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DIW Weekly Report 31 / 2021

Restrictive US Trade Policy Has a Significantly Negative Effect on Financial Markets

With its America First strategy, the former US administration turned away from an internationally oriented trade policy. It attempted to assert its interests, especially vis-à-vis China, with bilateral and mostly restrictive measures such as import tariffs. This Weekly Report shows that the costs of such a strategy are immense, at least in the medium-term analysis conducted: Almost all US industries ...

2021| Lukas Boer, Lukas Menkhoff, Malte Rieth
Diskussionspapiere 1956 / 2021

The Multifaceted Impact of US Trade Policy on Financial Markets

We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively, increasing market uncertainty, lowering interest rates, and leading to an appreciation ...

2021| Lukas Boer, Lukas Menkhoff, Malte Rieth
Externe referierte Aufsätze

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
Schumpeter BSE Macro Seminar

Belief Distortions and Macroeconomic Fluctuations

04.05.2021| Francesco Bianchi, Duke University
Schumpeter BSE Macro Seminar

Returns to Scale, Productivity Measurement, and Trends in U.S. Manufacturing Misallocation

11.05.2021| Dimitrije Ruzic, INSEAD
Schumpeter BSE Macro Seminar

On the Accuracy of Linear DSGE Solution Methods and the Consequences for Log-Normal Asset Pricing

18.05.2021| Alexander Meyer-Gohde, Goethe-Uni Frankfurt
Schumpeter BSE Macro Seminar

The Effect of Macroeconomic Uncertainty on Household Spending

25.05.2021| Yuriy Gorodnichenko, University of California-Berkeley
Schumpeter BSE Macro Seminar

Social proximity to capital: Implications for investors and firms

01.06.2021| Johannes Stroebel, NYU
Schumpeter BSE Macro Seminar

The People versus the Markets: A Parsimonious Model of Inflation Expectations

08.06.2021| Ricardo Reis, LSE
Schumpeter BSE Macro Seminar

Productivity Shocks, Long-Term Contracts and Earnings Dynamics

15.06.2021| Neele Balke, University of Chicago
494 results, from 31
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