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523 results, from 51
  • Refereed essays Web of Science

    Heteroscedastic Proxy Vector Autoregressions

    In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroscedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their variances. We develop a test for this implicit assumption and present evidence that the assumption ...

    In: Journal of Business & Economic Statistics 40 (2022), 3, S. 1268-1281 | Helmut Lütkepohl, Thore Schlaak
  • Refereed essays Web of Science

    Signalling Creditworthiness with Fiscal Austerity

    Sovereign borrowers may tighten their fiscal stance in order to signal their creditworthiness to lenders. In a model of sovereign debt with incomplete information, I show that a trustworthy country may reduce its debt beyond the optimal level in order to separate itself from less reliable countries. Since austerity is costly, the gains in the price of debt from separating need to be high enough, as ...

    In: European Economic Review 144 (2022), 104090, 27 S. | Anna Gibert
  • Diskussionspapiere 2004 / 2022

    Durable Consumption, Limited VAT Pass-Through and Stabilization Effects of Temporary VAT Changes

    This paper revives the question of whether a temporary VAT change is an adequate instrument for crisis stabilization. In empirical assessments, we find that durable goods consumption fluctuates strongly over the business cycle and that VAT rate changes affect durable goods in particular. Therefore, we build a dynamic stochastic general equilibrium (DSGE) model that is capable of addressing this major ...

    2022| Marius Clemens, Werner Röger
  • Diskussionspapiere 1995 / 2022

    A Behavioral Heterogeneous Agent New Keynesian Model

    We develop a New Keynesian model with household heterogeneity and bounded rationality in the form of cognitive discounting. The interaction of household heterogeneity and bounded rationality generates amplification of monetary and fiscal policy through indirect general equilibrium effects while simultaneously ruling out the forward guidance puzzle and remaining stable at the effective lower bound. ...

    2022| Oliver Pfäuti, Fabian Seyrich
  • DIW Weekly Report 14/15/16 / 2022

    ECB Can Lower Fuel and Heating Costs by Increasing Interest Rates but Would Risk Economic Recovery

    Inflation has been growing considerably since the middle of 2021, with rising energy prices driving the increase in particular. Since the end of February 2022, the trend has also been exacerbated by the ongoing Russian invasion of Ukraine. To keep prices stable, the European Central Bank must rein in its accommodative monetary policy. However, would doing so—by enacting an interest rate increase, for ...

    2022| Gökhan Ider, Alexander Kriwoluzky, Frederik Kurcz
  • Seminar of the Macro Department

    Fiscal multipliers: do individuals make a difference?

    14.12.2021| Stephanie Ettmeier
  • Schumpeter BSE Macro Seminar

    Productivity Shocks, Long-Term Contracts and Earnings Dynamics

    14.12.2021| Neele Balke, University of Chicago
  • Schumpeter BSE Macro Seminar

    Sex Ratios in Colonial India

    07.12.2021| James Fenske, Warwick
  • Seminar of the Macro Department

    Missing migrants: The impact of European migration to Brazil during the age of mass migration

    30.11.2021| Andrea Papadia
  • Schumpeter BSE Macro Seminar

    tba

    23.11.2021| Stephen Hansen, Imperial College London
523 results, from 51
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