Relevant bibliographies by topics / Macroeconomic Shock

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Macroeconomic Shock'

Author: Grafiati
Published: 10 September 2021
Last updated: 29 July 2025

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Journal articles on the topic "Macroeconomic Shock"

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Lee, Jihoon, and Hong Chong Cho. "Impact of Structural Oil Price Shock Factors on the Gasoline Market and Macroeconomy in South Korea." Sustainability 13, no. 4 (2021): 2209. http://dx.doi.org/10.3390/su13042209.

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This study decomposed shocks of the global crude oil (GCO) market and Korean gasoline (KG) market into six types using the structural vector auto-regressive model. Breaking down the shocks into six, we analyzed how each shock affects the macroeconomy and gasoline market in Korea. Results of the analysis revealed that the oil supply shock did not cause a large fluctuation in gasoline prices, but it harmed the macroeconomy. By contrast, the two shocks on the demand side of the GCO market caused a large increase in domestic gasoline prices, but they did not negatively affect the macroeconomy. Mea
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Carvalho, Vasco M., and Alireza Tahbaz-Salehi. "Production Networks: A Primer." Annual Review of Economics 11, no. 1 (2019): 635–63. http://dx.doi.org/10.1146/annurev-economics-080218-030212.

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This article reviews the literature on production networks in macroeconomics. It presents the theoretical foundations for the role of input–output linkages as a shock propagation channel and as a mechanism for transforming microeconomic shocks into macroeconomic fluctuations. The article also provides a brief guide to the growing literature that explores these themes empirically and quantitatively.
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Kurmann, André, and Christopher Otrok. "News Shocks and the Slope of the Term Structure of Interest Rates." American Economic Review 103, no. 6 (2013): 2612–32. http://dx.doi.org/10.1257/aer.103.6.2612.

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We adopt a statistical approach to identify the shocks that explain most of the fluctuations of the slope of the term structure of interest rates. We find that one shock can explain the majority of unpredictable movements in the slope. Impulse response functions lead us to interpret this shock as news about future total factor productivity (TFP). By showing that “slope shocks” are essentially “TFP news shocks” we provide a new explanation for the relationship between the slope and macroeconomic fundamentals. Our results also provide a new empirical benchmark for structural models at the inters
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He, Yugang, and Moongi Lee. "Macroeconomic Effects of Energy Price: New Insight from Korea?" Mathematics 10, no. 15 (2022): 2653. http://dx.doi.org/10.3390/math10152653.

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Under the double pressure of the Ukrainian–Russian war and the COVID-19 pandemic, the global energy crisis has also engulfed the Korean economy. Based on this context, this article examines the macroeconomic implications of energy prices, using Korea as an example. According to an empirical study using the impulse response function, the results show that an energy price shock causes a decline in production, labor supply, capital stock, and energy consumption, as well as an increase in consumption, wages, the goods price level, inflation, and the deposit interest rate. Meanwhile, variance decom
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Kaplan, Greg, and Giovanni L. Violante. "Microeconomic Heterogeneity and Macroeconomic Shocks." Journal of Economic Perspectives 32, no. 3 (2018): 167–94. http://dx.doi.org/10.1257/jep.32.3.167.

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In this essay, we discuss the emerging literature in macroeconomics that combines heterogeneous agent models, nominal rigidities, and aggregate shocks. This literature opens the door to the analysis of distributional issues, economic fluctuations, and stabilization policies—all within the same framework. In response to the limitations of the representative agent approach to economic fluctuations, a new framework has emerged that combines key features of heterogeneous agents (HA) and New Keynesian (NK) economies. These HANK models offer a much more accurate representation of household consumpti
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Iram, Humera. "Not All Commodity Price Shocks are Alike for the Macro Economy of Pakistan." IBT Journal of Business Studies 17, no. 2 (2021): 134–56. https://doi.org/10.46745/ilma.jbs.2021.17.02.03.

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This study examines the impact of commodity price shocks on the macroeconomic variables of the Pakistan economy by disaggregating commodity price indices into seven different groups, namely food, clothing and footwear, housing, energy, transport, education, health, and others. It uses monthly data from July 2008 to June 2020 and employs the SVAR model for data analysis. The results of our study provide insight that all commodity price shocks are not alike for the macroeconomy of Pakistan, and different commodity price groups affect the economy differently with different magnitude. We note that
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Jansen, Dennis W., Diego E. Vacaflores, and George S. Naufal. "The Macroeconomic Consequences of Remittances." ISRN Economics 2012 (September 20, 2012): 1–14. http://dx.doi.org/10.5402/2012/218071.

