On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy

Prüser, Jan; Schlösser, Alexander

doi:10.1111/obes.12380

Cited by 15 publications

(8 citation statements)

References 56 publications

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“…Finally, we perform recursive and rolling window time-varying techniques following the works of Narayan and Sharma (2018), Inoue et al (2017), andPrüser andSchlösser (2020) in order to discover structural changes in impulse-responses that may evolve with respect to time. We selected various window sample sizes during both pre-crisis and post-crisis periods and estimated the baseline model under the same recursive identification assumptions.…”

Section: Robustness Checks and Alternative Approachesmentioning

confidence: 99%

ECB monetary policy and commodity prices

Aliyev

Koécenda

2022

Rev International Economics

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We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ an SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on energy (fuel) and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.

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Section: Robustness Checks and Alternative Approachesmentioning

confidence: 99%

ECB monetary policy and commodity prices

Aliyev

Koécenda

2022

Rev International Economics

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“…A second type of informational restriction which LMN employ is that one shock has a bigger effect on a variable than another. This was also used in Pruser and Schlosser (2020). 11 Now the central problem with this type of restriction is that the impulse responses whose magnitudes are used for comparison are those to one standard deviation shocks, and so they are not to the same sized shock.…”

Section: Dealing With Other Types Of Informational Restrictionsmentioning

confidence: 99%

Three Basic Issues that Arise when Using Informational Restrictions in SVARs*

Ouliaris¹,

Pagan

2021

Oxf Bull Econ Stat

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When sign or other informational restrictions are used in SVARs, impulse responses are only set identified. Three issues need to be addressed when finding such sets. One is that the restrictions must be sufficient to separate the shocks. Failure to do so can result in unacceptable structural equations, for example two supply curves in the SVAR. Another is the need to adjust the identified set so that the responses are to the same size shock. Otherwise the range of responses that are being found may simply reflect different shock sizes. The third issue is estimation of the SVAR when all the shocks are not separated. Researchers are often unwilling to set out sign restrictions to separate all shocks and so we describe what can be done to accommodate that attitude by using a triangular SVAR that parallels what is used with exact restrictions.JEL Classification numbers: C01. C18. C32. C52. *We thank three referees for drawing our attention to some recent papers and asking challenging questions.

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“…e firm-level measures of economic policy uncertainty by most scholars include variability in expected growth rates of demand [4,5], individual firm share price volatility changes [6], and implications of changes in top company or country leadership [7,8]. In accordance with the economic policy uncertainty index constructed by Baker et al [9], the existing literature investigates the impact of economic policy uncertainty on different firms' investment decisions of using GMM models [10], constructing time-varying parametric VAR models [11], and so on.…”

Section: Introductionmentioning

confidence: 99%

Identifying the Dynamic Influence of Economic Policy Uncertainty on Enterprise Investment Using Functional Data Analysis

Wang

Liu

et al. 2022

Mathematical Problems in Engineering

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Economic policy uncertainty (EPU) is one of the important influencing factors for enterprise investment. By its nature, enterprise investment is dynamically affected by uncertainty. We examine the time-varying impact of EPU on the level of corporate investment by introducing functional data analysis (FDA). Based on smoothing the discrete data of 106 China Securities Index (CSI) 300 firms into the continuous curve, we examine the dynamic relationship between EPU on corporate investment level and investment efficiency. In addition, we explore the effect of EPU on the level of corporate investment and investment efficiency after grouping regressions in a functional model. The findings show the following: Firstly, there is a suppressive effect of rising EPU on the level of corporate investment. However, when the EPU is low, it has a significant promoting effect on the level of corporate investment and gradually decreases with the increase of uncertainty level. Secondly, elevated EPU has a promoting effect on the efficiency of corporate investment. The inhibitory effect on firm investment efficiency is observed at low EPU and changes to a promotional effect at high EPU. Thirdly, increasing EPU has a greater inhibitory role in the investment level of nonstate firms and a greater promotional role in the investment efficiency of state firms. We seek to expand the research on the impact of macrouncertainty on microfirm investment and introduce FDA to provide a meaningful reference to solve the current controversial issue.

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On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy

Cited by 15 publications

References 56 publications

ECB monetary policy and commodity prices

ECB monetary policy and commodity prices

Three Basic Issues that Arise when Using Informational Restrictions in SVARs*

Identifying the Dynamic Influence of Economic Policy Uncertainty on Enterprise Investment Using Functional Data Analysis

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