemployment Risk," Papers 2505.05757, arXiv.org.
    17. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    18. Arčabić, Vladimir & Panovska, Irina & Tica, Josip, 2024. "Business cycle synchronization and asymmetry in the European Union," Economic Modelling, Elsevier, vol. 139(C).
    19. Simon C. Smith & Allan Timmermann & Jonathan H. Wright, 2025. "Breaks in the Phillips Curve: Evidence From Panel Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 131-148, March.
    20. Jonathan H. Wright, 2023. "Breaks in the Phillips Curve: Evidence from Panel Data," Finance and Economics Discussion Series 2023-015, Board of Governors of the Federal Reserve System (U.S.).

  17. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.

  18. Luca Gambetti & Jordi Galí & Davide Debortoli, 2018. "On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint," Working Papers 1013, Barcelona School of Economics.

    Cited by:

    1. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
    2. Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," EconomiX Working Papers 2019-2, University of Paris Nanterre, EconomiX.
    3. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    4. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2019. "The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment," NBER Working Papers 26002, National Bureau of Economic Research, Inc.
    5. Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
    6. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    7. Robert Goodhead & Benedikt Kolb, 2025. "Monetary policy communication shocks and the macroeconomy," Economica, London School of Economics and Political Science, vol. 92(365), pages 173-198, January.
    8. Tomohide Mineyama, 2023. "Downward Nominal Wage Rigidity and Inflation Dynamics during and after the Great Recession," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(5), pages 1213-1244, August.
    9. Swaminathan, Anthony, 2021. "Macroeconomic volatility at the zero lower bound: Evidence from the OECD," Economics Letters, Elsevier, vol. 204(C).
    10. Roussellet, Guillaume, 2025. "The term structure of macroeconomic risks at the effective lower bound," Journal of Econometrics, Elsevier, vol. 248(C).
    11. Iwasaki, Yuto & Muto, Ichiro & Shintani, Mototsugu, 2021. "Missing wage inflation? Estimating the natural rate of unemployment in a nonlinear DSGE model," European Economic Review, Elsevier, vol. 132(C).
    12. Bottero, Margherita & Minoiu, Camelia & Peydró, José-Luis & Polo, Andrea & Presbitero, Andrea F. & Sette, Enrico, 2022. "Expansionary yet different: Credit supply and real effects of negative interest rate policy," Journal of Financial Economics, Elsevier, vol. 146(2), pages 754-778.
    13. Lepetyuk, Vadym & Maliar, Lilia & Maliar, Serguei, 2020. "When the U.S. catches a cold, Canada sneezes: A lower-bound tale told by deep learning," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
    14. Refet Gürkaynak & Hati̇ce Gökçe Karasoy‐Can & Sang Seok Lee, 2022. "Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect," Journal of Finance, American Finance Association, vol. 77(4), pages 2375-2421, August.
    15. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    16. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    17. Roulleau-Pasdeloup, Jordan, 2020. "Optimal monetary policy and determinacy under active/passive regimes," European Economic Review, Elsevier, vol. 130(C).
    18. Bonciani, Dario & Oh, Joonseok, 2023. "Revisiting the New Keynesian policy paradoxes under QE," European Economic Review, Elsevier, vol. 154(C).
    19. Skaperdas, Arsenios, 2025. "Industry growth at the lower bound," Journal of International Money and Finance, Elsevier, vol. 152(C).
    20. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
    21. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2021. "Testing the effectiveness of unconventional monetary policy in Japan and the United States," Economics Series Working Papers 961, University of Oxford, Department of Economics.
    22. Martina Cecioni & Adriana Grasso & Alessandro Notarpietro & Massimiliano Pisani, 2021. "Revisiting monetary policy objectives and strategies: international experience and challenges from the ELB," Questioni di Economia e Finanza (Occasional Papers) 660, Bank of Italy, Economic Research and International Relations Area.
    23. Frantisek Masek & Jan Zemlicka, 2024. "Average Inflation Targeting: How far to look into the past and the future?," Working and Discussion Papers WP 5/2024, Research Department, National Bank of Slovakia.
    24. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2021. "A structural investigation of quantitative easing," Discussion Papers 01/2021, Deutsche Bundesbank.
    25. Hohberger, Stefan & Ratto, Marco & Vogel, Lukas, 2023. "The macroeconomic effects of unconventional monetary policy: Comparing euro area and US models with shadow rates," Economic Modelling, Elsevier, vol. 127(C).
    26. Hasui, Kohei & Sugo, Tomohiro & Teranishi, Yuki, 2026. "Liquidity trap and optimal monetary policy: Evaluations for U.S. monetary policy from 2020 to 2023," Journal of Economic Dynamics and Control, Elsevier, vol. 184(C).
    27. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, Centre for Economic Policy Research.
    28. Ambrocio, Gene & Ferrero, Andrea & Jokivuolle, Esa & Ristolainen, Kim, 2022. "What should the inflation target be? Views from 600 economists," Bank of Finland Research Discussion Papers 7/2022, Bank of Finland.
    29. Fiedler, Salomon & Gern, Klaus-Jürgen & Jannsen, Nils & Wolters, Maik H., 2019. "Growth prospects, the natural interest rate, and monetary policy," Economics Discussion Papers 2019-17, Kiel Institute for the World Economy.
    30. Simona Malovaná & Josef Bajzík & Dominika Ehrenbergerová & Jan Janků, 2023. "A prolonged period of low interest rates in Europe: Unintended consequences," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 526-572, April.
    31. Ballabriga, Fernando & Davtyan, Karen, 2025. "Comparing conventional and unconventional monetary policy effects in the euro area and the United States," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 104(C).
    32. Lombardi, Domenico & Siklos, Pierre L. & Xie, Xiangyou, 2018. "Monetary policy transmission in systemically important economies and China’s impact," Journal of Asian Economics, Elsevier, vol. 59(C), pages 61-79.
    33. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    34. Carl E. Walsh, 2019. "Alternatives to Inflation Targeting in Low Interest Rate Environments," IMES Discussion Paper Series 19-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    35. Le Mezo, Helena & Ferrari Minesso, Massimo, 2021. "Text-based recession probabilities," Working Paper Series 2516, European Central Bank.
    36. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    37. Abhishek Kumar & Sushanta Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2023. "Market Volatility, Monetary Policy and the Term Premium," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 208-237, February.
    38. Fukuda, Shin-ichi, 2025. "Short-run and long-run consequences of unconventional monetary policy in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 77(C).
    39. Coenen, Günter & Montes-Galdón, Carlos & Smets, Frank, 2020. "Effects of state-dependent forward guidance, large-scale asset purchases and fiscal stimulus in a low-interest-rate environment," Working Paper Series 2352, European Central Bank.
    40. Eric T. Swanson, 2018. "The Federal Reserve Is Not Very Constrained by the Lower Bound on Nominal Interest Rates," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 555-572.
    41. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    42. Patrick Fève & Alban Moura & Olivier Pierrard, 2022. "The fall in shadow banking and the slow U.S. recovery," Post-Print hal-04058856, HAL.
    43. Luca Benati & Thomas A. Lubik, 2023. "Impulse Response Analysis at the Zero Lower Bound," Diskussionsschriften dp2306, Universitaet Bern, Departement Volkswirtschaft.
    44. Kirsanova, Tatiana & Leith, Campbell & Machado, Celsa & Ribeiro, Ana Paula, 2025. "(Re)Evaluating recent macroeconomic policy in the US," European Economic Review, Elsevier, vol. 178(C).
    45. Ferreira, Leonardo N., 2022. "Forward guidance matters: Disentangling monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 73(C).
    46. Masazumi Hattori & Tomohide Mineyama & Jouchi Nakajima, 2021. "Taylor Rule Yield Curve," Working Papers e156, Tokyo Center for Economic Research.
    47. von Campe, Roland, 2024. "Unconventional monetary policy, financial frictions, and the equity tandem," Journal of Macroeconomics, Elsevier, vol. 79(C).
    48. Haavio, Markus & Laine, Olli-Matti, 2021. "Monetary policy rules and the effective lower bound in the Euro area," Bank of Finland Research Discussion Papers 5/2021, Bank of Finland.
    49. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    50. Wataru Miyamoto & Thuy Lan Nguyen & Dmitry Sergeyev, 2023. "How Oil Shocks Propagate: Evidence on the Monetary Policy Channel," Working Paper Series 2024-06, Federal Reserve Bank of San Francisco.
    51. 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.
    52. Stéphane Lhuissier & Benoit Mojon & Juan Rubio-Ram rez, 2020. "Does the Liquidity Trap Exist?," Working papers 762, Banque de France.
    53. Eric T. Swanson, 2024. "The Macroeconomic Effects of the Federal Reserve’s Conventional and Unconventional Monetary Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(3), pages 1152-1184, September.
    54. Rodriguez-Rodriguez, F.J. & Hierro, L.A. & Garzon, A.J., 2024. "Fed and ECB reaction functions during quantitative easing: Three phases of monetary policy, both conventional and unconventional," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 928-945.
    55. Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
    56. Khan, Hashmat & Phaneuf, Louis & Victor, Jean Gardy, 2020. "Rules-based monetary policy and the threat of indeterminacy when trend inflation is low," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 317-333.
    57. Hiroyuki Kubota & Mototsugu Shintani, 2020. "High-frequency Identification of Unconventional Monetary Policy Shocks in Japan," CARF F-Series CARF-F-502, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    58. Ahmed, Rashad, 2023. "Global commodity prices and macroeconomic fluctuations in a low interest rate environment," Energy Economics, Elsevier, vol. 127(PB).
    59. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
    60. Altavilla, Carlo & Canova, Fabio & Ciccarelli, Matteo, 2020. "Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 81-98.
    61. Donato Masciandaro, 2026. "Monetary Policy and Taylor Reaction Functions: Business Cycles, Central Bank Governance and Central Bankers’ Preferences," BAFFI CAREFIN Working Papers 26270, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.

  19. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," BCAM Working Papers 1705, Birkbeck Centre for Applied Macroeconomics.

    Cited by:

    1. Di Casola, Paola & Sichlimiris, Spyridon, 2018. "Towards Technology-News-Driven Business Cycles," Working Paper Series 360, Sveriges Riksbank (Central Bank of Sweden).
    2. Fidel Sebastian-Perez & Ohad Raveh & Rick van der Ploeg, 2021. "Oil discoveries and protectionism: role of news effects," Tinbergen Institute Discussion Papers 21-047/VIII, Tinbergen Institute.
    3. Richard Harrison & Matt Waldron, 2021. "Optimal policy with occasionally binding constraints: piecewise linear solution methods," Bank of England Staff Working Paper series 911, Bank of England.
    4. Silvia Miranda-Agrippino & Sinem Hacioglu Hoke & Kristina Bluwstein, 2019. "When creativity strikes: news shocks and business cycle fluctuations," Bank of England Staff Working Paper series 788, Bank of England.
    5. Letendre, Marc-André & Obaid, Sabreena, 2020. "Emerging economy business cycles: Interest rate shocks vs trend shocks," Economic Modelling, Elsevier, vol. 93(C), pages 526-545.
    6. Jackson, Laura E. & Owyang, Michael T. & Soques, Daniel, 2018. "Nonlinearities, smoothing and countercyclical monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 136-154.
    7. Cascaldi-Garcia, Danilo, 2025. "Forecast revisions as instruments for news shocks," Journal of Monetary Economics, Elsevier, vol. 151(C).
    8. Rick Van der Ploeg & Fidel Perez-Sebastian & Ohad Raveh, 2019. "Oil Discoveries and Protectionism," Economics Series Working Papers 895, University of Oxford, Department of Economics.
    9. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    10. Lorenzo Bretscher & Andrea Tamoni & Aytek Malkhozov, 2019. "News Shocks and Asset Prices," 2019 Meeting Papers 100, Society for Economic Dynamics.
    11. Beqiraj, Elton & Di Bartolomeo, Giovanni & Di Pietro, Marco & Serpieri, Carolina, 2018. "Comparing Central Europe and the Baltic macro-economies: A Bayesian approach," EconStor Preprints 175242, ZBW - Leibniz Information Centre for Economics.

  20. Gambetti, Luca & Musso, Alberto, 2017. "The macroeconomic impact of the ECB's expanded asset purchase programme (APP)," Working Paper Series 2075, European Central Bank.

    Cited by:

    1. Anastasios Evgenidis & Stephanos Papadamou, 2021. "The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5684-5703, October.
    2. Andrejs Zlobins, 2019. "Country-Level Effects of the ECB's Expanded Asset Purchase Programme," Working Papers 2019/02, Latvijas Banka.
    3. Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2021. "Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic," ZEW Discussion Papers 21-050, ZEW - Leibniz Centre for European Economic Research.
    4. Fabo, Brian & Jančoková, Martina & Kempf, Elisabeth & Pástor, Ľuboš, 2024. "Fifty shades of QE: Robust evidence," Journal of Banking & Finance, Elsevier, vol. 159(C).
    5. Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
    6. Kabaca, Serdar & Maas, Renske & Mavromatis, Kostas & Priftis, Romanos, 2023. "Optimal quantitative easing in a monetary union," European Economic Review, Elsevier, vol. 152(C).
    7. Dusan Stojanovic, 2023. "Quantitative Easing in the Euro Area: Implications for Income and Wealth Inequality," CERGE-EI Working Papers wp760, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. António Afonso & Francisco Gomes Pereira, 2022. "Unconventional Monetary Policy in the Euro Area. Impacts on Loans, Employment, and Investment," CESifo Working Paper Series 9610, CESifo.
    9. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
    10. Filiani, Pasquale, 2021. "Optimal monetary–fiscal policy in the euro area liquidity crisis," Journal of Macroeconomics, Elsevier, vol. 70(C).
    11. Khandokar Istiak & Aviral Kumar Tiwari & Humaira Husain & Kazi Sohag, 2021. "The Spillover of Inflation among the G7 Countries," JRFM, MDPI, vol. 14(8), pages 1-20, August.
    12. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    13. Stein, Julian Alexander Cornelius & Braun, Dieter, 2019. "Stability of a time-homogeneous system of money and antimoney in an agent-based random economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 232-249.
    14. Mandler, Martin & Scharnagl, Michael, 2020. "Estimating the effects of the Eurosystem's asset purchase programme at the country level," Discussion Papers 29/2020, Deutsche Bundesbank.
    15. Pietro Cova & Patrizio Pagano & Massimiliano Pisani, 2019. "Domestic and International Effects of the Eurosystem Expanded Asset Purchase Programme: A Structural Model-Based Analysis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(2), pages 315-348, June.
    16. Lewis, Vivien & Roth, Markus, 2019. "The financial market effects of the ECB's asset purchase programs," Journal of Financial Stability, Elsevier, vol. 43(C), pages 40-52.
    17. Ellen Ryan & Karl Whelan, 2023. "A Model of QE, Reserve Demand, and the Money Multiplier," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(2-3), pages 407-439, March.
    18. Chiara Perillo & Stefano Battiston, 2020. "Real implications of Quantitative Easing in the euro area: a complex-network perspective," Papers 2004.09418, arXiv.org.
    19. Francisco Gomes Pereira, 2023. "Balance Sheet Expansionary Policies in the Euro Area: Macroeconomic Impacts and a Vulnerable versus Non-Vulnerable Comparison - A Bayesian Structural VAR Approach," Working Papers REM 2023/0259, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    20. Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
    21. Margherita Bottero & Camelia Minoiu & José-Luis Peydró & Andrea Polo & Andrea F. Presbitero & Enrico Sette, 2019. "Expansionary yet different: credit supply and real effects of negative interest rate policy," Economics Working Papers 1649, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2020.
    22. Vasiliki Dimakopoulou & George Economides & Apostolis Philippopoulos, 2021. "The ECB's Policy, the Recovery Fund and the Importance of Trust: The Case of Greece," CESifo Working Paper Series 9371, CESifo.
    23. Margherita Bottero & Ms. Camelia Minoiu & José-Luis Peydró & Andrea Polo & Mr. Andrea F Presbitero & Enrico Sette, 2019. "Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data," IMF Working Papers 2019/044, International Monetary Fund.
    24. Andrejs Zlobins, 2019. "Macroeconomic Effects of the ECB's Forward Guidance," Working Papers 2019/03, Latvijas Banka.
    25. Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
    26. Billio, M. & Busetto, F. & Dufour, A. & Varotto, S., 2025. "Bond supply expectations and the term structure of interest rates," Journal of International Money and Finance, Elsevier, vol. 150(C).
    27. Oliver Hülsewig & Horst Rottmann, 2022. "Euro Area Periphery Countries' Fiscal Policy and Monetary Policy Surprises," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 544-568, June.
    28. Andrejs Zlobins, 2020. "ZLB and Beyond: Real and Financial Effects of Low and Negative Interest Rates in the Euro Area," Working Papers 2020/06, Latvijas Banka.

  21. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    2. Canh Phuc NGUYEN & Christophe SCHINCKUS, 2020. "The Spending Behavior of Government through the Lenses of Global Uncertainty and Economic Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-57, July.
    3. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    4. Nguyen Phuc Canh & Udomsak Wongchoti & Su Dinh Thanh, 2021. "Does economic policy uncertainty matter for insurance development? Evidence from 16 OECD countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 614-648, October.
    5. Edgar Silgado‐Gómez, 2024. "Sovereign Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1985-2018, November.
    6. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
    7. Marco Brianti, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-05, University of Alberta, Department of Economics.
    8. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
    9. Canh P. Nguyen & Christophe Schinckus & Dinh Su Thanh, 2020. "Economic Fluctuations And The Shadow Economy: A Global Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-24, September.
    10. Silgado-Gómez, Edgar, 2022. "Sovereign Uncertainty," Research Technical Papers 10/RT/22, Central Bank of Ireland.
    11. Milov{s} Ciganovi'c & Elena Scola Gagliardi & Massimiliano Tancioni, 2025. "Disentangling the Distributional Effects of Financial Shocks in the Euro Area," Papers 2510.11289, arXiv.org.

  22. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.

    Cited by:

    1. Nooman Rebei & Rashid Sbia, 2019. "Transitory and Permanent Shocks in the Global Market for Crude Oil," Working Papers halshs-02193700, HAL.
    2. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    3. Känzig, Diego Raoul, 2020. "The macroeconomic effects of oil supply news: Evidence from OPEC announcements," MPRA Paper 106249, University Library of Munich, Germany.
    4. Riccardo Degasperi, 2026. "Identification of expectational shocks in the oil market using OPEC announcements," Temi di discussione (Economic working papers) 1516, Bank of Italy, Economic Research and International Relations Area.

