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Citations for "VAR analysis, non-fundamental representations, Blashke matrices"

by Marco Lippi & Lucrezia Reichlin

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  1. Luca Gambetti, 2014. "Noisy News in Business Cycles," 2014 Meeting Papers 1406, Society for Economic Dynamics.
  2. Todd B. Walker, 2005. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," Finance 0509021, EconWPA.
  3. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
  4. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," Center for Economic Research (RECent) 049, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  5. Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series 0632, European Central Bank.
  6. Todd B. Walker & Eric M. Leeper & Susan S. Yang, 2012. "Fiscal Foresight and Information Flows," IMF Working Papers 12/153, International Monetary Fund.
  7. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
  8. 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).
  9. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2011. "Foresight and Information Flows," NBER Working Papers 16951, National Bureau of Economic Research, Inc.
  10. 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".
  11. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  12. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "A Dynamic Factor Analysis of Business Cycle on Firm-Level Data," LEM Papers Series 2006/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  13. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
  14. Luciana Juvenal & Ivan Petrella, 2015. "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, 06.
  15. Barnichon, Regis & Matthes, Christian, 2014. "Gaussian Mixture Approximations of Impulse Responses and the Nonlinear Effects of Monetary Shocks," Working Paper 16-8, Federal Reserve Bank of Richmond, revised 01 Jun 2016.
  16. Brad Baxter & Liam Graham & Stephen Wright, 2010. "Invertible and non-invertible information sets in linear rational expectations models," Post-Print hal-00767497, HAL.
  17. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
  18. Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, C.E.P.R. Discussion Papers.
  19. Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2010. "Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 69(1), pages 29-66, April.
  20. Alesina, Alberto & Favero, Carlo & Giavazzi, Francesco, 2014. "The output effect of fiscal consolidation plans," SAFE Working Paper Series 76, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  21. Massimiliano Marcellino & George Kapetanios, 2006. "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  22. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2016. "The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model," Working Papers 201653, University of Pretoria, Department of Economics.
  23. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
  24. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas J. Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper 2005-09, Federal Reserve Bank of Atlanta.
  25. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Papers 1026, Queen's University, Department of Economics.
  26. Karel Mertens & MortenO. Ravn, 2010. "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," Economic Journal, Royal Economic Society, vol. 120(544), pages 393-413, 05.
  27. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
  28. Giacomo Rondina & Todd Walker, 2016. "Learning and Informational Stability of Dynamic REE with Incomplete Information," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 147-159, July.
  29. Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2012. "Quantitative Effects of Fiscal Foresight," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 115-44, May.
  30. Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," Working Paper Series 56_12, The Rimini Centre for Economic Analysis, revised Aug 2012.
  31. Simon van Norden, 1995. "Why Is It So Hard to Measure the Current Output Gap?," Macroeconomics 9506001, EconWPA.
  32. Alexander Kriwoluzky, 2009. "Pre-announcement and Timing - The Effects of a Government Expenditure Shock," Economics Working Papers ECO2009/40, European University Institute.
  33. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
  34. Favero, Carlo A. & Giavazzi, Francesco, 2009. "How Large Are the Effects of Tax Changes?," CEPR Discussion Papers 7439, C.E.P.R. Discussion Papers.
  35. Hamidi Sahneh, Mehdi, 2016. "Testing for Non-Fundamentalness," MPRA Paper 71924, University Library of Munich, Germany.
  36. Jörn Tenhofen & Guntram B. Wolff, 2010. "Does anticipation of government spending matter? The role of (non-)defense spending," Bonn Econ Discussion Papers bgse12_2010, University of Bonn, Germany.
  37. Forni, Mario & Lippi, Marco & Reichlin, Lucrezia, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
  38. Peter Backé & Christian Thimann & Olga Arratibel & Oscar Calvo-Gonzalez & Arnaud Mehl & Carolin Nerlich, 2004. "The acceding countries’ strategies towards ERM II and the adoption of the euro - an analytical review," Occasional Paper Series 10, European Central Bank.
  39. Born, Benjamin & Juessen, Falko & Müller, Gernot, 2012. "Exchange rate regimes and fiscal multipliers," CEPR Discussion Papers 8986, C.E.P.R. Discussion Papers.
  40. Berg Tim Oliver, 2015. "Time Varying Fiscal Multipliers in Germany," Review of Economics, De Gruyter, vol. 66(1), pages 13-46, April.
  41. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
  42. Hess Chung & Eric Leeper, 2007. "What Has Financed Government Debt?," Caepr Working Papers 2007-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  43. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554 Edward Elgar Publishing.
  44. Matteo LUCIANI, . "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
  45. Karel Mertens & Morten Ravn, 2011. "The Research Agenda: Karel Mertens and Morten Ravn on Fiscal Policy, Anticipation Effects, Expectations and Crisis," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 12(2), April.
  46. Offick, Sven & Wohltmann, Hans-Werner, 2013. "News shocks, nonfundamentalness and volatility," Economics Letters, Elsevier, vol. 119(1), pages 17-19.
  47. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
  48. Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  49. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  50. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 0228, European Central Bank.
  51. Claeys Peter, 2008. "Estimating the effects of fiscal policy under the budget constraint," wp.comunite 0038, Department of Communication, University of Teramo.
  52. Fabio Canova, 2016. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness," Working Papers 0042, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  53. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  54. Roberto perotti, 2011. "Expectations and Fiscal Policy: An Empirical Investigation," Working Papers 429, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  55. Graham, Liam & Wright, Stephen, 2010. "Information, heterogeneity and market incompleteness," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 164-174, March.
  56. D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
  57. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
  58. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  59. Houssa, Romain, 2008. "Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 319-347, February.
  60. Alesina, Alberto F & Favero, Carlo A. & Giavazzi, Francesco, 2012. "The output effect of fiscal consolidations," CEPR Discussion Papers 9105, C.E.P.R. Discussion Papers.
  61. Hamidi Sahneh, Mehdi, 2013. "Testing for Noncausal Vector Autoregressive Representation," MPRA Paper 68867, University Library of Munich, Germany, revised 16 Aug 2014.
  62. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
  63. Offick, Sven & Wohltmann, Hans-Werner, 2012. "A terminological note on cyclotomic polynomials and Blaschke matrices," Economics Working Papers 2012-13, Christian-Albrechts-University of Kiel, Department of Economics.
  64. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  65. Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  66. António Afonso & Peter Claeys, 2006. "The dynamic behaviour of budget components and output – the cases of France, Germany, Portugal, and Spain," Working Papers Department of Economics 2006/26, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  67. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
  68. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  69. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers 131, University of Rome La Sapienza, Department of Public Economics.
  70. Afonso, António & Claeys, Peter, 2007. "The dynamic behaviour of budget components and output," Working Paper Series 0775, European Central Bank.
  71. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
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