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This study examines the impact of a remittances shock on the main macroeconomic aggregates of a small open economy. It uses a stochastic limited participation model to generate dynamics that are consistent with the empirical literature, like the increase in inflation, consumption, and leisure. However, the remittances shock generates a prolonged decline in GDP, which only diminishes when remittances are a larger percentage of GDP, the fraction of remittances directed towards investment increases, or when the fraction of labor income that remittances represent is reduced and is overturned when
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Li, Erica X. N., Haitao Li, Shujing Wang, and Cindy Yu. "Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model." Management Science 65, no. 8 (2019): 3585–604. http://dx.doi.org/10.1287/mnsc.2017.2999.

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We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time series of four latent fundamental shocks of the model: neutral technology shock, investment-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can explain a number of prominent cross-sectional return spreads: size, book-to-market, investment, earnin
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Kilian, Lutz. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review 99, no. 3 (2009): 1053–69. http://dx.doi.org/10.1257/aer.99.3.1053.

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Shocks to the real price of oil may reflect oil supply shocks, shocks to the global demand for all industrial commodities, or demand shocks that are specific to the crude oil market. Each shock has different effects on the real price of oil and on US macroeconomic aggregates. Changes in the composition of shocks help explain why regressions of macroeconomic aggregates on oil prices tend to be unstable. Evidence that the recent surge in oil prices was driven primarily by global demand shocks helps explain why this shock so far has failed to cause a major recession in the United States. (JEL E31
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Kharohmayani, Desy, and Sudarso Kaderi Wiryono. "The Impact of Banking Policies to the Macroprudential Policy." JEJAK 13, no. 2 (2020): 367–80. http://dx.doi.org/10.15294/jejak.v13i2.25754.

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The interaction between banks and macroeconomics is of crucial importance to financial stability. This study aims to answer the question of how macroeconomic shocks are transmitted to banking variables or vice versa. The study investigated the impact of the banking policies, the principal component of analysis (PCA) of banking quality indicators (CAMEL), and BI's rate to the aggregate of GDP and GDP priority sectors. The methodology used is the Factor Augmented Vector Autoregressive (FAVAR) model to observe the endogeneity of the observed variables. The results show that there is substantial h
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Dissertations / Theses on the topic "Macroeconomic Shock"

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Kuralbayeva, Karlygash. "Macroeconomic Adjustment to Resource Shock in a Growing Two-sector Economy." Thesis, University of Oxford, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.485461.

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This thesis focuses on the issues that face small open economies well endowed with natural resources and subject to external shocks such as changes in their terms of trade or in the world interest rate. Chapter 2 examines the Dutch disease problem in a model with capital accumu: lation and an open international capital account. Given that an improvement in the terms of trade is associated with a decrease in the risk-premium on lending to this economy, as it is shown in the chapter, this can lead to a Dutch party (rather than Dutch disease) in which real exchange rate appreciation is associated
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Wills, Samuel Edward. "Macroeconomic policy in resource-rich economies." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:a7050812-cec5-47f6-912b-d00252c3d69f.

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This thesis considers how fiscal and monetary policy should be conducted in resourcerich economies. It consists of three papers addressing: whether governments should spend, save or invest volatile oil income; the assets they should save in; and how monetary policy should respond. The first, “Eight principles for managing resource wealth”, shows that capital-scarce countries should save relatively less against oil price volatility, and invest more in domestic capital. They also should prepare for volatility in advance, and treat savings as a source of income rather than a temporary buffer. To
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FAUSER, SIMON GEORG. "Un modello reggionale del mercato di lavoro per la Germania - an analisi degli shock macroeconomici e variabili della politica economica." Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/622.