  23. Forni, Mario & Gambetti, Luca & Sala, Luca, 2017. "News, Uncertainty and Economic Fluctuations," CEPR Discussion Papers 12139, Centre for Economic Policy Research.

    Cited by:

    1. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    2. Canh Phuc NGUYEN & Christophe SCHINCKUS, 2020. "The Spending Behavior of Government through the Lenses of Global Uncertainty and Economic Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-57, July.
    3. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    4. Nguyen Phuc Canh & Udomsak Wongchoti & Su Dinh Thanh, 2021. "Does economic policy uncertainty matter for insurance development? Evidence from 16 OECD countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 614-648, October.
    5. Edgar Silgado‐Gómez, 2024. "Sovereign Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1985-2018, November.
    6. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
    7. Manuel Buchholz & Lena Tonzer & Julian Berner, 2022. "Firm‐specific forecast errors and asymmetric investment propensity," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 764-793, April.
    8. Marco Brianti, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-05, University of Alberta, Department of Economics.
    9. Berner, Julian & Buchholz, Manuel & Tonzer, Lena, 2020. "Asymmetric investment responses to firm-specific forecast errors," IWH Discussion Papers 5/2020, Halle Institute for Economic Research (IWH).
    10. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
    11. Canh P. Nguyen & Christophe Schinckus & Dinh Su Thanh, 2020. "Economic Fluctuations And The Shadow Economy: A Global Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-24, September.
    12. Silgado-Gómez, Edgar, 2022. "Sovereign Uncertainty," Research Technical Papers 10/RT/22, Central Bank of Ireland.
    13. Milov{s} Ciganovi'c & Elena Scola Gagliardi & Massimiliano Tancioni, 2025. "Disentangling the Distributional Effects of Financial Shocks in the Euro Area," Papers 2510.11289, arXiv.org.

  24. Gambetti, Luca & Messina, Julián, 2016. "Evolving Wage Cyclicality in Latin America," IDB Publications (Working Papers) 7791, Inter-American Development Bank.

    Cited by:

    1. Liboreiro, Pablo R., 2025. "Intermediate inputs in Dutch disease. Copper in Chile," Structural Change and Economic Dynamics, Elsevier, vol. 72(C), pages 427-437.
    2. Raphael Corbi & Elias Papaioannou, Paolo Surico, 2018. "Regional Transfer Multipliers," Working Papers, Department of Economics 2018_12, University of São Paulo (FEA-USP).

  25. Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, Centre for Economic Policy Research.

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    2. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
    3. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.
    4. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    5. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    6. Bhattarai, Keshab & Mallick, Sushanta K. & Yang, Bo, 2021. "Are global spillovers complementary or competitive? Need for international policy coordination," Journal of International Money and Finance, Elsevier, vol. 110(C).
    7. G. Rigatos, 2021. "Statistical Validation of Multi-Agent Financial Models Using the H-Infinity Kalman Filter," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 777-798, October.
    8. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    9. 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.

  26. Luca Gambetti & Jordi Galí, 2015. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," Working Papers 724, Barcelona School of Economics.

    Cited by:

    1. Gabriela Victoria Anghelache & Mirela Panait & Radu – Titus Marinescu, 2017. "Analysis model of financial placements and budget execution of Romania in 2016," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(1), pages 93-105, January.
    2. Eksi, Ozan & Tas, Bedri Kamil Onur, 2017. "Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 136-147.
    3. Paras Sachdeva & Wasim Ahmad & N. R. Bhanumurthy, 2023. "Uncovering time variation in public expenditure multipliers: new evidence," Indian Economic Review, Springer, vol. 58(2), pages 445-483, September.
    4. Yang, Yang & Zhang, Jiqiang, 2021. "Effects of monetary policy on the exchange rates: A Time-varying analysis," Finance Research Letters, Elsevier, vol. 43(C).
    5. Hoshino, Satoshi & Ida, Daisuke, 2025. "Stock prices and monetary policy: Analysis of a Bayesian DSGE model," Economic Modelling, Elsevier, vol. 148(C).
    6. Stefan Tanevski, 2026. "The Asset Price Channel of Monetary Policy: Evidence from Regional Stock-Market Developments in the Successor States of Former Yugoslavia," Papers 2605.14575, arXiv.org.
    7. Jong Kook Shin & Chetan Subramanian, 2019. "Asset Price Bubbles And Technological Innovation," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 482-497, January.
    8. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
    9. Moura, Guilherme V. & Noriller, Mateus R., 2019. "Maximum likelihood estimation of a TVP-VAR," Economics Letters, Elsevier, vol. 174(C), pages 78-83.
    10. Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," Globalization Institute Working Papers 314, Federal Reserve Bank of Dallas.
    11. Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
    12. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
    13. E. Netunaev B. & Е. Нетунаев Б., 2017. "Феномен Заразных Финансовых Пузырей // The Phenomenon Of Contagious Financial Bubbles," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 21(6), pages 154-165.
    14. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Shin, Minchul, 2023. "Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1054-1086.
    15. Nave, Juan M. & Ruiz, Javier, 2025. "Stock market sensitivities to European monetary policy," The Journal of Economic Asymmetries, Elsevier, vol. 32(C).
    16. Indrani Manna, 2018. "Can We Still Lean Against the Wind?," Open Economies Review, Springer, vol. 29(2), pages 223-259, April.
    17. Verona, Fabio & Martins, Manuel M.F. & Drumond, Inês, 2017. "Financial shocks, financial stability, and optimal Taylor rules," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 187-207.
    18. Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018. "Oil price shocks and uncertainty: How stable is their relationship over time?," Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
    19. Gorgi, Paolo & Koopman, Siem Jan & Li, Mengheng, 2019. "Forecasting economic time series using score-driven dynamic models with mixed-data sampling," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1735-1747.
    20. Ecenur Ugurlu‐Yildirim & Baris Kocaarslan & Beyza M. Ordu‐Akkaya, 2021. "Monetary policy uncertainty, investor sentiment, and US stock market performance: New evidence from nonlinear cointegration analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1724-1738, April.
    21. Shi, Shuping & Phillips, Peter C.B., 2026. "Uncovering mild drift in asset prices with intraday high-frequency data," Journal of Econometrics, Elsevier, vol. 253(C).
    22. Sussman, Nathan & Zohar, Osnat, 2016. "Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations during the Globa," CEPR Discussion Papers 11535, Centre for Economic Policy Research.
    23. Lidiema, Caspah, 2018. "Intra-market linkages in the financial sector and their effects on financial inclusion," KBA Centre for Research on Financial Markets and Policy Working Paper Series 28, Kenya Bankers Association (KBA).
    24. Anna Samarina & Anh D.M. Nguyen, 2019. "Does monetary policy affect income inequality in the euro area?," Bank of Lithuania Working Paper Series 61, Bank of Lithuania.
    25. Belke, Ansgar & Beckmann, Joscha, 2015. "Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 254-265.
    26. Gambetti, Luca & Messina, Julián, 2016. "Evolving Wage Cyclicality in Latin America," IDB Publications (Working Papers) 7791, Inter-American Development Bank.
    27. Cepni, Oguzhan & Gupta, Rangan, 2021. "Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    28. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 89, pages 1-12.
    29. Licheng Zhang, 2025. "Monetary policy and equity returns: The role of investor risk aversion," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2867-2882, July.
    30. Enock Mwakalila & Lusekelo Kasongwa, 2025. "Monetary policy transmission through financial markets in Tanzania: examining the macroeconomic impacts," SN Business & Economics, Springer, vol. 5(8), pages 1-27, August.
    31. Constantin ANGHELACHE & Madalina-Gabriela ANGHEL & Radu STOICA, 2017. "Quarterly Analysis Of Gross Domestic Product Evolution - Significance Of Growth Rate," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 16-28, June.
    32. Adra, Samer & Barbopoulos, Leonidas G. & Saunders, Anthony, 2020. "The impact of monetary policy on M&A outcomes," Journal of Corporate Finance, Elsevier, vol. 62(C).
    33. Luo, Erga & Yan, Ru & He, Yaping & Han, Zhen & Feng, Yiyu & Qian, Wenrong & Li, Jinkai, 2024. "Does biogas industrial policy promote the industrial transformation?," Resources Policy, Elsevier, vol. 88(C).
    34. Marcio Santetti, 2025. "The economy-wide rebound effect and U.S. business cycles: A time-varying exercise," Papers 2512.20765, arXiv.org.
    35. Akaki Tsomaia, 2021. "Asset bubbles, financial sector, and current challenges to regulatory framework," International Economics and Economic Policy, Springer, vol. 18(4), pages 901-925, October.
    36. Takumah, Wisdom, 2023. "Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors," MPRA Paper 117897, University Library of Munich, Germany, revised 10 Jul 2023.
    37. Jordi Gal?, 2014. "Monetary Policy and Rational Asset Price Bubbles," American Economic Review, American Economic Association, vol. 104(3), pages 721-752, March.
    38. Monia Magnani & Massimo Guidolin, 2025. "Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles," BAFFI CAREFIN Working Papers 25252, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    39. Shogo Miura, 2025. "Household assets and business cycle fluctuations," Bulletin of Economic Research, Wiley Blackwell, vol. 77(1), pages 5-25, January.
    40. Caraiani, Petre & Dutescu, Adriana & Hoinaru, Răzvan & Stănilă, Georgiana Oana, 2020. "Production network structure and the impact of the monetary policy shocks: Evidence from the OECD," Economics Letters, Elsevier, vol. 193(C).
    41. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    42. Caraiani, Petre, 2019. "Oil shocks and production network structure: Evidence from the OECD," Energy Economics, Elsevier, vol. 84(C).
    43. Filardo, Andrew & Hubert, Paul & Rungcharoenkitkul, Phurichai, 2022. "Monetary policy reaction function and the financial cycle," Journal of Banking & Finance, Elsevier, vol. 142(C).
    44. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2020. "Revising the impact of global commodity prices and global stock market volatility shocks: effects across countries," Working Papers 2020-10, University of Tasmania, Tasmanian School of Business and Economics.
    45. Laine, Olli-Matti, 2020. "Monetary policy and stock market valuation," Bank of Finland Research Discussion Papers 16/2020, Bank of Finland.
    46. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    47. Bein, Murad A., 2026. "Dynamic interrelations and the potential of global industrial sectors to function as a refuge for the global transition towards a low-carbon economy," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    48. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2020. "Global commodity prices and global stock market volatility shocks: Effects across countries," Journal of Asian Economics, Elsevier, vol. 71(C).
    49. Pengfei Wang & Jianjun Miao & Feng Dong, 2017. "Asset Bubbles and Monetary Policy," 2017 Meeting Papers 205, Society for Economic Dynamics.
    50. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2017. "Explaining the time-varying effects of oil market shocks on US stock returns," Economics Letters, Elsevier, vol. 155(C), pages 84-88.
    51. Duan, Kun & Zhang, Liya & Chen, Shuyun & Urquhart, Andrew, 2025. "Heterogeneous housing bubbles and monetary policy," International Review of Financial Analysis, Elsevier, vol. 103(C).
    52. Figuerola-Ferretti, Isabel & Cueto, José Manuel & Márquez, Javier & Bermejo, Ramón, 2025. "Firm-level analysis of bubble formation in Chinese real estate equities," Economic Modelling, Elsevier, vol. 151(C).
    53. Ou Sun & Zhixin Liu, 2016. "Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-20, November.
    54. Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022. "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    55. Galí, Jordi & Giusti, Giovanni & Noussair, Charles N., 2021. "Monetary Policy and Asset Price Bubbles: A Laboratory Experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    56. Takumah, Wisdom & Ujah, Nacasius, 2025. "Defense spending and asset prices: The role of cointegration and high-dimensional macroeconomic data," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 2346-2359.
    57. Alexandru MANOLE & Madalina-Gabriela ANGHEL & Alexandru BADIU & Doina AVRAM, 2017. "Theoretical considerations regarding the main macroeconomic proportions and correlations," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(3), pages 169-181, March.
    58. Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, Centre for Economic Policy Research.
    59. Samer Adra & Jairaj Gupta & Elie Menassa, 2026. "From monetary policy to capital investment: the role of executive compensation," Review of Quantitative Finance and Accounting, Springer, vol. 67(1), pages 81-116, July.
    60. Nathan Sussman & Osnat Zohar, 2016. "Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations during the Global Financial Crisis," Bank of Israel Working Papers 2016.13, Bank of Israel.
    61. Mathieu Boullot, 2017. "Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles," Working Papers halshs-01295012, HAL.
    62. Ankargren, Sebastian & Shahnazarian, Hovick, 2019. "The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden," Working Paper Series 365, Sveriges Riksbank (Central Bank of Sweden), revised 01 Apr 2019.
    63. Ziyan Zhao & Qingfeng Liu, 2024. "Time-Varying Structural Approximate Dynamic Factor Model," Economic Growth Centre Working Paper Series 2401, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    64. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96705, University Library of Munich, Germany.
    65. Caraiani, Petre & Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 133-155.
    66. Gambetti, Luca & Musso, Alberto, 2017. "The macroeconomic impact of the ECB's expanded asset purchase programme (APP)," Working Paper Series 2075, European Central Bank.
    67. Agur, Itai, 2019. "Monetary and macroprudential policy coordination among multiple equilibria," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 192-209.
    68. Chong-Chuo Chang & Kuen-Shiou Yang, 2021. "Loose monetary policy and firm uncertainty," SN Business & Economics, Springer, vol. 1(3), pages 1-27, March.
    69. Caraiani, Petre & Călin, Adrian Cantemir, 2024. "The comovement of bubbles’ responses to monetary policy shocks," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    70. Vladimir Asriyan & Luca Fornaro & Alberto Martin & Jaume Ventura, 2016. "Monetary policy for a bubbly world," Economics Working Papers 1533, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2020.
    71. Trung Thanh Nguyen & Thi Linh Do & Van Duy Nguyen, 2016. "Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 132-132, July.
    72. Guevara, Carlos & Rodríguez, Gabriel, 2020. "The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    73. Yang, Jinyu & Dong, Dayong & Liang, Chao & Cao, Yang, 2024. "Monetary policy uncertainty and the price bubbles in energy markets," Energy Economics, Elsevier, vol. 133(C).
    74. Lee, Changju & Ku, Seungmo & Cho, Poongjin & Chang, Woojin, 2019. "Explaining future market return and evaluating market condition with common preferred spread index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 921-934.
    75. Salha Ben Salem & Moez Labidi, 2024. "Financial friction and optimal monetary policy: analysis of DSGE model with financial friction and price sticky," SN Business & Economics, Springer, vol. 4(7), pages 1-24, July.
    76. Cordelia Onyinyechi Omodero & Dorcas Titilayo Adetula & Kingsley Adeyemo, 2021. "Stock Market Reaction to Monetary Policy Modifications: Evidence from an Emergent Market," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 10, May.
    77. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    78. Pascal Paul, 2019. "The Time-Varying Effect of Monetary Policy on Asset Prices," Working Paper Series 2017-09, Federal Reserve Bank of San Francisco.
    79. Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries," Globalization Institute Working Papers 311, Federal Reserve Bank of Dallas.
    80. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    81. Wensheng Kang & Jing Wang, 2018. "Oil shocks, policy uncertainty and earnings surprises," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 375-388, August.
    82. Yan, Shuli & Wang, Jingyuan & Wu, Liangpeng, 2024. "Dynamics of green transition based on stock-flow consistent model considering compound risks," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 530-553.
    83. Ardakani, Omid M., 2025. "Informational efficiency and rational bubbles," International Review of Economics & Finance, Elsevier, vol. 103(C).
    84. Petre Caraiani & Adrian C. Călin & Rangan Gupta, 2021. "Monetary policy and bubbles in US REITs," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 675-687, June.
    85. Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
    86. 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).
    87. Antonello D’Agostino & Jacopo Cimadomo, 2015. "Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy," Working Papers 7, European Stability Mechanism.
    88. Danilo Leiva-Leon & Luis Uzeda, 2023. "Endogenous Time Variation in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 105(1), pages 125-142, January.
    89. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    90. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    91. Zhang, Tongbin, 2014. "Stock Price, Real Riskless Interest Rate and Learning," MPRA Paper 57090, University Library of Munich, Germany.
    92. Busu, Cristian & Busu, Mihail, 2019. "Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    93. Hur, Joonyoung & Kim, Soyoung & Lee, Yeil, 2026. "Time-varying effects of monetary policy shocks in five asian countries," Journal of International Money and Finance, Elsevier, vol. 161(C).
    94. Kang, Wensheng & Perez de Gracia, Fernando & Ratti, Ronald A., 2021. "Economic uncertainty, oil prices, hedging and U.S. stock returns of the airline industry," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    95. Albuquerque, Bruno & Iseringhausen, Martin & Opitz, Frederic, 2020. "Monetary policy and US housing expansions: The case of time-varying supply elasticities," Economics Letters, Elsevier, vol. 195(C).
    96. Qing Zhu & Shuyu Bai & Jia Wang, 2022. "Liquidity, Asset Price Volatility, and Monetary Policy Choices: Empirical Evidence from China," Complexity, John Wiley & Sons, vol. 2022(1).
    97. Christophe André & Petre Caraiani & Adrian Cantemir Čalin & Rangan Gupta, 2018. "Can Monetary Policy Lean against Housing Bubbles?," Working Papers 201877, University of Pretoria, Department of Economics.
    98. Bui, Huynh Tuan Duy & Herwartz, Helmut & Wang, Shu, 2025. "Central bank announcements and monitoring portfolio risks," International Review of Economics & Finance, Elsevier, vol. 103(C).
    99. Myrna Hennequin & Cars Hommes, 2024. "Managing Bubbles in Experimental Asset Markets with Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 429-454, March.
    100. Petre Caraiani & Adrian Cantemir Călin, 2020. "Housing markets, monetary policy, and the international co‐movement of housing bubbles," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 365-375, May.
    101. Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2023. "Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India," Working Papers 202305, University of Pretoria, Department of Economics.
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    123. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
    124. Ehsan Ahmed & J. Barkley Rosser, Jr. & Jamshed Y. Uppal, 2016. "A Raging Bull or a Long-term Speculative Bubble? The Puzzling Case of the Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 55(2), pages 79-93.
    125. Jelena Zivanovic, 2019. "What Does Structural Analysis of the External Finance Premium Say About Financial Frictions?," Staff Working Papers 19-38, Bank of Canada.
    126. Pierre Guérin & Danilo Leiva-Leon, 2017. "Monetary policy, stock market and sectoral comovement," Working Papers 1731, Banco de España.
    127. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    128. Hodula Martin & Pfeifer Lukáš, 2018. "Fiscal-Monetary-Financial Stability Interactions in a Data-Rich Environment," Review of Economic Perspectives, Paradigm, vol. 18(3), pages 195-224, September.
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    130. Vespignani, Joaquin & Kang, Wensheng & Ratti, Ronald, 2018. "Global Commodity Prices and Global Stock Volatility Shocks," MPRA Paper 84250, University Library of Munich, Germany.
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    132. Marcin Pietrzak, 2023. "What can monetary policy tell us about Bitcoin?," Annals of Finance, Springer, vol. 19(4), pages 545-559, December.
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    135. Gerhard Fenz & Christian Ragacs & Martin Schneider & Klaus Vondra & Walter Waschiczek, 2015. "Causes of declining investment activity in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 12-34.
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    138. Azad, Nahiyan Faisal & Serletis, Apostolos, 2022. "A century and a half of the monetary base-stock market relationship," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 118-124.
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    143. Junqing Tang & Hans R. Heinimann, 2019. "Quantitative evaluation of consecutive resilience cycles in stock market performance: A systems-oriented approach," Papers 1903.03201, arXiv.org.
    144. Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
    145. Anastasios Evgenidis & Apostolos Fasianos, 2021. "Unconventional Monetary Policy and Wealth Inequalities in Great Britain," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 115-175, February.
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    147. de Mendonça, Helder Ferreira & Díaz, Raime Rolando Rodríguez, 2023. "Can ignorance about the interest rate and macroeconomic surprises affect the stock market return? Evidence from a large emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
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    151. Bogdan Dima & Ștefana Maria Dima, 2024. "The non-linear impact of monetary policy on shifts in economic policy uncertainty: evidence from the United States of America," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 755-781, August.
    152. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.
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  27. Evi Pappa & Luca Gambetti, 2015. "Does inflation targeting matter for output and inflation volatility?," Working Papers 410, Barcelona School of Economics.

