Essays in honour of Fabio Canova / edited by Juan J. Dolado, Luca Gambetti, and Christian Matthes.

Format:

Book

Contributor:

Gambetti, Luca, editor.

Matthes, Christian, editor.

Dolado, Juan J., editor.

Series:

Advances in Econometrics

Advances in Econometrics ; v.V44, Part B

Language:

English

Subjects (All):

Econometrics.

Physical Description:

1 online resource (203 pages)

Place of Publication:

London, England : Emerald Publishing Limited, [2022]

Summary:

Both parts of Volume 44 of Advances in Econometricspay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Contents:

Intro

Half Title Page

Series Editors

Title Page

Copyright Page

Contents

Chapter 1: Tests for Random Coefficient Variation in Vector Autoregressive Models

1. Introduction

2. Information Matrix Tests of the Multivariate Regression Model

3. Testing Parameter Constancy in VARs

3.1. Interpretation of the Influence Functions

3.1.1. Conditional Heteroskedasticity

3.1.2. Conditional and Unconditional Asymmetry

3.1.3. Unconditional Kurtosis

3.2. Covariance Matrices of the Influence Functions

3.3 A Recursive-design Bootstrap Procedure

4. Monte Carlo Analysis

4.1. Design

4.1.1. DGPs and Estimation Under the Null

4.1.2. DGPs Under the Alternatives

4.2. Simulation Results

4.2.1. Size Properties

4.2.2. Power of the Tests

5. An Application to Aggregate Output Measures

6. Conclusions and Directions for Further Research

References

Chapter 2: Monetary Policy Across Space and Time

2. Methodology

3. Empirical Application

3.1. Data and Priors

3.2. Reduced-form Evidence

3.3. Time-varying Connectedness

3.4. Structural Analysis

4. Conclusion

Chapter 3: Heterogeneous Switching in FAVAR Models

2. Econometric Framework

2.1. The MS2-FAVAR Model

2.2. Estimation

2.2.1. Algorithm

2.2.2. Drawing the State Vector

2.2.3. Priors

3. Monte Carlo Simulations

3.1. Design

3.2. Finite Sample Performance

4. Credit Market Disruptions and the Business Cycle

4.1. Empirical Issues

4.1.1. Data

4.1.2. Model Selection

4.1.3. Identification

4.2. Results

5. Conclusions

Appendix

Chapter 4: Business Cycles in the EU: A Comprehensive Comparison Across Methods

2. MC SIMULATION

3. Methods Used for TCD

3.1. Time Domain

3.2. Frequency Domain.

3.3. TCD Approaches

4. Beauty Contest Assessment Criteria

4.1. Synchronicity and Similarity

5. Results and Assessment

5.1. MC Simulation

5.2. Actual Cycles Comparison

5.2.1. Gross Domestic Product

5.2.2. The Unemployment Rates

6. Synchronization of Cycles with the Euro Area

7. Conclusions

Notes

Chapter 5: Understanding International Long-term Interest Rate Comovement

2. Theoretical Model

2.1 Firms

2.2 Domestic Financial Intermediaries

2.3 Interest Rates and Term Premia

2.4 Exchange Rate

2.5 Households

2.6 Government, Monetary Policy and Resource Constraint

2.7 Exports

3. Estimation

3.1 Data

3.2 Calibrated Parameters

3.3 Prior Distributions

3.4 Posterior Estimation

3.5 Parameter Estimates

4. Model Validation

4.1 Model Fit and Moment Estimates

4.2 Term-premium Estimates

4.3 Reduced-form Models of Comovement

5. Understanding Comovement

5.2 The Forces Driving Comovement: Counterfactuals

5.2.1 Intuition

5.2.2 Counterfactuals

5.3 The Forces Driving Comovement: External Validation

5.4 Policy Implication

6. Robustness

7. Conclusion

Acknowledgements

A. Structural Versus Reduced-form Analysis

B. Historical Decompositions of the USA and the UK Long-term Interest Rates

C. The Qualitative (Un)importance of Non-standard Features in the DSGE Model

D. Data

Index.

Notes:

Description based on print version record.

Includes index.

Other Format:

Print version: Dolado, Juan J. Essays in Honour of Fabio Canova

ISBN:

1-80382-831-5