Estimation and Inference of Impulse Responses by Local Projections

Jordà, Òscar

doi:10.1257/0002828053828518

Cited by 2,987 publications

(2,469 citation statements)

References 29 publications

Supporting

Mentioning

2,147

Contrasting

Unclassified

Order By: Relevance

“…An adaptation of the local projections method developed in Jorda (2005) and extended in Teulings and Zubanov (2014), this easy to implement estimation procedure is robust to possible dynamic misspecifications in the underlying equations. The coefficients γ q and Γ q estimate the effects of the gap on SPs' wage premium and non SPs' wages q þ 1 years after joining the new firm, and the coefficient θ q measures the effect of the gaps times share on output.…”

Section: Tablementioning

confidence: 99%

The distribution of the gains from spillovers through worker mobility between workers and firms

Stoyanov

Zubanov

2014

European Economic Review

View full text Add to dashboard Cite

a b s t r a c tKnowledge spillovers through worker mobility between firms, found in previous research, imply that knowledge production within firms creates a positive externality to the hiring firms and their workers. We calculate the shares in the gains from spillovers retained by these parties using matched employer employee data from Danish manufacturing. We find that around two thirds of the total output gain (0.1% per year) is netted by the firms as extra profit, about a quarter goes to the incumbent workers as extra wages, while the workers who bring spillovers receive no more than 8% of it. This gains distribution, which favors the hiring firms, is similar for different types of moving workers, and is stable over time.

show abstract

Section: Tablementioning

confidence: 99%

The distribution of the gains from spillovers through worker mobility between workers and firms

Stoyanov

Zubanov

2014

European Economic Review

View full text Add to dashboard Cite

show abstract

“…We derive asymptotic results for direct forecasts based on linear vector autoregressions for infinite order DGPs. We will call forecasts based on this method local projections, following the nomenclature in Jordà (2005). Some of the derivations that we provide will look familiar to those readers acquainted with Lewis and Reinsel (1985), and Kuersteiner (2001Kuersteiner ( , 2002, to cite a few.…”

Section: Introductionmentioning

confidence: 99%

Path forecast evaluation

Jordà

Marcellino

2010

J of Applied Econometrics

Self Cite

View full text Add to dashboard Cite

A forecast path refers to the vector of forecasts over the next 1 to h periods into the future. These forecasts are correlated across horizons so that to properly understand the uncertainty associated with the forecast path, one requires the joint predictive density of the path rather than the collection of marginal predictive densities for each horizon. This paper derives the joint predictive density for forecasts generated by VARs or from direct forecast methods (e.g. Marcellino, Stock and Watson, 2003). Given this density, we introduce the mean square forecast path metric to compare the predictive ability between competing models and appropriately modify Diebold-Mariano-West and GiacominiWhite predictive ability tests. We then use Scheffé's S-method to construct simultaneous confidence regions for the forecast path and show how to construct path forecasts conditional on assumed paths for a subset of the system's variables, along with their conditional predictive density and a test on the assumed path's likelihood.JEL Classification Codes: C32, C52, C53

show abstract

“…To estimate the impulse-response profile of banking crises we employ the local projections approach of Jordà (2005). As noted above, this method has been used recently to study the impact of banking crises in a panel econometric context.…”

Section: Empirical Methodsologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

“…In this paper we use the local projections method developed by Jordà (2005) to model the effect of banking crises within a panel econometric setting, as done, among others, in Furceri and Zdzienicka (2012), Jordà et al (2013), and Teulings and Zubanov (2014). The defining characteristic of the local projections method is that it is based on estimating separate regressions that are local to each forecast horizon.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

The effects of systemic banking crises in the inter-war period

Rocha

Solomou

2015

Journal of International Money and Finance

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. An electronic version of the paper may be downloaded Terms of use: Documents in EconStor may• from the SSRN website:www. SSRN.com • from the RePEc website:www. RePEc.org • from the CESifo website:T www.CESifo-group.org/wpT ISSN 2364-1428CESifo Working Paper No. 5271 The Effects of Systemic Banking Crises in the Inter-War Period Abstract This paper examines the time-profile of the impact of systemic banking crises on GDP and industrial production using a panel of 24 countries over the inter-war period and compares this to the post-war experience of these countries. We show that banking crises have effects that induce medium-term adjustments on economies. Focusing on an eight-year horizon, it is clear that the negative effects of systemic banking crises last over the entirety of this time-horizon. The effect has been identified for GDP and industrial production. The adverse effect on the industrial sector stands out as being substantially larger in magnitude relative to the macroeconomic effect. Comparing the results across long-run historical periods for the same selection of countries and variables identifies some differences that stand out: the short term macroeconomic impact effects are much larger in the post-war period, suggesting that the propagation channels of shocks operate at a faster pace in the more recent period. Moreover, the time-profile of effects differs, suggesting that modern policies may be modulating the temporal shape of the response to banking crises shocks. However, the broad magnitude of the adverse effect of banking crises remains comparable across these time periods.JEL-Code: E600, N000, N200, G010.Keywords: local projections, banking crises, financial crises, economic history, inter-war. Bruno Rocha University of Cambridge IntroductionThis paper examines the time-profile of the impact of systemic banking crises on GDP and industrial production using a panel of 24 countries over the inter-war period and compares this to the post-war experience of these countries. The main aim of the paper is to clarify our understanding of the impact of banking crises during the inter-war period. The choice of countries is partly determined by historical data availability but we are able to study a diverse set of economies with differences in production structures, per capita income, and financial depth. Although there is significant general interest on the inter-war period in the literature on financial crises, partly because banking c...

show abstract

Estimation and Inference of Impulse Responses by Local Projections

Cited by 2,987 publications

References 29 publications

The distribution of the gains from spillovers through worker mobility between workers and firms

The distribution of the gains from spillovers through worker mobility between workers and firms

Path forecast evaluation

The effects of systemic banking crises in the inter-war period

Contact Info

Product

Resources

About