    Cited by:

    1. Amaia Altuzarra & Ricardo Bustillo & Carlos Rodríguez, 2022. "Does the monetary policy regime matter in the effect of credit on growth?," International Finance, Wiley Blackwell, vol. 25(3), pages 341-374, December.

  28. Gambetti, Luca & De Giorgi, Giacomo, 2014. "Business Cycle Fluctuations and the Distribution of Consumption," CEPR Discussion Papers 10319, Centre for Economic Policy Research.

    Cited by:

    1. Sultanuzzaman, Md Reza & Yahya, Farzan & Lee, Chien-Chiang, 2024. "Exploring the complex interplay of green finance, business cycles, and energy development," Energy, Elsevier, vol. 306(C).
    2. Mr. Niels-Jakob H Hansen & Alessandro Lin & Rui Mano, 2020. "Should Inequality Factor into Central Banks' Decisions?," IMF Working Papers 2020/196, International Monetary Fund.
    3. De Giorgi, Giacomo & Gambetti, Luca & Naguib, Costanza, 2020. "Life-Cycle Inequality: Blacks And Whites Differentials In Life Expectancy, Savings, Income, And Consumption," CEPR Discussion Papers 15182, Centre for Economic Policy Research.
    4. OH, Joonseok; ROGANTINI PICCO, Anna, 2019. "Macro uncertainty and unemployment risk," Economics Working Papers ECO 2019/02, European University Institute.
    5. Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018. "Effects of bank capital requirement tightenings on inequality," Discussion Papers 54/2018, Deutsche Bundesbank.
    6. Drossidis, Theo & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2024. "The distributional effects of oil supply news shocks," Economics Letters, Elsevier, vol. 240(C).
    7. Cristiano Cantore & Filippo Ferroni & Haroon Mumtaz & Angeliki Theophilopoulou, 2023. "A tail of labor supply and a tale of monetary policy," Discussion Papers 2308, Centre for Macroeconomics (CFM).
    8. Masaru INABA & Kengo NUTAHARA & Daichi SHIRAI, 2024. "Sources of Inequality and Business Cycles: Evidence from the US and Japan," CIGS Working Paper Series 23-006E, The Canon Institute for Global Studies.
    9. Junicke, Monika & Matějů, Jakub & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2025. "The heterogeneous effects of technology shocks. Evidence from the Czech Labour market," Economics Letters, Elsevier, vol. 247(C).
    10. Sangyup Choi & Jeeyeon Phi, 2022. "Impact of Uncertainty Shocks on Income and Wealth Inequality," Working papers 2022rwp-196, Yonsei University, Yonsei Economics Research Institute.
    11. Chan, Jenny & Diz, Sebastian & Kanngiesser, Derrick, 2024. "Energy prices and household heterogeneity: Monetary policy in a Gas-TANK," Journal of Monetary Economics, Elsevier, vol. 147(S).
    12. Yasmeen, Rizwana & Shah, Wasi Ul Hassan, 2025. "Impact of business cycles on energy poverty: Exploring the significance with sustainable development goals in newly industrialized economies," Applied Energy, Elsevier, vol. 378(PA).
    13. Anastasia Burya & Rui Mano & Mr. Yannick Timmer & Miss Anke Weber, 2022. "Monetary Policy Under Labor Market Power," IMF Working Papers 2022/128, International Monetary Fund.
    14. Hikaru Saijo, 2019. "Technology Shocks and Hours Revisited: Evidence from Household Data," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 347-362, January.
    15. Theophilopoulou, Angeliki, 2018. "The impact of macroeconomic uncertainty on inequality: An empirical study for the UK," MPRA Paper 90448, University Library of Munich, Germany.
    16. Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa, 2026. "The redistributive power of business cycle fluctuations," Working Papers 2026-2, Faculty of Economic Sciences, University of Warsaw.
    17. Mumtaz, Haroon & Theophilopoulou, Angeliki, 2020. "Monetary policy and wealth inequality over the great recession in the UK. An empirical analysis," European Economic Review, Elsevier, vol. 130(C).
    18. Guerino Ardizzi & Simone Emiliozzi & Juri Marcucci & Libero Monteforte, 2019. "News and consumer card payments," Temi di discussione (Economic working papers) 1233, Bank of Italy, Economic Research and International Relations Area.
    19. Reza Najarzadeh & Alireza Keikha & Hassan Heydari, 2021. "Dynamics of consumption distribution and economic fluctuations," Economic Change and Restructuring, Springer, vol. 54(3), pages 847-876, August.
    20. Veracierto, Marcelo, 2021. "Business cycle fluctuations in Mirrlees economies: The case of i.i.d. shocks," Journal of Economic Theory, Elsevier, vol. 196(C).
    21. Broer, Tobias, 2020. "Consumption insurance over the business cycle," CEPR Discussion Papers 14579, Centre for Economic Policy Research.
    22. Central Reserve Bank of Peru, 2023. "eru: labour market, wages and monetary policy in the aftermath of Covid-19," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation and labour markets, volume 127, pages 221-236, Bank for International Settlements.
    23. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    24. Xu, Zhiwei & Xue, Jianpo & Zhang, Zhewei, 2025. "Understanding the distributional effects of income uncertainty shocks," China Economic Review, Elsevier, vol. 91(C).
    25. Niels-Jakob H. Hansen & Alessandro Lin & Rui C. Mano, 2023. "Should inequality factor into central banks’ decisions?," Temi di discussione (Economic working papers) 1410, Bank of Italy, Economic Research and International Relations Area.
    26. Grand, François Le & Ragot, Xavier, 2018. "A class of tractable incomplete-market models for studying asset returns and risk exposure," European Economic Review, Elsevier, vol. 103(C), pages 39-59.

  29. Forni, Mario & Gambetti, Luca, 2014. "Government Spending Shocks in Open Economy VARs," CEPR Discussion Papers 10115, Centre for Economic Policy Research.

    Cited by:

    1. Tuan Ho Quoc & Wenyi Shen, 2026. "The business cycle state‐dependent effects of tax news: A joint‐state analysis," Economic Inquiry, Western Economic Association International, vol. 64(2), pages 702-723, April.
    2. Georgios Karras, 2020. "Are "Twin Deficits" an Illusion? International Evidence on Fiscal Policy and the Current Account," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 18(2), pages 139-157.
    3. Miyamoto, Wataru & Nguyen, Thuy Lan & Sheremirov, Viacheslav, 2019. "The effects of government spending on real exchange rates: Evidence from military spending panel data," Journal of International Economics, Elsevier, vol. 116(C), pages 144-157.
    4. Cristiano Cantore & Lukas Freund, 2020. "Workers, capitalists, and the government: fiscal policy and income (re)distribution," Bank of England Staff Working Paper series 858, Bank of England.
    5. Patrick Blagrave & Giang Ho & Ksenia Koloskova & Mr. Esteban Vesperoni, 2017. "Fiscal Spillovers: The Importance of Macroeconomic and Policy Conditions in Transmission," IMF Spillover Notes 2017/002, International Monetary Fund.
    6. Hale, Galina & Leer, John & Nechio, Fernanda, 2025. "Fiscal policy design and inflation: The COVID-19 pandemic experience," Santa Cruz Department of Economics, Working Paper Series qt9cc4c34z, Department of Economics, UC Santa Cruz.
    7. Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2020. "Nonlinearities and expenditure multipliers in the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def089, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    8. Dissou, Yazid & Ma, Sicong, 2026. "Public investment and real exchange rate dynamics: The role of public capital productivity," Economic Modelling, Elsevier, vol. 155(C).
    9. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    10. Hory, Marie-Pierre & Levieuge, Grégory & Onori, Daria, 2021. "Public spending, currency mismatch and financial frictions," Journal of International Money and Finance, Elsevier, vol. 116(C).
    11. Albina Latifi & Viktoriia Naboka-Krell & Peter Tillmann & Peter Winker, 2023. "Fiscal Policy in the Bundestag: Textual Analysis and Macroeconomic Effects," MAGKS Papers on Economics 202307, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    12. Andrea Cappelletti, 2025. "News on Asymmetric Fiscal Multipliers," "Marco Fanno" Working Papers 0330, Dipartimento di Scienze Economiche "Marco Fanno".
    13. Maria Botey-Fullat & Cristina Marín-Palacios & Jesús Garcia Garcia-Doncel, 2025. "Sovereign Risk Premium and Macroeconomy: Causal Relationship," Contemporary Economics, Vizja University, vol. 19(1), March.
    14. Ellahie, Atif & Ricco, Giovanni, "undated". "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    15. Sangyup Choi & Davide Furceri & Chansik Yoon, 2020. "International Fiscal-financial Spillovers: The Effect of Fiscal Shocks on Cross-border Bank Lending," Working papers 2020rwp-179, Yonsei University, Yonsei Economics Research Institute.
    16. End, Nicolas, 2023. "Big Brother is also being watched: Measuring fiscal credibility," Journal of Macroeconomics, Elsevier, vol. 77(C).
    17. Litainas, Michail & McAdam, Peter & Montagnoli, Alberto & Mouratidis, Konstantinos, 2026. "News and surprises: Revisiting fiscal shocks in the open economy," Journal of International Money and Finance, Elsevier, vol. 161(C).
    18. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    19. Ong, Kian, 2018. "Do fiscal spending news shocks generate financial spillovers?," Economics Letters, Elsevier, vol. 164(C), pages 46-49.
    20. Andrea Boitani & Salvatore Perdichizzi, 2018. "Public Expenditure Multipliers in recessions. Evidence from the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def068, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    21. Daniela Fantozzi & Alessio Muscarnera, 2026. "A News-Based Policy Index for Italy: Expectations and Fiscal Policy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 12(1), pages 111-155, March.
    22. Grzegorz Wesołowski & Oleg Gurshev, 2025. "US macroeconomic shocks and international business cycle," Working Papers 2025-06, Faculty of Economic Sciences, University of Warsaw.
    23. Max Breitenlechner & Martin Geiger & Mathias Klein, 2024. "The Fiscal Channel of Monetary Policy," Working Papers 2024-07, Faculty of Economics and Statistics, Universität Innsbruck.
    24. Agata Szymańska, 2018. "Wpływ polityki fiskalnej na PKB w krajach Unii Europejskiej spoza strefy euro," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 49-74.
    25. Yifei Lyu, 2021. "The Macroeconomic Effects of Government Spending Shocks in New Zealand," Treasury Working Paper Series 21/02, New Zealand Treasury.
    26. Dirks, Maximilian & Schmidt, Torsten, 2023. "The relationship between political instability and economic growth in advanced economies: Empirical evidence from a panel VAR and a dynamic panel FE-IV analysis," Ruhr Economic Papers 1000, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    27. Ascari, Guido & Beck-Friis, Peder & Florio, Anna & Gobbi, Alessandro, 2023. "Fiscal foresight and the effects of government spending: It’s all in the monetary-fiscal mix," Journal of Monetary Economics, Elsevier, vol. 134(C), pages 1-15.
    28. Stéphane Lhuissier & Benoît Nguyen, 2025. "Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(7), pages 846-861, November.
    29. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    30. Hyeongwoo Kim & Shuwei Zhang, 2018. "Understanding Why Fiscal Stimulus Can Fail through the Lens of the Survey of Professional Forecasters," Auburn Economics Working Paper Series auwp2018-04, Department of Economics, Auburn University.
    31. Natoli, Filippo, 2022. "Temperature surprise shocks," MPRA Paper 112568, University Library of Munich, Germany.
    32. Bonam, Dennis & Ciccarelli, Matteo & Gomes, Sandra & Aldama, Pierre & Bańkowski, Krzysztof & Buss, Ginters & da Costa, José Cardoso & Christoffel, Kai & Elfsbacka Schmöller, Michaela & Jacquinot, Pasc, 2024. "Challenges for monetary and fiscal policy interactions in the post-pandemic era," Occasional Paper Series 337, European Central Bank.
    33. Bijie Jia & Hyeongwoo Kim & Shuwei Zhang, 2021. "Assessing the Role of Sentiment in the Propagation of Fiscal Stimulus," Auburn Economics Working Paper Series auwp2021-01, Department of Economics, Auburn University.
    34. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    35. Chen, Yong & Liu, Dingming, 2018. "Government spending shocks and the real exchange rate in China: Evidence from a sign-restricted VAR model," Economic Modelling, Elsevier, vol. 68(C), pages 543-554.
    36. Georgios KARRAS, 2019. "“Twins” Or Just “Siblings”?Budget And Current Account Deficits In Europe, 1870-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 19(1), pages 33-42.
    37. Goemans, Pascal, 2023. "The impact of public consumption and investment in the euro area during periods of high and normal uncertainty," Economic Modelling, Elsevier, vol. 126(C).
    38. Pascal Goemans & Robinson Kruse‐Becher, 2025. "Time‐Varying US Government Spending Anticipation in Real Time," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(3), pages 867-880, April.
    39. Hale, Galina & Leer, John & Nechio, Fernanda, 2022. "Inflationary Effects of Fiscal Support to Households and Firms," Santa Cruz Department of Economics, Working Paper Series qt8qt1t3t4, Department of Economics, UC Santa Cruz.
    40. Mathias Klein & Ludger Linnemann, 2026. "Fiscal Policy, International Spillovers, and Endogenous Productivity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 58(4), pages 1089-1130, June.
    41. Salvatore Perdichizzi, 2017. "Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def058, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    42. Rüth, Sebastian K. & Simon, Camilla, 2022. "How do income and the debt position of households propagate fiscal stimulus into consumption?," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    43. Ilori, Ayobami E. & Paez-Farrell, Juan & Thoenissen, Christoph, 2022. "Fiscal policy shocks and international spillovers," European Economic Review, Elsevier, vol. 141(C).
    44. Kang, Jihye & Kim, Soyoung, 2022. "Government spending news and surprise shocks: It’s the timing and persistence," Journal of Macroeconomics, Elsevier, vol. 73(C).
    45. Kučera, Adam & Kočenda, Evžen & Maršál, Aleš, 2025. "Yield curve dynamics and fiscal policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    46. Romano, Simone, 2018. "Fiscal foresight: Do expectations have cross-border effects?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 71-82.
    47. Kolasa, Marcin & Laséen, Stefan & Lindé, Jesper, 2025. "Unconventional Monetary Policies in Small Open Economies," Working Paper Series 450, Sveriges Riksbank (Central Bank of Sweden).
    48. Klein, Mathias & Linnemann, Ludger, 2019. "Tax and spending shocks in the open economy: are the deficits twins?," Working Paper Series 377, Sveriges Riksbank (Central Bank of Sweden).
    49. Kevin Lee & James Morley & Kian Ong & Kalvinder Shields, 2018. "Measuring the fiscal multiplier when plans take time to implement," Discussion Papers 2018/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
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    52. Karras, Georgios, 2019. "Are “twin deficits” asymmetric? Evidence on government budget and current account balances, 1870–2013," International Economics, Elsevier, vol. 158(C), pages 12-24.
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    54. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2020. "Questioning the puzzle: Fiscal policy, exchange rate and inflation," Working papers 752, Banque de France.
    55. Efrem Castelnuovo & Guay Lim, 2019. "What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(1), pages 78-93, March.
    56. Hamed Ghiaie, 2017. "Credit Crunch On Financial Intermediary," Thema Working Papers 2017-09, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
    57. Luca Metelli & Filippo Natoli, 2019. "The international transmission of US tax shocks: a proxy-SVAR approach," Temi di discussione (Economic working papers) 1223, Bank of Italy, Economic Research and International Relations Area.
    58. Francesco Amodeo & Edoardo Briganti, 2025. "High-Frequency Cross-Sectional Identification of Military News Shocks," Staff Working Papers 25-27, Bank of Canada.
    59. Christofzik, Désirée I. & Fuest, Angela & Jessen, Robin, 2020. "Macroeconomic effects of the anticipation and implementation of tax changes in Germany: Evidence from a narrative account," Ruhr Economic Papers 852, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    60. Kim, Hyeongwoo & Shao, Peng & Zhang, Shuwei, 2023. "Policy coordination and the effectiveness of fiscal stimulus," Journal of Macroeconomics, Elsevier, vol. 75(C).
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    62. Neville Francis & Peter Reinhard Hansen & Chen Tong, 2025. "Principled Identification of Structural Dynamic Models," Papers 2512.17005, arXiv.org, revised Apr 2026.
    63. Klein, Mathias & Linnemann, Ludger, 2024. "Tax shocks, firm entry, and productivity in the open economy," Journal of International Money and Finance, Elsevier, vol. 149(C).
    64. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    65. Mathias Klein & Ludger Linnemann, 2019. "Tax and Spending Shocks in the Open Economy: Are the Deficits Twins?," Discussion Papers of DIW Berlin 1821, DIW Berlin, German Institute for Economic Research.
    66. Alvaro Fernandez-Gallardo & Ivan Paya, 2020. "Macroprudential Policy in the Euro Area," Working Papers 307121127, Lancaster University Management School, Economics Department.
    67. Ali Alichi & Mr. Ippei Shibata & Kadir Tanyeri, 2019. "Fiscal Policy Multipliers in Small States," IMF Working Papers 2019/072, International Monetary Fund.
    68. van der Wielen, Wouter, 2020. "The macroeconomic effects of tax changes: Evidence using real-time data for the European Union," Economic Modelling, Elsevier, vol. 90(C), pages 302-321.
    69. Klein, Mathias & Linnemann, Ludger, 2019. "Tax and spending shocks in the open economy: Are the deficits twins?," European Economic Review, Elsevier, vol. 120(C).
    70. Aguilar, Jose & Lahura, Erick, 2026. "When expectations matter: The role of fiscal foresight in government spending shocks in Peru," Economic Analysis and Policy, Elsevier, vol. 89(C), pages 505-526.
    71. Dirks, Maximilian W. & Schmidt, Torsten, 2024. "Political instability and economic growth: Causation and transmission," European Journal of Political Economy, Elsevier, vol. 85(C).
    72. Henri Keränen & Sakari Lähdemäki, 2020. "Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments," Working Papers 330, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    73. Simona Lorena Comi & Elena Cottini & Claudio Lucifora, 2020. "The effect of retirement on social relationships: new evidence from SHARE," DISCE - Working Papers del Dipartimento di Economia e Finanza def088, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    74. Hyeongwoo Kim & Bijie Jia, 2017. "Government Spending Shocks and Private Activity: The Role of Sentiments," Auburn Economics Working Paper Series auwp2017-08, Department of Economics, Auburn University.
    75. Mr. Tidiane Kinda & Andras Lengyel & Kaustubh Chahande, 2022. "Fiscal Multipliers During Pandemics," IMF Working Papers 2022/149, International Monetary Fund.
    76. Ferrara, Laurent & Metelli, Luca & Natoli, Filippo & Siena, Daniele, 2021. "Questioning the puzzle: Fiscal policy, real exchange rate and inflation," Journal of International Economics, Elsevier, vol. 133(C).
    77. Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
    78. Cavallari, Lilia & Romano, Simone, 2017. "Fiscal policy in Europe: The importance of making it predictable," Economic Modelling, Elsevier, vol. 60(C), pages 81-97.
    79. Woo, Jaejoon, 2026. "The fiscal and current account nexus: Evidence from South Korea," International Economics, Elsevier, vol. 185(C).
    80. Canzoneri, Matthew B & Dellas, Harris & Diba, Behzad & Collard, Fabrice, 2015. "Fiscal Multipliers in Recessions," CEPR Discussion Papers 10353, Centre for Economic Policy Research.
    81. Mamondi Victor Daniel & Oviedo Jorge & De la Rosa Adolfo, 2023. "El-Déficit-Fiscal-Deteriora-el-Tipo-de-Cambio-Real.-Evidencias-por-medio-de-un-modelo-de-EGDE-para-Argentina," Asociación Argentina de Economía Política: Working Papers 4666, Asociación Argentina de Economía Política.
    82. Madeline Hanson & Daniela Hauser & Romanos Priftis, 2021. "Fiscal Spillovers: The Case of US Corporate and Personal Income Taxes," Staff Working Papers 21-41, Bank of Canada.
    83. Ramona Tiganasu & Gabriela Carmen Pascariu & Dan Lupu, 2022. "Competitiveness, fiscal policy and corruption: evidence from Central and Eastern European countries," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 667-698, September.
    84. Rüth, Sebastian K. & Simon, Camilla, 2020. "How Do Income and the Debt Position of Households Propagate Public into Private Spending?," Working Papers 0676, University of Heidelberg, Department of Economics.
    85. Filippo Natoli, 2023. "The macroeconomic effects of temperature surprise shocks," Temi di discussione (Economic working papers) 1407, Bank of Italy, Economic Research and International Relations Area.

