Duration dependent Markov-switching VAR (from now on DDMSVAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. Interesting applications of this class of models have been carried out in business cycle ana...

This paper analyzes the macroeconomic impact of structural oil shocks in four of the top oil-consuming Asian economies, using a VAR model. We identify three different structural oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. The main results suggest that economic activity and prices respond very dif...

We develop a multi-sector sticky-price DSGE model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow response of prices to aggregate shocks. In turn, labor-market segmentation at the sectoral level induces within-sector pricing substitutability,...

Wesche as well as from participants of the session on " European Monetary Integration I " at the 47th International Atlantic Economic Conference, Vienna, and from an anonymous referee on this version of the paper. Of course, all remaining errors are those of the author. The views expressed are the author's and do not necessarily correspond to those of the Oesterreichische Nationalbank or those ...

This paper examines the power of business and consumer survey indicators in predicting retail activity in Croatia. A brief overview of business and consumer surveys is presented, followed by the conceptual logic behind their use in predicting related macroeconomic variables. Detailed elaboration of methodology used is presented next. The main model used for the analysis is a bivariate vector au...

This paper uses the SVAR approach to assess the degree of labor market flexibility – measured as the responsiveness of real and nominal wages to permanent and temporary shocks in eight EU member states (France, Italy, UK, Netherlands, Poland, Hungary, Slovakia and the Czech Republic) with a view to assessing their suitability for Euro-area membership. It is found that for Hungary and the Czech ...

The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the policy debate. This paper proposes a theoretical consistent identification strategy using restrictions implied by a DSGE model. Monte Carlo simulations suggest the proposed identification strategy is succ...

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive vectors can be found which eliminate these common factors. Likelihood ratio tests for linear restrictions ...

This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Autoregressive Processes (VAR). In particular we propose long-run half-lives, based on interim and total multipliers. We discuss their relation with Granger-noncausality and other types of half-life, which are shown to convey different information, except in the univariate AR(1) case. We present li...

This thesis is concerned with three questions: first, how can the effects macroeconomic policy has on the economy in general be estimated? Second, what are the effects of a pre-announced increase in government expenditures? Third, how should monetary policy be conducted, if the policymaker faces uncertainty about the economic environment. In the first chapter I suggest to estimate the effects o...