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Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective
In: KOF Working Paper No. 479
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Working paper
Unsicherheitsschätzungen mittels Datenrevisionen: eine länderübergreifende Analyse
Der vorliegende Beitrag entwickelt international vergleichbare Indikatoren für makroökonomische Unsicherheit. Dabei wird eine Methode entwickelt, die erlaubt, Unsicherheitsmasse aus Revisionen des Bruttoinlandprodukts zu extrahieren. Das Modell wird auf Echtzeitdaten angewendet und liefert Schätzungen der makroökonomischen Unsicherheit für 39 Länder. Die internationale Dimension der Unsicherheitsdaten ermöglicht, den Einfluss von verschiedenen Arbeitnehmerschutzgesetzen auf die Auswirkungen von Unsicherheitsschocks zu untersuchen. Die empirischen Ergebnisse deuten darauf hin, dass Unsicherheitsschocks in Ländern mit niedrigem Arbeitnehmerschutz stärker negativ und anhaltender wirken als in Ländern mit hohem Arbeitnehmerschutz. Diese empirischen Ergebnisse sind konsistent mit den theoretischen Erwartungen. Eine Erhöhung der Entlassungskosten in einem theoretischen Unsicherheitsmodell mindert die negativen Auswirkungen eines Unsicherheitsschocks. ; This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to study the impact of uncertainty shocks under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.
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Measuring Macroeconomic Uncertainty: A Cross-Country Analysis
This paper constructs internationally consistent measures of macroeconomic un- certainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 coun- tries. The cross-country dimension of our uncertainty data allows us to identify the e ects of uncertainty shocks on economic activity under di erent employment pro- tection legislation. Our empirical ndings suggest that the e ects of uncertainty shocks are stronger and more persistent in countries with low employment pro- tection compared to countries with high employment protection. These empirical ndings are in line with a theoretical model under varying ring cost.
BASE
Measuring macroeconomic uncertainty: A cross-country analysis
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to identify the effects of uncertainty shocks on economic activity under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.
BASE
Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR
In: CESifo Working Paper Series No. 4667
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Working paper
Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR
In: KOF Working Papers No. 351
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Working paper
Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931
This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through the Gold Standard played only a minor role in causing and propagating the crisis, while financial distress was important. We also find evidence of crisis propagation from Germany to the U.S. via the banking channel. Banking distress in both economies was apparently not endogenous to monetary policy. Results confirm Bernanke's (1983) conjecture that an independent, non-monetary financial channel of crisis propagation was operative in the Great Depression.
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Tracking down the business cycle: A dynamic factor model for Germany 1820–1913
In: Explorations in economic history: EEH, Band 46, Heft 3, S. 368-387
ISSN: 0014-4983
Measuring Macroeconomic Uncertainty: A Cross-Country Analysis
In: EEREV-D-22-00051
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Uncertainty Shocks, Adjustment Costs and Firm Beliefs: Evidence From a Representative Survey
In: KOF Working Paper, No. 496, October 2021
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Identification of Financial Factors in Economic Fluctuations
In: The economic journal: the journal of the Royal Economic Society, Band 129, Heft 617, S. 311-337
ISSN: 1468-0297
Monetary-fiscal policy interaction and fiscal inflation: a tale of three countries
We study the impact of the interaction between fiscal and monetary policy on the low-frequency relationship between the fiscal stance and inflation using cross-country data from 1965 to 1999. In a first step, we contrast the monetary-fiscal narrative for Germany, the U.S. and Italy with evidence obtained from simple regression models and a time-varying VAR. We find that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central bank and responsible fiscal policy and more pronounced in times of high fiscal budget deficits and accommodative monetary authorities. In a second step, we use an estimated DSGE model to interpret the low-frequency measure structurally and to illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest that switches in the monetary-fiscal policy interaction and accompanying variations in the propagation of structural shocks can well account for changes in the low-frequency relationship between the fiscal stance and inflation.
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Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three Countries
In: Bundesbank Discussion Paper No. 42/2015
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