  30. Joris de Wind & Luca Gambetti, 2014. "Reduced-rank time-varying vector autoregressions," CPB Discussion Paper 270, CPB Netherlands Bureau for Economic Policy Analysis.

    Cited by:

    1. Simon Beyeler, 2019. "Streamlining Time-varying VAR with a Factor Structure in the Parameters," Working Papers 19.03, Swiss National Bank, Study Center Gerzensee.
    2. Andrew Binning & Junior Maih, 2015. "Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models," Working Papers No 12/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    3. Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    4. Goulet Coulombe, Philippe, 2025. "Time-varying parameters as ridge regressions," International Journal of Forecasting, Elsevier, vol. 41(3), pages 982-1002.
    5. Francesco Corsello & Valerio Nispi Landi, 2018. "Labor market and financial shocks: a time varying analysis," Temi di discussione (Economic working papers) 1179, Bank of Italy, Economic Research and International Relations Area.
    6. Andrea Renzetti, 2023. "Theory coherent shrinkage of Time-Varying Parameters in VARs," Papers 2311.11858, arXiv.org, revised Nov 2024.
    7. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    8. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
    9. Joris de Wind, 2014. "Time variation in the dynamic effects of unanticipated changes in tax policy," CPB Discussion Paper 271, CPB Netherlands Bureau for Economic Policy Analysis.
    10. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2016. "Tracking the slowdown in long-run GDP growth," Bank of England Staff Working Paper series 587, Bank of England.
    11. Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2020. "The economic drivers of volatility and uncertainty," Temi di discussione (Economic working papers) 1285, Bank of Italy, Economic Research and International Relations Area.

  31. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, Centre for Economic Policy Research.
    • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.

    Cited by:

    1. Page, Lionel & Noussair, Charles & Slonim, Robert, 2021. "The replication crisis, the rise of new research practices and what it means for experimental economics," OSF Preprints 8abyu, Center for Open Science.
    2. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    3. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    4. Andrea Gazzani, 2020. "News and noise bubbles in the housing market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 46-72, April.
    5. Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2015. "Star Wars: The Empirics Strike Back," Working Papers halshs-01158500, HAL.
    6. Ottaviani, Marco & Di Tillio, Alfredo & Sørensen, Peter Norman, 2016. "Persuasion Bias in Science: Can Economics Help?," CEPR Discussion Papers 11343, Centre for Economic Policy Research.
    7. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    8. Jonathan Adams & Philip Barrett, 2024. "Shocks to Inflation Expectations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.

  32. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, Centre for Economic Policy Research.

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    3. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    4. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    5. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    6. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
      • Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, Centre for Economic Policy Research.
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Working Papers 532, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2025. "Agreed and Disagreed Uncertainty," Working Papers 2025_01, Business School - Economics, University of Glasgow.
    8. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    9. Paul Hubert & Giovanni Ricco, 2018. "Imperfect information in macroeconomics," Sciences Po Economics Publications (main) hal-03458122, HAL.
    10. Muñoz-Guillermo, María, 2022. "On the dynamics of the q-deformed Puu’s model with cubic investment map," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
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    12. Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    13. Guinea, Laurentiu & Puch, Luis A. & Ruiz, Jesús, 2024. "Energy news shocks and their propagation to renewable and fossil fuels use," Energy Economics, Elsevier, vol. 130(C).
    14. Kokonas, Nikolaos & Rousakis, Michalis & Smyrniotis, Efthymios, 2025. "Controlling inflation with central bank news," European Economic Review, Elsevier, vol. 180(C).
    15. Hilde C. Bjornland & Malin C. Jensen & Leif Anders Thorsrud, 2024. "Business Cycle and Health Dynamics during the COVID-19 Pandemic: A Scandinavian Perspective," CAMA Working Papers 2024-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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    18. Herrera, Luis & Vázquez, Jesús, 2025. "Learning from news," Journal of Macroeconomics, Elsevier, vol. 85(C).
    19. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    20. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    21. Di Bella, Gabriel & Grigoli, Francesco, 2019. "Optimism, pessimism, and short-term fluctuations," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 79-96.
    22. Daniela Fantozzi & Alessio Muscarnera, 2026. "A News-Based Policy Index for Italy: Expectations and Fiscal Policy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 12(1), pages 111-155, March.
    23. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    24. D’Amico, Stefania & King, Thomas B., 2023. "What does anticipated monetary policy do?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 123-139.
    25. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," Discussion Papers 1730, Centre for Macroeconomics (CFM).
    26. Dees, Stéphane, 2017. "The role of confidence shocks in business cycles and their global dimension," International Economics, Elsevier, vol. 151(C), pages 48-65.
    27. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    28. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    29. Yutaka Kurihara & Akio Fukushima, 2019. "AR Model or Machine Learning for Forecasting GDP and Consumer Price for G7 Countries," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 1-6, May.
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    31. Anastasios Evgenidis & Apostolos Fasianos, 2025. "AI news shocks and the macroeconomy: evidence from UK patent data," IFS Working Papers W25/48, Institute for Fiscal Studies.
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    37. Christoph Gortz & John Tsoukalas & Francesco Zanetti, 2021. "News Shocks under Financial Frictions," Discussion Papers 21-08, Department of Economics, University of Birmingham.
    38. Müller, Gernot & Enders, Zeno & Kleemann, Michael, 2016. "Growth expectations, undue optimism, and short-run fluctuations," CEPR Discussion Papers 11521, Centre for Economic Policy Research.
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    40. Miyamoto, Wataru & Nguyen, Thuy Lan, 2020. "The expectational effects of news in business cycles: Evidence from forecast data," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 184-200.
    41. 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.
    42. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, Centre for Economic Policy Research.
    43. Kyle Jurado & Ryan Chahrour, 2018. "Recoverability," 2018 Meeting Papers 320, Society for Economic Dynamics.
    44. Mikhaylov, Dmitry, 2023. "Macroeconomic Forecasting with the Use of News Data," Working Papers w20220250, Russian Presidential Academy of National Economy and Public Administration.
    45. Flaccadoro, Marco, 2024. "Exchange rate pass-through in small, open, commodity-exporting economies: Lessons from Canada," Journal of International Economics, Elsevier, vol. 148(C).
    46. Benhima, Kenza & Poilly, Céline, 2021. "Does demand noise matter? Identification and implications," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 278-295.
    47. Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
    48. Boubaker, Sabri & Nguyen, Duc Khuong & Paltalidis, Nikos, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," MPRA Paper 84673, University Library of Munich, Germany, revised Aug 2017.
    49. Patrick Feve, 2016. "Sentiments in SVARs," 2016 Meeting Papers 175, Society for Economic Dynamics.
    50. Philip Schnattinger, 2023. "Beliefs- and fundamentals-driven job creation," Bank of England Staff Working Paper series 1040, Bank of England.
    51. Luca Gambetti & Nicolò Maffei-Faccioli & Sarah Zoi, 2022. "Bad News, Good News: Coverage and Response Asymmetries," Working Paper 2022/8, Norges Bank.
    52. Tatjana Dahlhaus & Luca Gambetti, 2025. "Noisy monetary policy announcements," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 164-180, March.
    53. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    54. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2020. "News and why it is not shocking: The role of micro-foundations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    55. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    56. Pavon-Prado, David, 2019. "Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century," IFCS - Working Papers in Economic History.WH 28342, Universidad Carlos III de Madrid. Instituto Figuerola.
    57. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, Centre for Economic Policy Research.
    58. Antonio M. Conti & Concetta Rondinelli, 2015. "Easier said than done: the divergence between soft and hard data," Questioni di Economia e Finanza (Occasional Papers) 258, Bank of Italy, Economic Research and International Relations Area.
    59. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    60. Görtz, Christoph & Gunn, Christopher & Lubik, Thomas A., 2022. "Is there news in inventories?," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 87-104.
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    62. Riccardo M. Masolo & Alessia Paccagnini, 2015. "Identifying Noise Shocks: a VAR with Data Revisions," Discussion Papers 1510, Centre for Macroeconomics (CFM).
    63. Brianti, Marco & Cormun, Vito, 2024. "Expectation-driven boom-bust cycles," Journal of Monetary Economics, Elsevier, vol. 146(C).
    64. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    65. Milani, Fabio & Rajbhandari, Ashish, 2020. "Observed expectations, news shocks, and the business cycle," Research in Economics, Elsevier, vol. 74(2), pages 95-118.
    66. Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019. "News-driven housing booms: Spain vs. Germany," Documentos de Trabajo del ICAE 2019-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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    88. Yi‐Hua Wu & Ching‐Chong Lai, 2025. "Measuring the U.S. monetary noise shocks," Economic Inquiry, Western Economic Association International, vol. 63(1), pages 98-124, January.

  33. Giacomo De Giorgi & Luca Gambetti, 2012. "The Effects of Government Spending on the Distribution of Consumption," UFAE and IAE Working Papers 905.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Ruediger Bachmann & Jinhui Bai & Minjoon Lee & Fudong Zhang, 2020. "The Welfare and Distributional Effects of Fiscal Volatility: a Quantitative Evaluation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 127-153, October.
    2. Luisa Corrado & Edgar Silgado-Gómez, 2018. "Assessing the Effects of Fiscal Policy News under Imperfect Information: Evidence from Aggregate and Individual Data," CEIS Research Paper 447, Tor Vergata University, CEIS, revised 06 Nov 2018.
    3. Emily Anderson & Atsushi Inoue & Barbara Rossi, 2016. "Heterogeneous Consumers and Fiscal Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(8), pages 1877-1888, December.
    4. Javier Andrés & José E. Boscá & Javier Ferri & Cristina Fuentes-Albero, 2018. "Households' balance sheets and the effect of fiscal policy," Working Papers 1831, Banco de España.
    5. Laure Simon, 2023. "Fiscal Stimulus and Skill Accumulation over the Life Cycle," Staff Working Papers 23-9, Bank of Canada.
    6. Jüßen, Falko & Bredemeier, Christian & Winkler, Roland, 2017. "Fiscal Policy and Occupational Employment Dynamics," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168193, Verein für Socialpolitik / German Economic Association.
    7. Heer, Burkhard & Scharrer, Christian, 2018. "The age-specific burdens of short-run fluctuations in government spending," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 45-75.
    8. Reza Najarzadeh & Alireza Keikha & Hassan Heydari, 2021. "Dynamics of consumption distribution and economic fluctuations," Economic Change and Restructuring, Springer, vol. 54(3), pages 847-876, August.
    9. Giacomo De Giorgi & Luca Gambetti, 2017. "Business Cycle Fluctuations and the Distribution of Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 19-41, January.
    10. Gutsch, Alexandra & Schult, Christoph, 2026. "Transition dynamics in heterogeneous-agent models and the distributional consequences of taxation," IWH Discussion Papers 7/2026, Halle Institute for Economic Research (IWH).
    11. Abdulaleem Isiaka & Alexander Mihailov & Giovanni Razzi, 2022. "Distributional Effects of Public Spending and Tax Shocks in Middle-Income Countries: A Panel VAR Approach," Economics Discussion Papers em-dp2022-09, Department of Economics, University of Reading.
    12. James Cloyne & Paolo Surico, 2014. "Household debt and the dynamic effects of income tax changes," Bank of England Staff Working Paper series 491, Bank of England.
    13. Alymkulova Nargiza Bakytovna & Atabaev Nurlan Uzgenovich & Ganiev Junus Mashrapovich, 2016. "Var - analysis of Global financial economic crisis impact on public budget and unemployment: evidence from the economy of the Kyrgyz Republic," Экономика региона, CyberLeninka;Федеральное государственное бюджетное учреждение науки «Институт экономики Уральского отделения Российской академии наук», vol. 12(4), pages 1090-1101.

  34. Luca Gambetti, 2012. "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," UFAE and IAE Working Papers 907.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    2. Sebastian Laumer & Collin Philipps, 2024. "Does the Government Spending Multiplier Depend on the Business Cycle?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(8), pages 2001-2022, December.
    3. Andrea Boitani & Salvatore Perdichizzi, 2018. "Public Expenditure Multipliers in recessions. Evidence from the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def068, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    4. Daniela Fantozzi & Alessio Muscarnera, 2026. "A News-Based Policy Index for Italy: Expectations and Fiscal Policy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 12(1), pages 111-155, March.
    5. Paolo Bianchi & Bruno Deschamps & Khurshid M. Kiani, 2015. "Fiscal Balance and Current Account in Professional Forecasts," Review of International Economics, Wiley Blackwell, vol. 23(2), pages 361-378, May.
    6. Charl Jooste & Ruthira Naraidoo, 2017. "The Macroeconomics Effects of Government Spending Under Fiscal Foresight," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 68-85, March.
    7. Salvatore Perdichizzi, 2017. "Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def058, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    8. Giacomo De Giorgi & Luca Gambetti, 2012. "The Effects of Government Spending on the Distribution of Consumption," UFAE and IAE Working Papers 905.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    9. Puonti, Päivi, 2016. "Fiscal multipliers in a structural VEC model with mixed normal errors," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 144-154.

  35. Giacomo De Giorgi & Luca Gambetti, 2012. "Consumption Heterogenity Over the Business Cycle," UFAE and IAE Working Papers 904.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Andreas Schabert, 2017. "Welfare-Enhancing Distributional Effects of Central Bank Asset Purchases," Working Paper Series in Economics 94, University of Cologne, Department of Economics.
    2. Giacomo De Giorgi & Luca Gambetti, 2012. "The Effects of Government Spending on the Distribution of Consumption," UFAE and IAE Working Papers 905.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

  36. Musso, Alberto & Gambetti, Luca, 2012. "Loan supply shocks and the business cycle," Working Paper Series 1469, European Central Bank.

