We study the dynamic interaction between COVID-19, economic mobility, and containment policy. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through traditional and narrative sign restrictions. We find that incidence shocks and containment shocks have large and persistent effects on mobility, morbidity, and mortality that last for one to two months. ...
We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US dollar. ...
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the ...
We construct a global index of epidemic news based on text analysis of newspapers from 17 countries. We apply the index to study the economic consequences of epidemics on the world economy in structural vector autoregressions. Epidemic shocks exert significantly and persistently negative effects on output and prices that last for up to two years. There is no quick recovery and no overshooting. The ...
Evidence on the effectiveness of foreign exchange (FX) interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and ...
This paper examines the role of sovereign default beliefs for macroeconomic fluctuations and stabilization policy in a small open economy where fiscal solvency is a critical problem. We set up and estimate a DSGE model on Turkish data and show that accounting for sovereign risk significantly improves the fit of the model through an endogenous amplification between default beliefs, exchange rate and ...
We study the state-dependent trading behavior of financial institutions in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We consider two states of the world: tranquil and turbulent. We decompose the observable time-varying price volatility during the period 2006M6–2016M5 into changes in the slopes of traders’ demand curves and into changes ...