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The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
We use a vector autoregressive model with functional shocks, capturing the shift of the entire term structure of interest rates on monetary policy...
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Functional shocks to inflation expectations and real interest rates and their macroeconomic effects
This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations and ex-ante real interest rate...
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Monetary shocks and production network in the G7 countries
Understanding the structure and properties of production networks is essential to identify the transmission channels from monetary shocks. While...
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The role of social protection in mitigating the effects of rainfall shocks. Evidence from Ethiopia
We study how participation in various social protection schemes can mitigate the negative relationship between adverse rainfall shocks and...
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Esca** Damocles’ Sword: Endogenous Climate Shocks in a Growing Economy
We consider a growing economy which is subject to recurring, random, uninsurable, and potentially large and long-lasting climate shocks leading to...
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Can Climate Shocks Make Vulnerable Subjects More Willing to Take Risks?
While economists in the past tended to assume that individual preferences, including risk preferences, are stable over time, a recent literature has...
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Do credit supply shocks have asymmetric effects?
They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local...
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Global Shocks in the US Economy: Effects on Output and the Real Exchange Rate
This paper studies the effects of global shocks, relative to domestic shocks (productivity, mark-up, and demand shocks), in accounting for US...
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Profitability of private equity: mean reversion and transitory shocks
This paper deals with the analysis of the statistical properties of the profitability yielded by Private Equity from a fractionally integrated...
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The impact of shocks and policies on debt-to-GDP ratio dynamics: a multisectoral approach
The dynamics of debt-to-GDP ratio is one of the major elements scrutinized by policymakers, especially in the present context characterized by the...
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Technology shocks and covered interest parity deviations in emerging market economies
We examine the response of covered interest parity (CIP) deviations in emerging markets (EMs) to output-enhancing technology shocks. Our model...
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The Geography of Manufacturing Productivity Shocks in Colombia
This chapter evaluates the impacts of changes in total factor productivity (TFP) in the manufacturing sectors, classified according to technological...
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Distributional effects of macroeconomic shocks in real-time
The highly dynamic nature of the COVID-19 crisis poses an unprecedented challenge to policy makers around the world to take appropriate...
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The Effect of Oil Price Shocks on Saudi Arabia’s Economic Growth in the Light of Vision 2030 “A Combination of VECM and ARDL Models”
Increasing global oil prices are an important and essential goal of the Kingdom of Saudi Arabia (KSA) to finance its economic and social development...
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US partisan conflict shocks and international stock market returns
This paper investigates the impact of US partisan conflict index (PCI) on international stock markets. It extracts innovations from a VAR model and...
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Implications of COVID-19 labour market shocks for inequality in financial wellbeing
Australia’s economy abruptly entered into a recession due to the COVID-19 pandemic of 2020. Related labour market shocks on Australian residents have...
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Price and Liquidity Dynamics for Single and Multi-Family Homes during Housing Market Shocks
Real estate research has primarily focused on examining aggregate shocks and dynamics to describe housing market trends; however, heterogeneity...
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Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries
The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom,...
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Economic Shocks from COVID-19 and the Assessment of Micro-, Small-, and Medium-Sized Enterprises Emergence of Insurance Coverage in Urban South-West, Nigeria
The COVID-19 pandemic created financial uncertainties which affected economic growth and investments throughout different sectors of the world...
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Capital Markets Union and International Risk-Sharing
A currency union limits the ability of the member states to stabilise output shocks through exchange rate adjustments or resort to monetary policy...