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    1. Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann, 2015. "Business cycle and financial cycle spillovers in the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 154-162.
    2. Segev, Nimrod, 2020. "Identifying the risk-Taking channel of monetary transmission and the connection to economic activity," Journal of Banking & Finance, Elsevier, vol. 116(C).
    3. Ricci, Lorenzo & Soggia, Giovanni & Trimarchi, Lorenzo, 2023. "The impact of bank lending standards on credit to firms," Journal of Banking & Finance, Elsevier, vol. 152(C).
    4. Meinen, Philipp & Röhe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers 33/2018, Deutsche Bundesbank.
    5. Cyril Couaillier & Valerio Scalone, 2020. "How does Financial Vulnerability amplify Housing and Credit Shocks?," Working papers 763, Banque de France.
    6. Seitz, Franz & Albuquerque, Bruno & Baumann, Ursel, 2015. "The Information Content Of Money And Credit For US Activity," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113066, Verein für Socialpolitik / German Economic Association.
    7. Miguel Ángel Almazán‐Gómez & Carlos Llano & Julián Pérez & Daniel Rauhut, 2024. "Socioeconomic impacts of Russian invasion of Ukraine: A multiregional assessment for Europe," Journal of Regional Science, Wiley Blackwell, vol. 64(2), pages 333-354, March.
    8. Sangyup Choi, 2019. "Changes in the Effects of Bank Lending Shocks and the Development of Public Debt Markets," Working papers 2019rwp-140, Yonsei University, Yonsei Economics Research Institute.
    9. Octavio Fernández-Amador & Martin Gächter & Friedrich Sindermann, 2016. "Finance-augmented business cycles: A robustness check," Economics Bulletin, AccessEcon, vol. 36(1), pages 132-144.
    10. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    11. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.
    12. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
    13. Mikhail Mamonov & Anna Pestova & Steven Ongena, 2023. "“Crime and Punishment”? How Banks Anticipate and Propagate Global Financial Sanctions," CERGE-EI Working Papers wp753, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    14. Zabavnik, Darja & Verbič, Miroslav, 2024. "Unravelling the credit market shocks and investment dynamics: A theoretical and empirical perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
    16. Nikolaos Antonakakis & Max Breitenlechner & Johann Scharler, 2014. "How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?," Working Papers 2014-07, Faculty of Economics and Statistics, Universität Innsbruck.
    17. Serhat Yuksel & Mustafa Ozsari, 2016. "Impact of Consumer Loans on Inflation and Current Account Deficit: A Toda Yamamoto Causality Test for Turkey," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 2(2), pages 3-14, December.
    18. Andersson, Malin & Maurin, Laurent & Rusinova, Desislava, 2021. "Market finance as a spare tyre? Corporate investment and access to bank credit in Europe," Working Paper Series 2606, European Central Bank.
    19. Jesús Crespo Cuaresma & Gernot Doppelhofer & Martin Feldkircher & Florian Huber, 2019. "Spillovers from US monetary policy: evidence from a time varying parameter global vector auto‐regressive model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 831-861, June.
    20. Gulan, Adam & Haavio, Markus & Kilponen, Juha, 2019. "Can large trade shocks cause crises? The case of the Finnish-Soviet trade collapse," Bank of Finland Research Discussion Papers 9/2019, Bank of Finland.
    21. Olli Palm'en, 2020. "Inflation Dynamics of Financial Shocks," Papers 2006.03301, arXiv.org.
    22. Cafiso, Gianluca & Rivolta, Giulia, 2024. "Conventional monetary interventions through the credit channel and the rise of non-bank institutions," Economic Systems, Elsevier, vol. 48(1).
    23. Boyao Li, 2023. "The macroeconomic effects of endogenous credit and money creation under Basel III regulations," Metroeconomica, Wiley Blackwell, vol. 74(4), pages 887-907, November.
    24. Jefferson Martínez & Gabriel Rodríguez, 2020. "Macroeconomic Effects of Loan Supply Shocks: Empirical Evidence for Peru," Documentos de Trabajo / Working Papers 2020-483, Departamento de Economía - Pontificia Universidad Católica del Perú.
    25. Rodriguez, Gabriel & Castillo B., Paul & Calero, Roberto & Salcedo Cisneros, Rodrigo & Ataurima Arellano, Miguel, 2024. "Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models," Journal of International Money and Finance, Elsevier, vol. 142(C).
    26. Piergiorgio Alessandri & Antonio Maria Conti & Fabrizio Venditti, 2017. "The financial stability dark side of monetary policy," Temi di discussione (Economic working papers) 1121, Bank of Italy, Economic Research and International Relations Area.
    27. Alina Barnett & Ryland Thomas, 2013. "Has weak lending and activity in the United Kingdom been driven by credit supply shocks?," Bank of England Staff Working Paper series 482, Bank of England.
    28. Rilind Kabashi & Katerina Suleva, 2016. "Loan Supply Shocks in Macedonia: A Bayesian SVAR Approach with Sign Restrictions," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 18(1), pages 5-33, June.
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    30. 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.
    31. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2023. "The impact of financial shocks on the forecast distribution of output and inflation," Working Paper 2023/3, Norges Bank.
    32. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2015. "What do VARs Tell Us about the Impact of a Credit Supply Shock?," Working Papers 739, Queen Mary University of London, School of Economics and Finance.
    33. Di Casola, Paola & Grothe, Magdalena, 2026. "Housing wealth and monetary policy transmission: cross-country evidence," Working Paper Series 3204, European Central Bank.
    34. Mario Forni & Luca Gambetti & Nicolò Maffei‐Faccioli & Luca Sala, 2024. "Nonlinear Transmission of Financial Shocks: Some New Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 5-33, February.
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    37. Martin Mandler & Michael Scharnagl, 2020. "Bank loan supply shocks and alternative financing of non‐financial corporations in the euro area," Manchester School, University of Manchester, vol. 88(S1), pages 126-150, September.
    38. Doerr, Sebastian & Raissi, Mehdi & Weber, Anke, 2018. "Credit-supply shocks and firm productivity in Italy," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 155-171.
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    41. Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023. "Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
    42. Evans, Jocelyn D. & Robertson, Mari L., 2018. "The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending," Economics Letters, Elsevier, vol. 171(C), pages 164-168.
    43. Jansson, Walter, 2018. "Stock markets, banks and economic growth in the UK, 1850–1913," Financial History Review, Cambridge University Press, vol. 25(3), pages 263-296, December.
    44. Claire-Océane Chevallier, 2017. "Empirical Investigation of the Effect of Bank Long Term Debt on Loans and Output in the Euro-zone," DEM Discussion Paper Series 17-04, Department of Economics at the University of Luxembourg.
    45. Francesco Corsello & Valerio Nispi Landi, 2020. "Labor Market and Financial Shocks: A Time‐Varying Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 777-801, June.
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    47. Barauskaitė Griškevičienė, Kristina & Nguyen, Anh D.M. & Rousová, Linda & Cappiello, Lorenzo, 2022. "The impact of credit supply shocks in the euro area: market-based financing versus loans," Working Paper Series 2673, European Central Bank.
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    70. Barauskaitė Griškevičienė, Kristina & Brand, Claus & Nguyen, Anh Dinh Minh, 2026. "Pandemic-era inflation dynamics in the euro area: the role of policy and non-policy demand and energy and non-energy supply factors," Working Paper Series 3201, European Central Bank.
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    101. Nicholas Apergis & Sayantan Ghosh Dastidar, 2022. "The determinants of aggregate fluctuations: The role of firm‐borrowing channels," Manchester School, University of Manchester, vol. 90(1), pages 20-34, January.
    102. Gabriel Rodríguez & Carlos Guevara, 2018. "The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers 2018-467, Departamento de Economía - Pontificia Universidad Católica del Perú.
    103. Gerhard Fenz & Christian Ragacs & Martin Schneider & Klaus Vondra & Walter Waschiczek, 2015. "Causes of declining investment activity in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 12-34.
    104. Pelzer, Manuel & Barasinska, Nataliya & Buchholz, Manuel & Friedrich, Sören & Geiger, Sebastian & Hristov, Nikolay & Jamaldeen, Philip & Löffler, Axel & Madjarac, Marcel & Roth, Markus & Silbermann, L, 2021. "Potential deleveraging in the German banking system and effects on financial stability," Technical Papers 12/2021, Deutsche Bundesbank.
    105. Olli Palm'en, 2020. "Sovereign Default Risk and Credit Supply: Evidence from the Euro Area," Papers 2006.03592, arXiv.org.
    106. Dyna Heng, 2015. "Impact of the New Financial Services Law in Bolivia on Financial Stability and Inclusion," IMF Working Papers 2015/267, International Monetary Fund.
    107. Labib Shami, 2025. "Elusive competition: impact of non-bank credit providers’ financing on credit market competition," Journal of Banking Regulation, Palgrave Macmillan, vol. 26(2), pages 288-303, June.
    108. Holm-Hadulla, Fédéric & Musso, Alberto & Rodriguez-Palenzuela, Diego & Vlassopoulos, Thomas, 2021. "Evolution of the ECB’s analytical framework," Occasional Paper Series 277, European Central Bank.
    109. Herman, Uroš & Lozej, Matija, 2021. "Cross-border bank funding and lending in a monetary union: Evidence from Slovenia," Journal of International Money and Finance, Elsevier, vol. 115(C).
    110. Gianluca Cafiso, 2022. "Loans to Different Groups and Economic Activity at Times of Crisis and Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 594-623, June.
    111. Noss, Joseph & Toffano, Priscilla, 2016. "Estimating the impact of changes in aggregate bank capital requirements on lending and growth during an upswing," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 15-27.
    112. Markus Demary & Joanna Hornik & Gibran Watfe, 2016. "SME Financing in the EU: Moving beyond one-size-fits-all," Bruges European Economic Policy Briefings 40, European Economic Studies Department, College of Europe.
    113. Dany, Geraldine, 2016. "The credit channel during times of financial stress: A time varying VAR analysis," VfS Annual Conference 2016 (Augsburg): Demographic Change 145899, Verein für Socialpolitik / German Economic Association.
    114. Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025. "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers 2512.20152, arXiv.org.
    115. Hanisch, Max, 2019. "US monetary policy and the euro area," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 77-96.
    116. Lodge, David & Soudan, Michel, 2019. "Credit, financial conditions and the business cycle in China," Working Paper Series 2244, European Central Bank.
    117. Milov{s} Ciganovi'c & Elena Scola Gagliardi & Massimiliano Tancioni, 2025. "Disentangling the Distributional Effects of Financial Shocks in the Euro Area," Papers 2510.11289, arXiv.org.
    118. Köhler-Ulbrich, Petra & Hempell, Hannah S. & Scopel, Silvia, 2016. "The euro area bank lending survey," Occasional Paper Series 179, European Central Bank.
    119. Mamonov, Mikhail & Parmeter, Christopher F. & Prokhorov, Artem B., 2024. "Bank cost efficiency and credit market structure under a volatile exchange rate," Journal of Banking & Finance, Elsevier, vol. 168(C).
    120. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2025. "Bank Capital Requirements, Lending Supply, and Economic Activity: A Scenario Analysis Perspective," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(3), pages 1132-1164, April.
    121. Paul Rudel, 2024. "Loan Supply Shocks, Prudential Regulation, and the Business Cycle," MAGKS Papers on Economics 202409, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    122. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2014. "What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis," Working Papers 716, Queen Mary University of London, School of Economics and Finance.
    123. 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).
    124. Magnus Saß, 2024. "Detecting excessive credit growth: An approach based on structural counterfactuals," Berlin School of Economics Discussion Papers 0046, Berlin School of Economics.
    125. von Schweinitz, Gregor, 2023. "The importance of credit demand for business cycle dynamics," IWH Discussion Papers 21/2023, Halle Institute for Economic Research (IWH).
    126. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.
    127. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
    128. Hielke Van Doorslaer & Mattias Vermeiren, 2021. "Pushing on a String: Monetary Policy, Growth Models and the Persistence of Low Inflation in Advanced Capitalism," New Political Economy, Taylor & Francis Journals, vol. 26(5), pages 797-816, September.
    129. Romain Houssa & Jolan Mohimont & Chris Otrok, 2013. "Credit Shocks and Macroeconomic Fluctuations in Emerging Markets," CESifo Working Paper Series 4281, CESifo.

  37. Mario Forni & Luca Gambetti, 2011. "Testing for Sufficient Information in Structural VARs," UFAE and IAE Working Papers 863.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Mario Forni & Luca Sala & Luca Gambetti, 2015. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Gubler, Matthias & Hertweck, Matthias S., 2013. "Commodity price shocks and the business cycle: Structural evidence for the U.S," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 324-352.
    3. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.
    4. Petrella, Ivan & Juvenal, Luciana, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, Centre for Economic Policy Research.
    5. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    6. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, Centre for Economic Policy Research.
    7. Emily Anderson & Atsushi Inoue & Barbara Rossi, 2015. "Heterogeneous Consumers and Fiscal Policy Shocks," Working Papers 822, Barcelona School of Economics.
    8. Silvia Miranda-Agrippino & Sinem Hacioglu Hoke & Kristina Bluwstein, 2019. "When creativity strikes: news shocks and business cycle fluctuations," Bank of England Staff Working Paper series 788, Bank of England.
    9. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    10. F. Ferroni & B. Klaus, 2014. "Euro Area business cycles in turbulent times: convergence or decoupling?," Working papers 522, Banque de France.
    11. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    12. Karen Davtyan, 2014. "“Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries”," AQR Working Papers 201403, University of Barcelona, Regional Quantitative Analysis Group, revised Feb 2014.

