What is the effect of government deficits on interest rates? This fundamental question has not been convincingly answered. We propose a no-arbitrage structural VAR method that allows us to incorporate the cross-sectional information in bond yields into a structural macroeconomic framework. We find that the government deficit is an important factor behind the yield curve: A one percentage point ...

The vector autoregression (VAR), has long proven to be an effective method for modeling the joint dynamics of macroeconomic time series as well as forecasting. One of the major disadvantages of the VAR that has hindered its applicability is its heavy parameterization; the parameter space grows quadratically with the number of series included, quickly exhausting the available degrees of freedom....

I quantify the importance of financial structure, labor market rigidities and industry mix for cross-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained from country-specific vectorautoregressive (VAR) models and a non-standard panel VAR model match. In the country-specific VAR models, the impulse responses va...

This paper analyses the effects of discretionary fiscal policy by presenting new empirical evidence for Germany within a structural vector autoregression (SVAR) framework. Following Blanchard and Perotti (2002), the SVAR model is identified by applying institutional information. We find no compelling evidence for the effectiveness of discretionary fiscal policy. Cutting taxes does not tend to s...

This paper investigates the empirical evidence on the link between foreign direct investment and trade (export and import) in Turkey over the period from 1992:01 to 2008:04 by using the minimum LM unit root test for stationarity; Granger and Dolado-Lüthkepohl tests for causality. The test results based on the bi-variate VAR model indicate that there is no evidence of causality between foreign d...

This paper estimates a structural VAR model of U.S. consumer and world commodity prices. An equiproportional long-run response of nominal price levels to amonetary shock yields identifying restrictions. Exogenous innovations tomonetary policy account for a sizable share of the co-movement of these series, including during episodes more commonly attributed to “supply shocks.” JEL Categories: C32...

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