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La crescita di disoccupazione europea durante i decenni passati derivano dell’alto tasso di disoccupazione delle grandi nazioni europee. A livello sub-nazionale la disoccupazione varia molto e riflette la diversa struttura economica regionale. Assieme alla crescente complessità, l’importanza delle strutture regionale e il processo d’integrazione europea, ciò evidenza la necessità di strumenti analitici di supporto al policy-maker. L’autore costruisce un modello adeguato a tale scopo e lo applicano alle regioni tedesche dell’ovest dal 1975 al 2005. Il modello si basa su modelli precedenti per l
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FAUSER, SIMON GEORG. "Un modello reggionale del mercato di lavoro per la Germania - an analisi degli shock macroeconomici e variabili della politica economica." Doctoral thesis, Università Cattolica del Sacro Cuore, 2009. http://hdl.handle.net/10280/622.

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La crescita di disoccupazione europea durante i decenni passati derivano dell’alto tasso di disoccupazione delle grandi nazioni europee. A livello sub-nazionale la disoccupazione varia molto e riflette la diversa struttura economica regionale. Assieme alla crescente complessità, l’importanza delle strutture regionale e il processo d’integrazione europea, ciò evidenza la necessità di strumenti analitici di supporto al policy-maker. L’autore costruisce un modello adeguato a tale scopo e lo applicano alle regioni tedesche dell’ovest dal 1975 al 2005. Il modello si basa su modelli precedenti per l
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Ponte, Joel Cabrita Pincho da. "Efeito das experiências passadas nos investimentos financeiros na Europa : análise empirica com base no SHARELIFE e SHARE (2006-2010)." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6393.

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Mestrado em Finanças<br>Esta tese investiga os efeitos das experiências passadas dos detentores de ações e obrigações, que viveram a Crise Financeira de 2008, num contexto da Household Finance. Após análise da literatura, foi possível testar empiricamente modelos para Stockholdings e Bondholdings com base no cruzamento dos dados do Survey of Health, Ageing and Retirement in Europe (SHARE), nomeadamente SHARELIFE (2008) e SHARE (WAVE 2 - 2006 e WAVE 4 - 2010), de 12 países (N = 8.649 de indivíduos com idade entre os 50 e 90 anos). Várias especificações foram testadas usando modelos Probit, em q
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Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.

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MEMBRETTI, MARCO. "Firm size and the Macroeconomy." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2023. https://hdl.handle.net/10281/403956.

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La tesi è formata da due capitoli su dinamica della distribuzione delle imprese e shock aggregati. Usando un modello ad imprese eterogenee, la tesi studia le fluttuazioni di ciclo economico dovute a shock alla tecnologia ed ai costi in entrata.<br>This dissertation collects two essays on firm size dynamics and aggregate shocks. By employing a model with heterogeneous firms, search frictions and endogenous entry/exit we investigate the business cycle dynamics of the firm size distribution by looking at entry cost and technology shocks. The thesis is divided into two chapters.\\ The first chapt
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Figueres, Juan Manuel. "Nonlinear Effects of Macroeconomic Shocks." Doctoral thesis, Università degli studi di Padova, 2016. http://hdl.handle.net/11577/3421777.

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This thesis investigates the nonlinear macroeconomic effects of fiscal and uncertainty shocks. It comprises three contained chapters, each one of them being self-contained. In each chapter, theoretical predictions coming from theoretical models are presented and discussed. Such predictions are then tested using state-of-the-art econometric techniques. The first chapter is titled “News in State-Dependent Fiscal Multipliers: The Role of Confidence”. This study scrutinizes the role of consumer confidence in determining the real effects that unanticipated (news) government spending shocks hav
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Silveira, Maria do Carmo Trovoada Pires de Carvalho. "O Ambiente Macroeconómico como Fator Crítico da Construção da Resiliência Económica de Pequenos Estados Insulares: O caso de São Tomé e Príncipe." Doctoral thesis, Instituto Superior de Ciências Sociais e Políticas, 2021. http://hdl.handle.net/10400.5/23430.

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Tese de Doutoramento em Ciências Sociais na especialidade em Desenvolvimento Socioeconómico<br>A tese investiga a temática da resiliência económica de Pequenos Estados Insulares. Tomando como estudo de caso, São Tomé e Príncipe, pretende-se analisar e compreender os desafios das políticas macroeconómicas na construção da resiliência económica de uma pequena economia insular e compreender por que razão as políticas macroeconómicas implementadas neste país não têm contribuído para promover a sua resiliência económica. A investigação fundamentada na análise da bibliografia sobre a temática,
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Dia, Enzo. "Banks, information costs, and macroeconomic shocks." Thesis, University of Strathclyde, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.424297.