  38. Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Mackowiak, Bartosz & Jarocinski, Marek, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, Centre for Economic Policy Research.
    2. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    3. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    4. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    5. Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
    6. Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," University of Göttingen Working Papers in Economics 415, University of Goettingen, Department of Economics.
    7. Kuhelika De & Ryan A. Compton & Daniel C. Giedeman & Gary A. Hoover, 2021. "Macroeconomic shocks and racial labor market differences," Southern Economic Journal, John Wiley & Sons, vol. 88(2), pages 680-704, October.
    8. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial regimes and uncertainty shocks," BCAM Working Papers 1404, Birkbeck Centre for Applied Macroeconomics.
    9. Cristiano Cantore & Lukas Freund, 2020. "Workers, capitalists, and the government: fiscal policy and income (re)distribution," Bank of England Staff Working Paper series 858, Bank of England.
    10. Luisa Corrado & Daniela Fantozzi, 2021. "Micro level data for macro models: the distributional effects of monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 529, National Institute of Economic and Social Research.
    11. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
      • Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, Centre for Economic Policy Research.
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Working Papers 532, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    13. Luca Gambetti, 2012. "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," UFAE and IAE Working Papers 907.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    14. Leonardo N. Ferreira, 2020. "Forward Guidance Matters: Disentangling Monetary Policy Shocks," Working Papers 912, Queen Mary University of London, School of Economics and Finance.
    15. Zervas, Andreas & Thomakos, Dimitrios, 2026. "The fiscal policy blend and its impact on sectoral growth: The case of Greece," Economic Modelling, Elsevier, vol. 155(C).
    16. George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019. "Large time‐varying parameter VARs: A nonparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
    17. Christopher Biolsi & Bocong Du, 2020. "Do shocks to animal spirits cause output fluctuations?," Southern Economic Journal, John Wiley & Sons, vol. 87(1), pages 331-368, July.
    18. Ellahie, Atif & Ricco, Giovanni, "undated". "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    19. Carlos Canizares Martinez & Arne Gieseck, 2024. "The effects of macro uncertainty shocks in the euro area: A FAVAR approach," Working and Discussion Papers WP 6/2024, Research Department, National Bank of Slovakia.
    20. Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
    21. Giorgia De Nora, 2021. "Factor Augmented Vector-Autoregression with narrative identification. An application to monetary policy in the US," Working Papers 934, Queen Mary University of London, School of Economics and Finance.
    22. Gubler, Matthias & Hertweck, Matthias S., 2013. "Commodity price shocks and the business cycle: Structural evidence for the U.S," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 324-352.
    23. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 173173908, Lancaster University Management School, Economics Department.
    24. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noisy News in Business Cycles," Working Papers 531, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    25. Cristiana Fiorelli & Elisabetta Marzano & Paolo Piselli & Roberta Rubinacci, 2025. "The Role of House Prices and Transactions in Monetary Policy Transmission: The Case of Italy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 11(3), pages 1239-1266, November.
    26. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    27. Daniela Fantozzi & Alessio Muscarnera, 2026. "A News-Based Policy Index for Italy: Expectations and Fiscal Policy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 12(1), pages 111-155, March.
    28. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    29. Drossidis, Theo & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2024. "The distributional effects of oil supply news shocks," Economics Letters, Elsevier, vol. 240(C).
    30. Takushi Kurozumi & Willem Van Zandweghe, 2023. "A Theory of Intrinsic Inflation Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 1961-2000, December.
    31. Cristiano Cantore & Filippo Ferroni & Haroon Mumtaz & Angeliki Theophilopoulou, 2023. "A tail of labor supply and a tale of monetary policy," Discussion Papers 2308, Centre for Macroeconomics (CFM).
    32. Junicke, Monika & Matějů, Jakub & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2025. "The heterogeneous effects of technology shocks. Evidence from the Czech Labour market," Economics Letters, Elsevier, vol. 247(C).
    33. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    34. Kamber, Güneş & Wong, Benjamin, 2020. "Global factors and trend inflation," Journal of International Economics, Elsevier, vol. 122(C).
    35. Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org, revised Sep 2025.
    36. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector and Autoregressive Analysis," University of East Anglia School of Economics Working Paper Series 2026-01, School of Economics, University of East Anglia, Norwich, UK..
    37. Rünstler, Gerhard, 2021. "The macroeconomic impact of euro area labour market reforms: evidence from a narrative panel VAR," Working Paper Series 2592, European Central Bank.
    38. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    39. Granese, Antonio, 2026. "Two main business cycle shocks are better than one," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    40. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.
    41. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    42. Andrea Gazzani, 2020. "News and noise bubbles in the housing market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 46-72, April.
    43. Leonardo Melosi & Hiroshi Morita & Anna Rogantini Picco & Francesco Zanetti, 2024. "The Signaling Effects of Fiscal Announcements," Discussion Papers 2436, Centre for Macroeconomics (CFM).
    44. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2025. "Informing DSGE Models Through Dynamic Factor Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(5), pages 487-507, August.
    45. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach," Documentos de Trabajo 559, Instituto de Economia. Pontificia Universidad Católica de Chile..
    46. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
    47. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 820, Queen Mary University of London, School of Economics and Finance.
    48. Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
    49. Stéphane Lhuissier & Benoît Nguyen, 2025. "Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(7), pages 846-861, November.
    50. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "Populism, Political Risk and the Economy: Lessons from Italy," IZA Discussion Papers 12929, IZA Network @ LISER.
    51. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    52. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, Centre for Economic Policy Research.
    53. Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
    54. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    55. 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.
    56. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, Centre for Economic Policy Research.
    57. De Nora, Giorgia, 2023. "Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the US," Economics Letters, Elsevier, vol. 229(C).
    58. Weale, Martin & Wieladek, Tomasz, 2025. "What are the macroeconomic effects of state-dependent forward guidance?," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
    59. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, Premia, and the Monetary Transmission," LSE Research Online Documents on Economics 86234, London School of Economics and Political Science, LSE Library.
    60. Ricco, Giovanni, 2015. "A new identification of fiscal shocks based on the information flow," Working Paper Series 1813, European Central Bank.
    61. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2016. "Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis," EIEF Working Papers Series 1607, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2016.
    62. Ansgar Belke & Thomas Osowski, 2017. "International Effects of Euro Area versus US Policy Uncertainty: A FAVAR Approach," ROME Working Papers 201703, ROME Network.
    63. Castelnuovo, Efrem & Pellegrino, Giovanni, 2018. "Uncertainty-dependent effects of monetary policy shocks: A new-Keynesian interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 277-296.
    64. Gkolfinopoulou, Michalitsa & Theophilopoulou, Angeliki, 2025. "Effects of Tax Shocks on Inequality: Empirical Evidence from the United Kingdom," MPRA Paper 123457, University Library of Munich, Germany.
    65. Silvia Miranda-Agrippino & Sinem Hacioglu Hoke & Kristina Bluwstein, 2019. "When creativity strikes: news shocks and business cycle fluctuations," Bank of England Staff Working Paper series 788, Bank of England.
    66. Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie Huber, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," ECONtribute Discussion Papers Series 287, University of Bonn and University of Cologne, Germany.
    67. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    68. Mario Forni & Luca Sala & Luca Gambetti & Davide Debortoli, 2023. "Nonlinear Monetary Policy Tradeoffs," Working Papers 1404, Barcelona School of Economics.
    69. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2155, DIW Berlin, German Institute for Economic Research.
    70. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2015. "Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions," Department of Economics - Working Papers Series 1195, The University of Melbourne.
    71. Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022. "External Instrument SVAR Analysis for Noninvertible Shocks," The Warwick Economics Research Paper Series (TWERPS) 1444, University of Warwick, Department of Economics.
    72. Ilori, Ayobami E. & Paez-Farrell, Juan & Thoenissen, Christoph, 2022. "Fiscal policy shocks and international spillovers," European Economic Review, Elsevier, vol. 141(C).
    73. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.
    74. Leonardo N. Ferreira, 2021. "Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication," Working Papers Series 559, Central Bank of Brazil, Research Department.
    75. Ma, Xiaohan, 2018. "Investment specific technology, news, sentiment, and fluctuations: Evidence from nowcast data," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 55-70.
    76. Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "When is Nonfundamentalness in SVARs a Real Problem?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
    77. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    78. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    79. Sérgio Kannebley & Diogo de Prince & Felipe dos Santos Costa, 2023. "Sectoral Exchange Rate Pass-through to Manufacturing Prices: A GVAR Approach," Open Economies Review, Springer, vol. 34(4), pages 919-958, September.
    80. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.
    81. Su, Li & Zhu, Jingjing, 2024. "Term structures and firm dynamics: A FAVAR approach," Economics Letters, Elsevier, vol. 244(C).
    82. Aeimit Lakdawala, 2019. "Decomposing the effects of monetary policy using an external instruments SVAR," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 934-950, September.
    83. Theophilopoulou, Angeliki, 2018. "The impact of macroeconomic uncertainty on inequality: An empirical study for the UK," MPRA Paper 90448, University Library of Munich, Germany.
    84. Alessandri, Piergiorgio & Gazzani, Andrea & Vicondoa, Alejandro, 2023. "Are the effects of uncertainty shocks big or small?," European Economic Review, Elsevier, vol. 158(C).
    85. Stéphane Lhuissier & Benoit Nguyen, 2021. "The Dynamic Effects of the ECB s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.
    86. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2020. "Questioning the puzzle: Fiscal policy, exchange rate and inflation," Working papers 752, Banque de France.
    87. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    88. Guido Ascari & Peder Beck-Friis & Anna Florio & Alessandro Gobbi, 2021. "Fiscal foresight and the effects of government spending: It’s all in the monetary-fiscal mix," Discussion Papers 2112, Centre for Macroeconomics (CFM).
    89. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    90. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, Centre for Economic Policy Research.
    91. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    92. Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2023. "The confidence channel of U.S. financial uncertainty: Evidence from industry-level data," Economic Modelling, Elsevier, vol. 129(C).
    93. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
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    120. Maffei-Faccioli, Nicolò & Vella, Eugenia, 2021. "Does immigration grow the pie? Asymmetric evidence from Germany," European Economic Review, Elsevier, vol. 138(C).
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  39. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    2. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    3. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    5. Roberto perotti, 2011. "Expectations and Fiscal Policy: An Empirical Investigation," Working Papers 429, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    7. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
      • Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, Centre for Economic Policy Research.
      • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Working Papers 532, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    9. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    10. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    11. Guinea, Laurentiu & Puch, Luis A. & Ruiz, Jesús, 2024. "Energy news shocks and their propagation to renewable and fossil fuels use," Energy Economics, Elsevier, vol. 130(C).
    12. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
    13. Christoph Görtz & Christopher Gunn & Thomas Lubik, 2018. "Taking Stock of TFP News Shocks: The Inventory Comovement Puzzle," Carleton Economic Papers 18-05, Carleton University, Department of Economics, revised 14 Jul 2018.
    14. Sims, Eric, 2016. "What׳s news in News? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 41-60.
    15. Herrera, Luis & Vázquez, Jesús, 2025. "Learning from news," Journal of Macroeconomics, Elsevier, vol. 85(C).
    16. Shen, Wenyi, 2015. "News, disaster risk, and time-varying uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 459-479.
    17. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    18. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    19. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    20. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    21. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2017. "The Effect of News Shocks and Monetary Policy," Discussion Papers 1730, Centre for Macroeconomics (CFM).
    22. Dees, Stéphane, 2017. "The role of confidence shocks in business cycles and their global dimension," International Economics, Elsevier, vol. 151(C), pages 48-65.
    23. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    24. Thuy Lan Nguyen & Wataru Miyamoto, 2014. "News shocks and Business cycles: Evidence from forecast data," 2014 Meeting Papers 259, Society for Economic Dynamics.
    25. Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    26. Fabio Milani & Ashish Rajrhandari, 2012. "Observed Expectations, News Shocks, and the Business Cycle," Working Papers 121305, University of California-Irvine, Department of Economics.
    27. Seymen, Atılım, 2013. "Sequential identification of technological news shocks," ZEW Discussion Papers 13-111, ZEW - Leibniz Centre for European Economic Research.
    28. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    29. Anastasios Evgenidis & Apostolos Fasianos, 2025. "AI news shocks and the macroeconomy: evidence from UK patent data," IFS Working Papers W25/48, Institute for Fiscal Studies.
    30. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    31. Andrea Gazzani, 2020. "News and noise bubbles in the housing market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 46-72, April.
    32. Maria Bolboaca & Sarah Fischer, 2019. "Unraveling News: Reconciling Conflicting Evidence," Working Papers 19.02, Swiss National Bank, Study Center Gerzensee.
    33. Christoph Gortz & John Tsoukalas & Francesco Zanetti, 2021. "News Shocks under Financial Frictions," Discussion Papers 21-08, Department of Economics, University of Birmingham.
    34. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    35. Miyamoto, Wataru & Nguyen, Thuy Lan, 2020. "The expectational effects of news in business cycles: Evidence from forecast data," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 184-200.
    36. 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.
    37. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, Centre for Economic Policy Research.
    38. Flaccadoro, Marco, 2024. "Exchange rate pass-through in small, open, commodity-exporting economies: Lessons from Canada," Journal of International Economics, Elsevier, vol. 148(C).
    39. Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
    40. Boubaker, Sabri & Nguyen, Duc Khuong & Paltalidis, Nikos, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," MPRA Paper 84673, University Library of Munich, Germany, revised Aug 2017.
    41. Patrick Feve, 2016. "Sentiments in SVARs," 2016 Meeting Papers 175, Society for Economic Dynamics.
    42. Philip Schnattinger, 2023. "Beliefs- and fundamentals-driven job creation," Bank of England Staff Working Paper series 1040, Bank of England.
    43. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    44. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2020. "News and why it is not shocking: The role of micro-foundations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    45. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    46. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.
    47. Pavon-Prado, David, 2019. "Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century," IFCS - Working Papers in Economic History.WH 28342, Universidad Carlos III de Madrid. Instituto Figuerola.
    48. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, Centre for Economic Policy Research.
    49. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    50. Görtz, Christoph & Gunn, Christopher & Lubik, Thomas A., 2022. "Is there news in inventories?," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 87-104.
    51. Cascaldi-Garcia, Danilo, 2025. "Forecast revisions as instruments for news shocks," Journal of Monetary Economics, Elsevier, vol. 151(C).
    52. Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015. "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers 10763, Centre for Economic Policy Research.
    53. Riccardo M. Masolo & Alessia Paccagnini, 2015. "Identifying Noise Shocks: a VAR with Data Revisions," Discussion Papers 1510, Centre for Macroeconomics (CFM).
    54. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).
    55. Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019. "News-driven housing booms: Spain vs. Germany," Documentos de Trabajo del ICAE 2019-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    56. Nicolas Reigl, 2023. "Noise shocks and business cycle fluctuations in three major European Economies," Empirical Economics, Springer, vol. 64(2), pages 603-657, February.
    57. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    58. Claudio, João C. & von Schweinitz, Gregor, 2020. "On the international dissemination of technology news shocks," IWH Discussion Papers 25/2020, Halle Institute for Economic Research (IWH).
    59. Offick, Sven & Wohltmann, Hans-Werner, 2015. "Volatility effects of news shocks in (B)RE models with optimal monetary policy," Economics Working Papers 2015-07, Christian-Albrechts-University of Kiel, Department of Economics.
    60. Crouzet, Nicolas & Oh, Hyunseung, 2016. "What do inventories tell us about news-driven business cycles?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 49-66.
    61. Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    62. Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Adaptive hierarchical priors for high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
    63. Born, Benjamin & Peter, Alexandra & Pfeifer, Johannes, 2013. "Fiscal news and macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2582-2601.
    64. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
    65. Eric M. Leeper & Todd B. Walker & Shu‐Chun Susan Yang, 2013. "Fiscal Foresight and Information Flows," Econometrica, Econometric Society, vol. 81(3), pages 1115-1145, May.
    66. Dalibor Stevanovic, 2015. "Factor augmented autoregressive distributed lag models with macroeconomic applications," CIRANO Working Papers 2015s-33, CIRANO.
    67. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    68. Langer, Viktoria C.E., 2016. "News shocks, nonseparable preferences, and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 237-246.
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  40. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, Centre for Economic Policy Research.
    2. Faccini, Renato & Mumtaz, Haroon & Surico, Paolo, 2016. "International fiscal spillovers," Journal of International Economics, Elsevier, vol. 99(C), pages 31-45.
    3. Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

  41. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," UFAE and IAE Working Papers 851.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Mario Forni & Luca Sala & Luca Gambetti, 2015. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    3. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    4. Luisa Corrado & Daniela Fantozzi, 2021. "Micro level data for macro models: the distributional effects of monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 529, National Institute of Economic and Social Research.
    5. Patrick Blagrave & Giang Ho & Ksenia Koloskova & Mr. Esteban Vesperoni, 2017. "Fiscal Spillovers: The Importance of Macroeconomic and Policy Conditions in Transmission," IMF Spillover Notes 2017/002, International Monetary Fund.
    6. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    7. Furlanetto, Francesco, 2011. "Fiscal stimulus and the role of wage rigidity," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 512-527, April.
    8. Matteo Fragetta & Emanuel Gasteiger, 2012. "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Working Papers Series 2 12-02, ISCTE-IUL, Business Research Unit (BRU-IUL).
    9. Matarrese, Marco Maria & Frangiamore, Francesco, 2023. "Italian local fiscal multipliers: Evidence from proxy-SVAR," Economics Letters, Elsevier, vol. 228(C).
    10. Atanas Pekanov, 2018. "The New View on Fiscal Policy and its Implications for the European Monetary Union," WIFO Working Papers 562, WIFO.
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    6. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Staff Working Papers 12-13, Bank of Canada.
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    Cited by:

    1. Plakandaras, Vasilios & Gupta, Rangan & Wohar, Mark E., 2018. "UK macroeconomic volatility: Historical evidence over seven centuries," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 767-789.
    2. Pär Stockhammar & Pär Österholm, 2018. "Do inflation expectations granger cause inflation?," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(2), pages 403-431, August.
    3. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    4. Andrew C. Chang & Phillip Li, 2015. "Is Economics Research Replicable? Sixty Published Papers from Thirteen Journals Say \"Usually Not\"," Finance and Economics Discussion Series 2015-83, Board of Governors of the Federal Reserve System (U.S.).
    5. Schmidt, Torsten, 2018. "Inflation Expectation Uncertainty, Inflation and the Outputgap," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181575, Verein für Socialpolitik / German Economic Association.
    6. Cars Hommes & Kostas Mavromatis & Tolga Özden & Mei Zhu, 2023. "Behavioral learning equilibria in New Keynesian models," Quantitative Economics, Econometric Society, vol. 14(4), pages 1401-1445, November.
    7. Canova, Fabio & Sala, Luca, 2009. "Back to square one: Identification issues in DSGE models," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 431-449, May.
    8. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, Centre for Economic Policy Research.
    9. Giovanni Di Bartolomeo & Andrew Hughes Hallett & Nicola Acocella, 2013. "When Can Policy Makers Anchor Expectations? Dynamic controllability and the limits to time inconsistency," CIMEO Working Paper Series 104, Centre for Investigation and Modelling of Experimental Observations (CIMEO).
    10. Vasilios Plakandaras & Rangan Gupta & Mehmet Balcilar & Qiang Ji, 2021. "Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies," Working Papers 202113, University of Pretoria, Department of Economics.
    11. Boivin, Jean & Kiley, Michael T. & Mishkin, Frederic S., 2010. "How Has the Monetary Transmission Mechanism Evolved Over Time?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 8, pages 369-422, Elsevier.
    12. Erdemlioglu, Deniz M & Xiao, Wei, 2008. "Indeterminate Equilibria in New Keynesian DSGE Model: An Application to the US Great Moderation," MPRA Paper 10322, University Library of Munich, Germany.
    13. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    14. Aguilar, Pablo & Vázquez, Jesús, 2021. "An Estimated Dsge Model With Learning Based On Term Structure Information," Macroeconomic Dynamics, Cambridge University Press, vol. 25(7), pages 1635-1665, October.
    15. Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2020. "Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data," Empirical Economics, Springer, vol. 58(5), pages 2249-2285, May.
    16. Vasilios Plakandaras & Rangan Gupta & Wing-Keung Wong, 2018. "Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks," Working Papers 201847, University of Pretoria, Department of Economics.
    17. Bańbura, Marta & Leiva-León, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Discussion Papers 48/2021, Deutsche Bundesbank.
    18. Olivier J. Blanchard & Marianna Riggi, 2009. "Why are the 2000s so different from the 1970s? A structural interpretation of changes in the macroeconomic effects of oil prices," NBER Working Papers 15467, National Bureau of Economic Research, Inc.
    19. Clark, Todd E. & Davig, Troy, 2011. "Decomposing the declining volatility of long-term inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 981-999, July.
    20. Andrew C. Chang & Phillip Li, 2018. "Measurement Error In Macroeconomic Data And Economics Research: Data Revisions, Gross Domestic Product, And Gross Domestic Income," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1846-1869, July.
    21. Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016. "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers 11560, Centre for Economic Policy Research.
    22. Maritta Paloviita and Matti Viren, 2012. "Analyzing the relationships between survey forecasts for different variables and countries," Discussion Papers 76, Aboa Centre for Economics.
    23. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    24. Canova, Fabio, 2008. "How much structure in empirical models?," CEPR Discussion Papers 6791, Centre for Economic Policy Research.
    25. Marco Bottone & Alfonso Rosolia, 2019. "Monetary policy, firms’ inflation expectations and prices: causal evidence from firm-level data," Temi di discussione (Economic working papers) 1218, Bank of Italy, Economic Research and International Relations Area.
    26. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    27. Diegel, Max & Nautz, Dieter, 2020. "The role of long-term inflation expectations for the transmission of monetary policy shocks," Discussion Papers 2020/19, Free University Berlin, School of Business & Economics.
    28. Hughes Hallett, Andrew & Di Bartolomeo, Giovanni & Acocella, Nicola, 2012. "A general theory of controllability and expectations anchoring for small-open economies," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 397-411.
    29. Angela Fuest & Torsten Schmidt, 2026. "Inflation Expectation Uncertainty in a New Keynesian Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 58(3), pages 739-762, April.
    30. W.F. Maloney & D. Lederman & J. Messina, 2011. "The Fall of Wage Flexibility," World Bank Publications - Reports 23575, The World Bank Group.
    31. Mumtaz, Haroon & Surico, Paolo, 2013. "Policy Uncertainty and Aggregate Fluctuations," CEPR Discussion Papers 9694, Centre for Economic Policy Research.
    32. Pavon-Prado, David, 2019. "Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century," IFCS - Working Papers in Economic History.WH 28342, Universidad Carlos III de Madrid. Instituto Figuerola.
    33. Helder Ferreira de Mendonça & João Pedro Neves Maia, 2022. "Interest rate expectations based on Taylor rule versus central bank’s survey: which performs better in a large emerging economy?," Applied Economics, Taylor & Francis Journals, vol. 54(39), pages 4532-4544, August.
    34. Benati, Luca & Surico, Paolo, 2008. "VAR analysis and the Great Moderation," Working Paper Series 866, European Central Bank.
    35. Elton Beqiraj & Valeria Patella & Massimiliano Tancioni, 2019. "Regime-switches in the Rollover of Sovereign Risk," Working Papers in Public Economics 191, Department of Economics and Law, Sapienza University of Rome.
    36. Ormeno, Arturo & Molnar, Krisztina, 2014. "Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models," Discussion Paper Series in Economics 20/2014, Norwegian School of Economics, Department of Economics.
    37. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
    38. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    39. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    40. Awijen, Haithem & Ben Zaied, Younes & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States," MPRA Paper 101276, University Library of Munich, Germany, revised Jun 2020.
    41. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
    42. Helder Ferreira de Mendonça & Pedro Mendes Garcia, 2021. "Does the central banker type affect inflation expectations?," Economics Bulletin, AccessEcon, vol. 41(1), pages 93-102.
    43. Rafiq, Sohrab, 2013. "Sources of time-varying trade balance and real exchange rate dynamics in East Asia," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 117-141.
    44. Kiss, Gábor Dávid & Kovács, György & Varga, János Zoltán, 2016. "Várakozások és a monetáris politika - különös tekintettel a magyarországi gyakorlatra [Expectations and monetary policy, with special attention to practice in Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1192-1216.
    45. Benjamin Wong, 2015. "Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1673-1689, December.
    46. Fuest, Angela & Schmidt, Torsten, 2020. "Inflation expectation uncertainty in a New Keynesian framework," Ruhr Economic Papers 867, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    47. Patella, Valeria & Tancioni, Massimiliano, 2021. "Confidence Swings and Sovereign Risk Dynamics," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 195-206.
    48. Zaghini, Andrea & Bencivelli, Lorenzo, 2012. "Financial innovation, macroeconomic volatility and the great moderation," MPRA Paper 41263, University Library of Munich, Germany.
    49. Chua, Chew Lian & Tsiaplias, Sarantis, 2024. "The influence of supermarket prices on consumer inflation expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 219(C), pages 414-433.
    50. Caputo, Rodrigo & Pedersen, Michael, 2020. "The changing nature of the real exchange rate: The role of central bank preferences," Economic Modelling, Elsevier, vol. 90(C), pages 445-464.
    51. Luca Gambetti & Julián Messina, 2018. "Evolving Wage Cyclicality in Latin America," The World Bank Economic Review, World Bank, vol. 32(3), pages 709-726.
    52. Helder Ferreira de Mendonça & Pedro Mendes Garcia & José Valentim Machado Vicente, 2021. "Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1027-1053, September.

