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Forecast Error Variance Decompositions with Local Projections

Citations

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Cited by:

  1. Martin Groiss & Nicolas Syrichas, 2025. "Monetary Policy, Property Prices and Rents: Evidence from Local Housing Markets," Berlin School of Economics Discussion Papers 0058, Berlin School of Economics.
  2. Brianti, Marco & Cormun, Vito, 2024. "Expectation-driven boom-bust cycles," Journal of Monetary Economics, Elsevier, vol. 146(C).
  3. Wesołowski, Grzegorz & Gurshev, Oleg, 2026. "US macroeconomic shocks and international business cycle," Journal of International Money and Finance, Elsevier, vol. 164(C).
  4. Nadav Ben Zeev & Daniel Nathan, 2024. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(4), pages 640-666.
  5. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
  6. Dong, Ding & Liu, Zheng & Wang, Pengfei, 2025. "Turbulent business cycles," Journal of Monetary Economics, Elsevier, vol. 155(C).
  7. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
  8. Gertjan Vlieghe, 2025. "Core strength: international evidence on the impact of energy prices on core inflation," Economica, London School of Economics and Political Science, vol. 92(366), pages 406-419, April.
  9. Taylor, Alan M. & Cloyne, James & Hürtgen, Patrick, 2022. "Global Monetary and Financial Spillovers: Evidence from a New Measure of Bundesbank Policy Shocks," CEPR Discussion Papers 17587, Centre for Economic Policy Research.
  10. Arisa Chantaraboontha, 2025. "Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections," ISER Discussion Paper 1276, Institute of Social and Economic Research, The University of Osaka.
  11. Christian Gourieroux & Quinlan Lee, 2025. "Identification of Impulse Response Functions for Nonlinear Dynamic Models," Papers 2506.13531, arXiv.org, revised Jul 2025.
  12. 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.
  13. Klieber, Karin & Coulombe, Philippe Goulet, 2025. "Opening the black box of local projections," Working Paper Series 3105, European Central Bank.
  14. Barry K. Goodwin & Giorgia Rivieccio & Giovanni De Luca & Fabian Capitanio, 2024. "Computing impulse response functions from a copula-based vector autoregressive model: evidence from the italian agri-food value chain," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(2), pages 1779-1797, April.
  15. Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
  16. Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Instrumental Variable Identification of Dynamic Variance Decompositions," Journal of Political Economy, University of Chicago Press, vol. 130(8), pages 2164-2202.
  17. Simona Bigerna & Maria Chiara D'Errico & Paolo Polinori & Paul Simshauser, 2024. "Net-Zero Policy vs Energy Security: The Impact on GCC Countries," The Energy Journal, , vol. 45(1_suppl), pages 133-164, November.
  18. Ricardo Duque Gabriel & Mathias Klein & Ana Sofia Pessoa, 2026. "The Political Costs of Austerity," The Review of Economics and Statistics, MIT Press, vol. 108(1), pages 145-161, January.
  19. Lodge, David & Manu, Ana-Simona & Van Robays, Ine, 2023. "China’s footprint in global financial markets," Working Paper Series 2861, European Central Bank.
  20. Lodge, David & Manu, Ana-Simona, 2022. "EME financial conditions: Which global shocks matter?," Journal of International Money and Finance, Elsevier, vol. 120(C).
  21. Platitas, Reizle Jade C. & Ocampo, Jan Christopher G., 2025. "From bottlenecks to inflation: Impact of global supply-chain disruptions on inflation in select Asian economies," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 6(1).
  22. Chen, Yong & Fang, Jing & Liu, Dingming, 2023. "The effects of Trump’s trade war on U.S. financial markets," Journal of International Money and Finance, Elsevier, vol. 134(C).
  23. Miles, William & Zhu, Xiaoyang, 2023. "Housing and the changing impact of monetary policy," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 587-603.
  24. David Finck & Peter Tillmann, 2022. "Pandemic Shocks and Household Spending," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 273-299, April.
  25. Marco Flaccadoro & Tiziano Ropele, 2026. "Asymmetric monetary policy transmission across euro-area manufacturing industries," Temi di discussione (Economic working papers) 1535, Bank of Italy, Economic Research and International Relations Area.
  26. Rogers, John & Sun, Bo & Wu, Wenbin, 2025. "Drivers of the global financial cycle," Journal of International Economics, Elsevier, vol. 156(C).
  27. Nadav Ben Zeev & Daniel Nathan, 2023. "The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage," Working Papers 2316, Ben-Gurion University of the Negev, Department of Economics.
  28. Diego R. Känzig & Maximilian Konradt, 2024. "Climate Policy and the Economy: Evidence from Europe’s Carbon Pricing Initiatives," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(3), pages 1081-1124, September.
  29. Philippe Goulet Coulombe & Karin Klieber, 2025. "Opening the Black Box of Local Projections," Papers 2505.12422, arXiv.org, revised Jul 2025.
  30. Mario Alloza & Jesús Gonzalo & Carlos Sanz, 2025. "Dynamic Effects of Persistent Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 380-394, June.
  31. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  32. Jakub Mućk & Łukasz Postek, 2025. "Supply shortages and inflation in Europe," Economica, London School of Economics and Political Science, vol. 92(366), pages 420-456, April.
  33. Adolfsen, J.F. & Lappe, M.-S. & Manu, A-S. & Rößler, D. & Schupp, F. & Stalla-Bourdillon, A., 2026. "Gas market shocks: Tracing the effect on Euro Area inflation expectations," Journal of Macroeconomics, Elsevier, vol. 88(C).
  34. Marthe Mareels, 2026. "The Long-Run Effects of Temporary Oil Supply Disruptions: Evidence for Hysteresis in European Countries," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 26/1147, Ghent University, Faculty of Economics and Business Administration.
  35. Jakub Mućk & Łukasz Postek, 2023. "Supply chains shocks and inflation in Europe," NBP Working Papers 360, Narodowy Bank Polski.
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