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Books on the topic "Macroeconomic Shock"

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Amstad, Marlene. Shock identification of macroeconomic forecasts based on daily panels. Federal Reserve Bank of New York, 2005.

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1924-, Hickman Bert G., Huntington Hillard G, and Sweeney James L, eds. Macroeconomics [i.e. Macroeconomic] impacts of energy shocks. North-Holland, 1987.

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Bohi, Douglas R. Energy price shocks and macroeconomic performance. Resources for the Future, 1989.

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Bayoumi, Tamim. Macroeconomic shocks, the ERM and tri-polarity. Centre for Economic Policy Research, 1992.

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Kharas, Homi. Foreign borrowing and macroeconomic adjustment to external shocks. World Bank, 1985.

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Peek, Joe. Identifying the macroeconomic effect of loan supply shocks. Federal Reserve Bank of Boston, 2000.

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1949-, Grais Wafik, ed. Macroeconomic consequences of energy supply shocks in Ukraine. World Bank, 1994.

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Essama-Nssah, B. Simulating the poverty impact of macroeconomic shocks and policies. World Bank, 2005.

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Ndou, Eliphas, and Nombulelo Gumata. Fiscal Policy Shocks and Macroeconomic Growth in South Africa. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-37755-6.

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Lawton, Brock Philip, Connolly Michael B. 1941-, and González Vega Claudio, eds. Latin American debt and adjustment: External shocks and macroeconomic policies. Praeger, 1989.

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Book chapters on the topic "Macroeconomic Shock"

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Ozenbas, Deniz, Michael S. Pagano, Robert A. Schwartz, and Bruce W. Weber. "Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application." In Classroom Companion: Business. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74817-3_3.

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AbstractThis chapter explains how “information shocks” can affect the liquidity of financial markets and stock prices. The focus is on unexpected macroeconomic news as a key type of information shock. The final portion of the chapter discusses some realworld events that demonstrate the effects of these shocks on financial markets and how investors react to unexpected macroeconomic news items.
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Callonnec, Gaël, Mathieu Garnero, and Noam Léandri. "Macroeconomic Impact of a Green Finance Shock." In The European Environmental Conscience in the EU. Routledge, 2025. https://doi.org/10.4324/9781032656359-9.

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Ndou, Eliphas, Nombulelo Gumata, and Mthuli Ncube. "Domestic Macroeconomic Uncertainty Shock and the Consumer Confidence Channel." In Global Economic Uncertainties and Exchange Rate Shocks. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-62280-4_21.

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Irma Febriana, M. K., Rizka Malia, and S. Nurbetty Herlina. "Banking performance and shock response of macroeconomic conditions in Indonesia." In The Future Opportunities and Challenges of Business in Digital Era 4.0. Routledge, 2020. http://dx.doi.org/10.1201/9780367853778-25.

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Ndou, Eliphas, and Nombulelo Gumata. "What Are the Macroeconomic Effects of a Positive Interest Rate-GDP Growth Differential Shock?" In Fiscal Policy Shocks and Macroeconomic Growth in South Africa. Springer Nature Switzerland, 2023. http://dx.doi.org/10.1007/978-3-031-37755-6_16.

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Assa, Hirbod, and Tim J. Boonen. "Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses." In Springer Actuarial. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-78334-1_6.

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AbstractMotivated by macroeconomic risks, such as the COVID-19 pandemic, we consider different risk management setups and study efficient insurance schemes in the presence of low probability shock events that trigger losses for all participants. More precisely, we consider three platforms: the risk-sharing, insurance and market platform. First, we show that under a non-discriminatory insurance assumption, it is optimal for everybody to equally share all risk in the market. This gives rise to a new concept of a contingent premium which collects the premia ex-post after the losses are realised.
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Lutz, Christian, and Lisa Becker. "Effects of Energy Price Shocks on Germany’s Economy and Private Households." In Studies in Energy, Resource and Environmental Economics. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-35684-1_2.