  45. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, Centre for Economic Policy Research.

    Cited by:

    1. Mario Forni & Luca Sala & Luca Gambetti, 2015. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    3. Kang-Soek Lee & Philippe Saucier, 2011. "Should the UK Join the Euro Zone? Evidence from a Synthetic OCA Assessment," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 8(1), pages 77-96, June.
    4. Salzmann, Leonard, 2020. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224588, Verein für Socialpolitik / German Economic Association.
    5. Olatunji A. Shobande & Oladimeji T. Shodipe & Simplice A. Asongu, 2019. "Global Shocks Alert and Monetary Policy Responses," Research Africa Network Working Papers 19/066, Research Africa Network (RAN).
    6. Santiago Sánchez Thomas Goda, 2022. "Export Market Size Matters: The effect of the market size of export destinations on manufacturing growth," Documentos de Trabajo de Valor Público 20531, Universidad EAFIT.
    7. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    8. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    9. Ribeiro, Gustavo & Teles, Vladmir & Costa-Filho, João, 2023. "The Spending Cap and Monetary Policy Effectiveness," MPRA Paper 116148, University Library of Munich, Germany.
    10. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    11. Matteo Luciani, 2013. "Monetary Policy, and the Housing Market: A Structural Factor Analysis," ULB Institutional Repository 2013/153324, ULB -- Universite Libre de Bruxelles.
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    1. R. Jason Faberman, 2008. "Job flows, jobless recoveries, and the Great Moderation," Working Papers 08-11, Federal Reserve Bank of Philadelphia.
    2. Ćorić, Bruno & Pugh, Geoff, 2013. "Foreign direct investment and output growth volatility: A worldwide analysis," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 260-271.
    3. Gilberto Tadeu Lima & Mark Setterfield, Jaylson Jair da Silveira, 2017. "The Great Deception: The 'Science' of Monetary Policy and the Great Moderation Revisited," Working Papers, Department of Economics 2017_26, University of São Paulo (FEA-USP).
    4. Champagne, Julien & Kurmann, Andre & Stewart, Jay, 2016. "Reconciling the Divergence in Aggregate U.S. Wage Series," IZA Discussion Papers 9754, IZA Network @ LISER.
    5. Doepke, M. & Tertilt, M., 2016. "Families in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1789-1891, Elsevier.
    6. Wu, Jing Cynthia & Zhang, Ji, 2019. "Global effective lower bound and unconventional monetary policy," Journal of International Economics, Elsevier, vol. 118(C), pages 200-216.
    7. Molnárová, Zuzana & Reiter, Michael, 2022. "Technology, demand, and productivity: What an industry model tells us about business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    8. Gobbi, Paula Eugenia & ,, 2018. "Economic Uncertainty and Fertility Cycles: The Case of the Post-WWII Baby Boom," CEPR Discussion Papers 13374, Centre for Economic Policy Research.
    9. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    10. Daryna Grechyna, 2019. "Mandatory Spending, Political Polarization, and Macroeconomic Volatility," ThE Papers 19/05, Department of Economic Theory and Economic History of the University of Granada..
    11. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010. "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
    12. Pedro Clavijo-Cortes, 2023. "Is unemployment hysteretic or structural? A Bayesian model selection approach," Empirical Economics, Springer, vol. 65(6), pages 2837-2866, December.
    13. Yépez, Carlos A., 2018. "Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 138-160.
    14. Qin, Meng & Zhang, Xiaojing & Li, Yameng & Badarcea, Roxana Maria, 2023. "Blockchain market and green finance: The enablers of carbon neutrality in China," Energy Economics, Elsevier, vol. 118(C).
    15. Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    16. Valcarcel, Victor J., 2013. "Exchange rate volatility and the time-varying effects of aggregate shocks," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 822-843.
    17. Jakob Grazzini & Domenico Massaro, 2018. "Great Volatility and Great Moderation," CESifo Working Paper Series 7272, CESifo.
    18. Stefania Albanesi, 2019. "Changing Business Cycles: The Role of Women's Employment," Working Paper 6608, Department of Economics, University of Pittsburgh.
    19. Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
    20. Matteo Luciani, 2013. "Monetary Policy, and the Housing Market: A Structural Factor Analysis," ULB Institutional Repository 2013/153324, ULB -- Universite Libre de Bruxelles.
    21. Francesco Nucci & Marianna Riggi, 2009. "The Great Moderation and Changes in the Structure of Labor Compensation," Working Papers in Public Economics 124, Department of Economics and Law, Sapienza University of Rome.
    22. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
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  47. Canova, Fabio & Pappa, Evi & Gambetti, Luca, 2006. "The Structural Dynamics of Output Growth and Inflation: Some International Evidence," CEPR Discussion Papers 5878, Centre for Economic Policy Research.

    Cited by:

    1. Carstensen, Kai & Schenkelberg, Heike, 2011. "Time- or State-Dependence? An Analysis of Inflation Dynamics using German Business Survey Data," Discussion Papers in Economics 12170, University of Munich, Department of Economics.
    2. Nasir, Muhammad Ali & Huynh, Toan Luu Duc, 2024. "Nexus between inflation and inflation expectations at the zero lower bound: A tiger by the tail," Economic Modelling, Elsevier, vol. 131(C).
    3. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
    4. Cai, Yifei & Wu, Yanrui, 2021. "Time-varying interactions between geopolitical risks and renewable energy consumption," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 116-137.
    5. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009.
    6. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, Centre for Economic Policy Research.
    7. Evi Pappa, 2015. "The effects of fiscal expansions: an international comparison," Working Papers 409, Barcelona School of Economics.
    8. Hou, Keqiang & Mountain, Dean C. & Wu, Ting, 2016. "Oil price shocks and their transmission mechanism in an oil-exporting economy: A VAR analysis informed by a DSGE model," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 21-49.
    9. Heike Schenkelberg & Sebastian Watzka, 2011. "Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan," CESifo Working Paper Series 3486, CESifo.
    10. Mohanty, Deepak & John, Joice, 2015. "Determinants of inflation in India," Journal of Asian Economics, Elsevier, vol. 36(C), pages 86-96.
    11. Ernest Gnan & Maria Teresa Valderrama, 2006. "Globalization, Inflation and Monetary Policy," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 37-54.
    12. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
    13. Ellington, Michael, 2018. "The case for Divisia monetary statistics: A Bayesian time-varying approach," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 26-41.
    14. Fu, Buben & Wang, Bin, 2020. "The transition of China's monetary policy regime: Before and after the four trillion RMB stimulus," Economic Modelling, Elsevier, vol. 89(C), pages 273-303.
    15. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
    16. Canova, Fabio & Menz, Tobias, 2010. "Does money matter in shaping domestic business cycles? An international investigation," CEPR Discussion Papers 8107, Centre for Economic Policy Research.
    17. Jakub Mateju, 2014. "Explaining the Strength and Efficiency of Monetary Policy Transmission: A Panel of Impulse Responses from a Time-Varying Parameter Model," Working Papers 2014/04, Czech National Bank, Research and Statistics Department.
    18. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008. "Explaining the Great Moderation: it is not the shocks," Working Paper Series 865, European Central Bank.
    19. Clark, Todd E. & Davig, Troy, 2011. "Decomposing the declining volatility of long-term inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 981-999, July.
    20. IIBOSHI, Hirokuni & IWATA, Yasuharu, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116347, University Library of Munich, Germany.
    21. Arturo Ormeno, 2008. "Great Moderation debate: should we be worry about using approximated policy functions?," 2008 Meeting Papers 659, Society for Economic Dynamics.
    22. Deluna, Roperto S. & Loanzon, Jeanette Isabelle V. & Tatlonghari, Virgilio M., 2021. "A nonlinear ARDL model of inflation dynamics in the Philippine economy," Journal of Asian Economics, Elsevier, vol. 76(C).
    23. Hahn, Elke & Mestre, Ricardo, 2011. "The role of oil prices in the euro area economy since the 1970s," Working Paper Series 1356, European Central Bank.
    24. Nasir, Muhammad Ali & Duc Huynh, Toan Luu & Vo, Xuan Vinh, 2020. "Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 178-188.
    25. Christian Glocker & Giulia Sestieri & Pascal Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.
    26. Michal Franta & Jan Libich & Petr Stehlik, 2012. "Tracking Monetary-Fiscal Interactions Across Time and Space," Working Papers 2012/06, Czech National Bank, Research and Statistics Department.
    27. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2010. "The effects of technology shocks on hours and output: a robustness analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 755-773.
    28. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.
    29. Alice Albonico & Sarantis Kalyvitis & Evi Pappa, 2011. "Real Business Cycles with Capital Maintenance," Quaderni di Dipartimento 147, University of Pavia, Department of Economics and Quantitative Methods.
    30. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    31. Jakub Matějů, 2019. "What Drives the Strength of Monetary Policy Transmission?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(3), pages 59-87, September.
    32. IWATA, Yasuharu & IIBOSHI, Hirokuni, 2023. "The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter," MPRA Paper 116355, University Library of Munich, Germany.
    33. Nasir, Muhammad Ali & Balsalobre-Lorente, Daniel & Huynh, Toan Luu Duc, 2020. "Anchoring inflation expectations in the face of oil shocks & in the proximity of ZLB: A tale of two targeters," Energy Economics, Elsevier, vol. 86(C).
    34. Rita Duarte & Carlos Marques, 2013. "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Empirical Economics, Springer, vol. 44(2), pages 613-638, April.
    35. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers 2011/13, Czech National Bank, Research and Statistics Department.
    36. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, Centre for Economic Policy Research.
    37. Nasir, Muhammad Ali & Huynh, Toan Luu Duc & Yarovaya, Larisa, 2020. "Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms," International Review of Financial Analysis, Elsevier, vol. 72(C).
    38. Anton Nakov & Andrea Pescatori, 2007. "Oil and the Great Moderation," Working Papers (Old Series) 0717, Federal Reserve Bank of Cleveland.
    39. Glocker, Christian & Sestieri, Giulia & Towbin, Pascal, 2019. "Time-varying government spending multipliers in the UK," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 180-197.
    40. Sánchez García, Javier & Galdeano Gómez, Emilio & Cruz Rambaud, Salvador, 2024. "Drivers of inflationary shocks and spillovers between Europe and the United States," Socio-Economic Planning Sciences, Elsevier, vol. 95(C).
    41. Berg, Tim Oliver, 2011. "Technology news and the U.S. economy: Time variation and structural changes," MPRA Paper 35361, University Library of Munich, Germany.
    42. Lance A Fisher & Syeon-seung Huh & Adrian Pagan, 2013. "Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables," NCER Working Paper Series 97, National Centre for Econometric Research.
    43. Hans KREMERS & Andreas LOESCHEL, 2010. "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
    44. Masahiko Shibamoto & Ryuzo Miyao, 2008. "Understanding Output and Price Dynamics in Japan: Why Have Japan's Price Movements Been Relatively Stable Since the 1990s?," Discussion Paper Series 219, Research Institute for Economics & Business Administration, Kobe University.
    45. Evi Pappa & Luca Gambetti, 2015. "Does inflation targeting matter for output and inflation volatility?," Working Papers 410, Barcelona School of Economics.
    46. Hilde C. Bjørnland & Vegard H ghaug Larsen & Junior Maih, 2017. "Oil and macroeconomic (in)stability," Working Papers No 6/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    47. Tobias Menz & Fabio Canova, 2015. "Does Money Matter in Shaping Domestic Business Cycles? An International Investigation (with appendices)," Working Papers 516, Barcelona School of Economics.
    48. Masahiko Shibamoto, 2023. "Inflation, Business Cycle, and Monetary Policy: The Role of Inflationary Pressure," Discussion Paper Series DP2023-04, Research Institute for Economics & Business Administration, Kobe University.
    49. Nikolaychuk Sergiy & Shapovalenko Nadiia, 2013. "The identification of the sources of current account fluctuations in Ukraine," EERC Working Paper Series 13/12e, EERC Research Network, Russia and CIS.
    50. T. Philipp Dybowski & Max Hanisch & Bernd Kempa, 2018. "The role of the exchange rate in Canadian monetary policy: evidence from a TVP-BVAR model," Empirical Economics, Springer, vol. 55(2), pages 471-494, September.
    51. Pooyan Amir-Ahmadi & Marko Mlikota & Dalibor Stevanovi'c, 2025. "Origins and Nature of Macroeconomic Instability in Vector Autoregressions," Papers 2512.20152, arXiv.org.
    52. Philip Arestis & Michail Karoglou & Kostas Mouratidis, 2016. "Monetary Policy Preferences of the EMU and the UK," Manchester School, University of Manchester, vol. 84(4), pages 528-550, July.

  48. Canova, Fabio & Pappa, Evi & Gambetti, Luca, 2006. "The Structural Dynamics of US Output and Inflation: What Explains the Changes?," CEPR Discussion Papers 5879, Centre for Economic Policy Research.

    Cited by:

    1. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
    2. Angelo Marsiglia Fasolo, 2018. "Monetary Policy Volatility Shocks in Brazil," Working Papers Series 480, Central Bank of Brazil, Research Department.
    3. Surico, Paolo & Benati, Luca, 2007. "Evolving U.S. monetary policy and the decline of inflation predictability," Working Paper Series 824, European Central Bank.
    4. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno".
    5. Andrew P Blake & Bojan Markovic, 2008. "The conduct of global monetary policy and domestic stability," Bank of England Staff Working Paper series 353, Bank of England.
    6. Fabio Canova & Luca Gambetti, 2003. "Structural changes in the US economy: is there a role for monetary policy?," Economics Working Papers 918, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
    7. Nicola Acocella & Giovanni Di Bartolomeo & Patrizio Tirelli, 2014. "US trend inflation reinterpreted. The role of fiscal policies and time-varying nominal rigidities," CIMEO Working Paper Series 108, Centre for Investigation and Modelling of Experimental Observations (CIMEO).
    8. Pami Dua & Deepika Goel, 2021. "Inflation Persistence in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 525-553, September.
    9. Polito, Vito & Spencer, Peter, 2011. "UK Macroeconomic Volatility and the Welfare Costs of Inflation," Cardiff Economics Working Papers E2011/23, Cardiff University, Cardiff Business School, Economics Section.
    10. Ha,Jongrim & Kose,Ayhan & Ohnsorge,Franziska Lieselotte & Yilmazkuday,Hakan, 2023. "Understanding the Global Drivers of Inflation : How Important Are Oil Prices ?," Policy Research Working Paper Series 10283, The World Bank.
    11. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    12. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009.
    13. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
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  49. Canova, Fabio & Gambetti, Luca, 2006. "Structural Changes in the US Economy: Bad Luck or Bad Policy?," CEPR Discussion Papers 5457, Centre for Economic Policy Research.

    Cited by:

    1. Jovanovic, Branimir & Petreski, Marjan, 2012. "Monetary policy in a small open economy with fixed exchange rate: The case of Macedonia," Economic Systems, Elsevier, vol. 36(4), pages 594-608.
    2. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, Centre for Economic Policy Research.
    3. Roland Straub & Gert Peersman & Boris Hofmann, 2011. "Time Variation in U.S. Wage Dynamics," 2011 Meeting Papers 331, Society for Economic Dynamics.
    4. Gert Peersman & Sebastian K. R th & Wouter Van der Veken, 2019. "The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/978, Ghent University, Faculty of Economics and Business Administration.
    5. Ebru Yuksel & Kývýlcým Metin Ozcan & Ozan Hatipoglu, 2012. "A Survey on Time Varying Parameter Taylor Rule: A Model Modified with Interest Rate Pass Through," Working Papers 2012/08, Bogazici University, Department of Economics.
    6. Fabio Milani, 2005. "Learning, Monetary Policy Rules, and Macroeconomic Stability," Macroeconomics 0508019, University Library of Munich, Germany.
    7. Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," FRB Atlanta Working Paper 2005-27, Federal Reserve Bank of Atlanta.
    8. Zsolt Darvas, 2006. "Monetary Transmission in the New EU Member States: Evidence from Time-Varying Coefficient Vector Autoregression," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 140-155.
    9. Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009. "The great moderation of the term structure of UK interest rates," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 856-871, September.
    10. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute.
    11. Canova, Fabio & Pappa, Evi & Gambetti, Luca, 2006. "The Structural Dynamics of US Output and Inflation: What Explains the Changes?," CEPR Discussion Papers 5879, Centre for Economic Policy Research.
    12. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
    13. Fabio Canova, 2004. "What explains the Great Moderation in the US? A structural analysis," Economics Working Papers 919, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2007.
    14. Canova, Fabio & Pappa, Evi & Gambetti, Luca, 2006. "The Structural Dynamics of Output Growth and Inflation: Some International Evidence," CEPR Discussion Papers 5878, Centre for Economic Policy Research.
    15. Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," FRB Atlanta Working Paper 2008-18, Federal Reserve Bank of Atlanta.
    16. Zsolt Darvas, 2012. "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," KRTK-KTI WORKING PAPERS 1219, Institute of Economics, Centre for Economic and Regional Studies.
    17. Hanson, Michael S., 2006. "Varying monetary policy regimes: A vector autoregressive investigation," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 407-427.
    18. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
    19. Pappa, Evi & Molteni, Francesco, 2017. "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," CEPR Discussion Papers 12541, Centre for Economic Policy Research.
    20. Canova, Fabio, 2006. "Monetary Policy and the Evolution of the US Economy," CEPR Discussion Papers 5467, Centre for Economic Policy Research.
    21. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
    22. G. Peersman & R. Straub, 2006. "Putting the New Keynesian Model to a Test," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/375, Ghent University, Faculty of Economics and Business Administration.
    23. Canova, Fabio & Gambetti, Luca, 2009. "Do expectations matter? The Great Moderation revisited," CEPR Discussion Papers 7597, Centre for Economic Policy Research.
    24. Benati, Luca & Mumtaz, Haroon, 2007. "U.S. evolving macroeconomic dynamics: a structural investigation," Working Paper Series 746, European Central Bank.
    25. Benoit Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.

  50. Fabio Canova & Luca Gambetti, 2004. "On the Time Variations of US Monetary Policy: Who is right?," Money Macro and Finance (MMF) Research Group Conference 2004 96, Money Macro and Finance Research Group.

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    1. Francesco Bianchi, 2009. "Regime Switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," 2009 Meeting Papers 198, Society for Economic Dynamics.
    2. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2010. "Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
    3. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
    4. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    5. Stelios D. Bekiros & Alessia Paccagnini, 2015. "Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs," Open Access publications 10197/7333, School of Economics, University College Dublin.
    6. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
    7. Stelios D. Bekiros & Alessia Paccagnini, 2016. "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 613-632, November.
    8. Leonardo Melosi & Francesco Bianchi, 2012. "Dormant Shocks and Fiscal Virtue," 2012 Meeting Papers 44, Society for Economic Dynamics.

  51. Fabio Canova & Luca Gambetti, 2003. "Structural changes in the US economy: is there a role for monetary policy?," Economics Working Papers 918, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.

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    1. Farmer, Roger E.A. & Nicolò, Giovanni, 2018. "Keynesian economics without the Phillips curve," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 137-150.
    2. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    3. Balcilar, Mehmet & Demirer, Riza & Gupta, Rangan & van Eyden, Reneé, 2017. "The impact of US policy uncertainty on the monetary effectiveness in the Euro area," Journal of Policy Modeling, Elsevier, vol. 39(6), pages 1052-1064.
    4. Jan Čapek, 2016. "Structural Changes in the Czech Economy: A DSGE Model Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(1), pages 37-52.
    5. Qin, Meng & Zhang, Xiaojing & Li, Yameng & Badarcea, Roxana Maria, 2023. "Blockchain market and green finance: The enablers of carbon neutrality in China," Energy Economics, Elsevier, vol. 118(C).
    6. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers wpdea1007, Department of Applied Economics at Universitat Autonoma of Barcelona.
    7. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers 9380, Centre for Economic Policy Research.
    8. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
    9. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    10. Alex, Dony, 2025. "Inflation targeting and the changing transmission mechanism of monetary policy in India," Economic Modelling, Elsevier, vol. 151(C).
    11. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    12. Su, Chi-Wei & Yang, Shengjie & Qin, Meng & Lobonţ, Oana-Ramona, 2023. "Gold vs bitcoin: Who can resist panic in the U.S.?," Resources Policy, Elsevier, vol. 85(PA).
    13. Nazlioglu, Saban & Akin, Tugba & Gurel, Sinem Pinar & Gunes, Sevcan, 2025. "Is nature of inflation co-movement time-varying? Insights from a dynamic factor model," Economics Letters, Elsevier, vol. 247(C).
    14. Zhong, Yufei & Chen, Xuesheng & Wang, Zhixian & Lin, Regina Fang-Ying, 2024. "The nexus among artificial intelligence, supply chain and energy sustainability: A time-varying analysis," Energy Economics, Elsevier, vol. 132(C).
    15. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    16. David Finck & Joerg Schmidt & Peter Tillmann, 2018. "Mortgage Debt and Time-Varying Monetary Policy Transmission," MAGKS Papers on Economics 201809, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    17. Hassan Khodavaisi, 2025. "Output, Money and Interest Rate in the United States: New Evidence Based on Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 66(2), pages 1571-1601, August.
    18. Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
    19. Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    20. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87, April.
    21. Mumtaz, Haroon & Surico, Paolo, 2014. "The Transmission Mechanism in Good and Bad Times," CEPR Discussion Papers 10083, Centre for Economic Policy Research.
    22. Markus Kirchner & Jacopo Cimadomo & Sebastian Hauptmeier, 2010. "Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces," Tinbergen Institute Discussion Papers 10-021/2, Tinbergen Institute.
    23. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006 158, Society for Computational Economics.
    24. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    25. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
    26. Firmin Doko Tchatoka & Qazi Haque, 2024. "Revisiting the Macroeconomic Effects of Monetary Policy Shocks," The Economic Record, The Economic Society of Australia, vol. 100(329), pages 234-259, June.
    27. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden, 2016. "Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty," Working Papers 201620, University of Pretoria, Department of Economics.
    28. Ellington, Michael, 2018. "The case for Divisia monetary statistics: A Bayesian time-varying approach," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 26-41.
    29. Antonello D'Agostino & Caterina Mendicino & Federico Puglisi, 2022. "Expectation‐Driven Cycles and the Changing Dynamics of Unemployment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 2173-2191, October.
    30. Irfanullah Khan & Muhammad Tayyab & Faheem Ur Rehman, 2026. "Exploring global contagion in artificial Intelligence, supply chain pressure, oil price, and economic policy uncertainty: insights from a bayesian TVP-SV-VAR model," Economic Change and Restructuring, Springer, vol. 59(1), pages 1-34, February.
    31. Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
    32. Pacifico, Antonio, 2020. "Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues," MPRA Paper 104292, University Library of Munich, Germany.
    33. De Lipsis Vincenzo, 2021. "Dating Structural Changes in UK Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 509-539, June.
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Articles

  1. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2026. "Common Components Structural VARs," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 44(1), pages 39-52, January.
    See citations under working paper version above.
  2. Forni, Mario & Gambetti, Luca & Sala, Luca, 2026. "Macroeconomic uncertainty and vector autoregressions," Econometrics and Statistics, Elsevier, vol. 39(C), pages 61-80.
    See citations under working paper version above.
  3. Mario Forni & Luca Gambetti & Antonio Granese & Luca Sala & Stefano Soccorsi, 2025. "An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain," American Economic Journal: Macroeconomics, American Economic Association, vol. 17(3), pages 311-341, July.
    See citations under working paper version above.
  4. Mario Forni & Luca Gambetti & Luca Sala, 2025. "Downside and Upside Uncertainty Shocks," Journal of the European Economic Association, European Economic Association, vol. 23(1), pages 159-189.
    See citations under working paper version above.
  5. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric transmission of oil supply news," Quantitative Economics, Econometric Society, vol. 16(3), pages 947-979, July.
    See citations under working paper version above.
  6. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).

    Cited by:

    1. Barci, Giovanni, 2025. "The effects of monetary policy on macroeconomic downside risk: state-dependence matters," Journal of Economic Dynamics and Control, Elsevier, vol. 180(C).
    2. Emter, Lorenz & Setzer, Ralph & Zorell, Nico & Moura, Afonso S., 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Paper Series 2989, European Central Bank.

  7. Mario Forni & Luca Gambetti & Nicolò Maffei‐Faccioli & Luca Sala, 2024. "Nonlinear Transmission of Financial Shocks: Some New Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 5-33, February.
    See citations under working paper version above.
  8. Forni, Mario & Gambetti, Luca & Sala, Luca, 2024. "Asymmetric effects of news through uncertainty," Macroeconomic Dynamics, Cambridge University Press, vol. 28(1), pages 74-98, January.

    Cited by:

    1. Cai, Yifei & Saadaoui, Jamel & Uddin, Gazi Salah, 2025. "US partisan conflict, Sino-US political relation news, and oil market dynamics," Energy Economics, Elsevier, vol. 149(C).
    2. M. Moni & A. S. Aparna & G. Sreelekshmi & V. Sreeraj & Biju A. V. Nair, 2026. "Decoding asymmetric news impacts and long memory of volatility in ESG firms: a comparative study with broader market segments in India," Quality & Quantity: International Journal of Methodology, Springer, vol. 60(2), pages 6839-6875, April.
    3. Fierro, Luca Eduardo & Martinoli, Mario, 2025. "An empirical inquiry into the distributional consequences of energy price shocks," Journal of International Money and Finance, Elsevier, vol. 159(C).
    4. Davide Brignone & Luca Gambetti & Martino Ricci, 2025. "Geopolitical risk shocks: when size matters," Bank of England Staff Working Paper series 1118, Bank of England.

  9. Mario Forni & Luca Gambetti, 2021. "Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy," JRFM, MDPI, vol. 14(8), pages 1-21, August.

    Cited by:

    1. Alfan Mansur, 2023. "Simultaneous identification of fiscal and monetary policy shocks," Empirical Economics, Springer, vol. 65(2), pages 697-728, August.
    2. Elynn Chen & Yuefeng Han & Jiayu Li & Ke Xu, 2025. "Modewise Additive Factor Model for Matrix Time Series," Papers 2512.25025, arXiv.org, revised Feb 2026.
    3. Wouter J. Den Haan & Tiancheng Sun, 2024. "The Role of Sell Frictions for Inventories and Business Cycles," Discussion Papers 2426, Centre for Macroeconomics (CFM).
    4. Luke Mosley & Tak-Shing Chan & Alex Gibberd, 2023. "sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings," Papers 2303.14125, arXiv.org.
    5. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.

  10. Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).

    Cited by:

    1. Abildgren, Kim & Kuchler, Andreas, 2023. "Firm behaviour under negative deposit rates," European Economic Review, Elsevier, vol. 151(C).
    2. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
    3. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    4. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.

  11. Davide Debortoli & Jordi Galí & Luca Gambetti, 2020. "On the Empirical (Ir)Relevance of the Zero Lower Bound Constraint," NBER Macroeconomics Annual, University of Chicago Press, vol. 34(1), pages 141-170.
    See citations under working paper version above.
  12. Mario Forni & Luca Gambetti & Luca Sala, 2019. "Structural VARs and noninvertible macroeconomic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 221-246, March.

    Cited by:

    1. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    2. Angeletos, George-Marios & Collard, Fabrice & Dellas, Harris, 2020. "Business Cycle Anatomy," TSE Working Papers 20-1065, Toulouse School of Economics (TSE).
    3. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    4. Buncic, Daniel, 2024. "Econometric issues in the estimation of the natural rate of interest," Economic Modelling, Elsevier, vol. 132(C).
    5. Herrera, Luis & Vázquez, Jesús, 2025. "Learning from news," Journal of Macroeconomics, Elsevier, vol. 85(C).
    6. Granese, Antonio, 2026. "Two main business cycle shocks are better than one," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
    7. Mirela S. Miescu & Haroon Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 894, Queen Mary University of London, School of Economics and Finance.
    8. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2025. "Informing DSGE Models Through Dynamic Factor Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(5), pages 487-507, August.
    9. Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
    10. Piergiorgio Alessandri & Andrea Gazzani, 2023. "Natural gas and the macroeconomy: not all energy shocks are alike," Temi di discussione (Economic working papers) 1428, Bank of Italy, Economic Research and International Relations Area.
    11. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, Centre for Economic Policy Research.
    12. Mario Forni & Luca Sala & Luca Gambetti & Davide Debortoli, 2023. "Nonlinear Monetary Policy Tradeoffs," Working Papers 1404, Barcelona School of Economics.
    13. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.
    14. ChaeWon Baek & Byoungchan Lee, 2022. "A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1101-1122, October.
    15. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.
    16. Alessandri, Piergiorgio & Gazzani, Andrea & Vicondoa, Alejandro, 2023. "Are the effects of uncertainty shocks big or small?," European Economic Review, Elsevier, vol. 158(C).
    17. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2023. "Identification with External Instruments in Structural VARs," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 1-19.
    18. Mario Forni & Alessandro Franconi & Luca Gambetti & Luca Sala, 2025. "Asymmetric transmission of oil supply news," Quantitative Economics, Econometric Society, vol. 16(3), pages 947-979, July.
    19. Liu, Xiaochun, 2021. "On fiscal and monetary policy-induced macroeconomic volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    20. Rychalovska, Yuliya & Slobodyan, Sergey & Wouters, Raf, 2025. "Survey expectations, learning and inflation dynamics," European Economic Review, Elsevier, vol. 180(C).
    21. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
    22. Rychalovska, Yuliya & Slobodyan, Sergey & Wouters, Rafael, 2026. "Professional survey forecasts and expectations in DSGE models," Journal of Monetary Economics, Elsevier, vol. 158(C).
    23. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The effect of structural oil shocks on bank systemic risk in the GCC countries," Energy Economics, Elsevier, vol. 103(C).
    24. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    25. Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2020. "Instrumental Variable Identification of Dynamic Variance Decompositions," Papers 2011.01380, arXiv.org, revised Jul 2021.
    26. Lukas Berend & Jan Pruser, 2025. "Sharpening Identification in Large Structural VARs Using Narrative Restrictions," Papers 2505.19244, arXiv.org, revised May 2026.
    27. Angelini, Giovanni & Sorge, Marco M., 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    28. Drautzburg, Thorsten & Wright, Jonathan H., 2023. "Refining set-identification in VARs through independence," Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
    29. Han, Zhao & Tan, Fei & Wu, Jieran, 2022. "Analytic policy function iteration," Journal of Economic Theory, Elsevier, vol. 200(C).

  13. Luca Gambetti & Julián Messina, 2018. "Evolving Wage Cyclicality in Latin America," The World Bank Economic Review, World Bank, vol. 32(3), pages 709-726.
    See citations under working paper version above.
  14. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    See citations under working paper version above.
  15. Giacomo De Giorgi & Luca Gambetti, 2017. "Business Cycle Fluctuations and the Distribution of Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 19-41, January.
    See citations under working paper version above.
  16. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noisy News in Business Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(4), pages 122-152, October.
    See citations under working paper version above.
  17. Luca Gambetti & Alberto Musso, 2017. "Loan Supply Shocks and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 764-782, June.
    See citations under working paper version above.
  18. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    See citations under working paper version above.
  19. Jordi Galí & Luca Gambetti, 2015. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 233-257, January.
    See citations under working paper version above.
  20. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    See citations under working paper version above.
  21. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
    See citations under working paper version above.
  22. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013. "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
    See citations under working paper version above.
  23. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
    See citations under working paper version above.
  24. Fabio Canova & Luca Gambetti, 2010. "Do Expectations Matter? The Great Moderation Revisited," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 183-205, July.
    See citations under working paper version above.
  25. Luca Gambetti & Jordi Galí, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
    See citations under working paper version above.
  26. Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
    See citations under working paper version above.
  27. Luca Gambetti & Evi Pappa & Fabio Canova, 2008. "The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 369-388, March.
    See citations under working paper version above.
  28. Fabio Canova & Luca Gambetti & Evi Pappa, 2007. "The Structural Dynamics of Output Growth and Inflation: Some International Evidence," Economic Journal, Royal Economic Society, vol. 117(519), pages 167-191, March.
    See citations under working paper version above.
  29. Luca Gambetti & Barbara Pistoresi, 2004. "Policy matters. The long run effects of aggregate demand and mark-up shocks on the Italian unemployment rate," Empirical Economics, Springer, vol. 29(2), pages 209-226, May.

    Cited by:

    1. Giuseppe Travaglini & Alessandro Bellocchi, 2018. "How supply and demand shocks affect productivity and unemployment growth: evidence from OECD countries," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(3), pages 955-979, December.
    2. Francesco Furlanetto & Antoine Lepetit & Ørjan Robstad & Juan F. Rubio-Ramirez & Pål Ulvedal, 2021. "Estimating Hysteresis Effects," Finance and Economics Discussion Series 2021-059, Board of Governors of the Federal Reserve System (U.S.).
    3. Tafirenyika SUNDE, 2015. "The effects of monetary policy on unemployment in Namibia," Journal of Economic and Social Thought, KSP Journals, vol. 2(4), pages 256-274, December.
    4. Holmlund, Bertil & Alexius, Annika, 2008. "Monetary Policy and Swedish Unemployment Fluctuations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 2, pages 1-25.
    5. Josué Diwambuena & Francesco Ravazzolo, 2022. "What are the drivers of Labor Productivity?," BEMPS - Bozen Economics & Management Paper Series BEMPS86, Faculty of Economics and Management at the Free University of Bozen.
    6. Tafirenyika Sunde & Olusegun A. Akanbi, 2016. "Sources of unemployment in Namibia: an application of the structural VAR approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 8(2), pages 125-143.
    7. Dadam, Vincent & Viegi, Nicola, 2021. "Hysteresis without Hope: investigating unemployment persistence in South Africa," MPRA Paper 108129, University Library of Munich, Germany.
    8. Antonio Rodriguez-Gil, 2018. "Hysteresis and labour market institutions. Evidence from the UK and the Netherlands," Empirical Economics, Springer, vol. 55(4), pages 1985-2025, December.
    9. Vaona, Andrea, 2016. "Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve," Kiel Working Papers 2038, Kiel Institute for the World Economy.

Software components

  1. Giacomo De Giorgi & Luca Gambetti, 2016. "Code and data files for "Business Cycle Fluctuations and the Distribution of Consumption"," Computer Codes 15-239, Review of Economic Dynamics.
    See citations under working paper version above.Sorry, no citations of software components recorded.

Chapters

  1. Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2022. "The Effect of News Shocks and Monetary Policy," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 139-164, Emerald Group Publishing Limited.
    See citations under working paper version above.
  2. Jordi Galí & Luca Gambetti, 2020. "Has the U.S. Wage Phillips Curve Flattened?," Central Banking, Analysis, and Economic Policies Book Series, in: Gonzalo Castex & Jordi Galí & Diego Saravia (ed.),Changing Inflation Dynamics,Evolving Monetary Policy, edition 1, volume 27, chapter 5, pages 149-172, Central Bank of Chile.

    Cited by:

    1. Malikane Christopher, 2023. "A Traditional Nominal Wage Phillips Curve: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 99(324), pages 108-121, March.
    2. Ahn, Hie Joo & Rudd, Jeremy B., 2025. "(Re-)Connecting inflation and the labor market: A tale of two curves," Journal of Monetary Economics, Elsevier, vol. 153(C).
    3. Gabriel, Ricardo Duque, 2023. "Monetary policy and the wage inflation-unemployment tradeoff," European Economic Review, Elsevier, vol. 159(C).
    4. Fornaro, Luca & Wolf, Martin, 2023. "The scars of supply shocks: Implications for monetary policy," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 18-36.

  3. Davide Debortoli & Jordi Galí & Luca Gambetti, 2019. "On the Empirical (Ir)relevance of the Zero Lower Bound Constraint," NBER Chapters, in: NBER Macroeconomics Annual 2019, volume 34, pages 141-170, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  4. Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
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