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AbstractThe massive rise in energy prices in the wake of the Ukraine crisis and the Western sanctions against Russia is putting a great strain on the economy and consumers. Germany is particularly dependent on Russian energy imports. With the desire to reduce dependence on Russian imports, the pressure for climate neutrality is intensifying. The reports of the IPCC recently show again the high pressure to act. The EU is aiming for climate neutrality by 2050, and Germany would like to reach the target by 2045.This chapter aims to examine the macroeconomic effects of the drastic price increase f
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Haincourt, Sophie. "The Nature of the Shock Matters: Some Model-Based Results on the Macroeconomic Effects of Exchange Rate." In Financial and Monetary Policy Studies. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-79075-6_12.

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Pichelmann, Karl, and Michaela Schamschule. "Macroeconomic Consequences of a Labour Supply Shock. A Simulation Study of the Austrian Experience in 1990 and 1991." In Contributions to Economics. Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-51170-7_15.

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Clements, Michael P. "Expectations Shocks and the Macroeconomy." In Macroeconomic Survey Expectations. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-97223-7_9.

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Conference papers on the topic "Macroeconomic Shock"

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Aşık, Bekir. "The Effects of Structural Shocks on Turkish Economy." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.01165.

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This paper investigates the role of the real business cycle dynamic stochastic general equilibrium model with different shocks for a small open economy. The main goal of this study is to compare the effects of different structural shocks on the macroeconomic fluctuations of Turkey. Different types of shocks are employed, such as temporary shocks, trend growth shocks, and world interest rate shock as driving forces. In addition to investigating the effects of different shocks, we consider the effects of working capital requirements and spread as friction. Variance decompositions are computed to
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Chen, Yu-hai. "The analysis of main macroeconomic variable's shock effect to CPI." In 2009 Chinese Control and Decision Conference (CCDC). IEEE, 2009. http://dx.doi.org/10.1109/ccdc.2009.5194854.

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Burentegsh, Dorjjugder, and Péter Elek. "Macroeconomic policy empirical analysis using an unrestricted standard VAR Model." In The European Union’s Contention in the Reshaping Global Economy. Szegedi Tudományegyetem Gazdaságtudományi Kar, 2022. http://dx.doi.org/10.14232/eucrge.2022.11.

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This paper is mainly about key fiscal policy indicators and their interrelations between each other. The model that is used in the analysis is the Vector Autoregressive Model. There are seven variables selected: GDP, Money Supply, Government Revenue, Government Expenditure, Export, Government Debt, and Global Copper Price. Besides VAR estimation, IRFs are computed to define how variables react to certain shocks. The key finding of the research is that both GDP and government revenue are sensitive to copper price changes and the resulting shock. Copper Price is an effective tool to predict thes
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Subedi, Mukti Nath. "EFFECTS OF MACROECONOMIC POLICY SHOCK ON THE LABOUR MARKET DYNAMICS IN AUSTRALIA." In 5th Economics & Finance Conference, Miami. International Institute of Social and Economic Sciences, 2016. http://dx.doi.org/10.20472/efc.2016.005.026.

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Kaur, Gurmit, and Nur Asyiqin Bt Zaharudin. "Impact of Macroeconomic Policy Instruments and External Shock on Unemployment Rate in Malaysia." In BE-ci 2016 International Conference on Business and Economics. Cognitive-crcs, 2016. http://dx.doi.org/10.15405/epsbs.2016.11.02.8.

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Tören, Evrim. "On the Source of Macroeconomic Fluctuations in the Middle Eastern and North African Countries: A Structural Vector Autoregression Analysis." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00684.

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This study investigates the relative importance of various shocks in accounting for output fluctuations in the Middle East and North Africa (MENA) countries. The macroeconomic shocks are decomposed into country-specific, regional, and global sources by using a small open economy structural vector autoregression (SVAR) model. In order to explain output volatility in Middle East and North Africa, the relative importance of each shock in 15 MENA countries is identified in this study. The results show that country-specific factors account for most of the output volatility in the region. For less t
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Vintu, Denis. "The relationship between unemployment, NAIRU and investment. Microfundations for incomplete nominal adjustment." In Economic growth in the conditions of globalization. International Scientific-Practical Conference, XVIth edition. National Institute for Economic Research, 2022. https://doi.org/10.36004/nier.cecg.i.2022.16.25.

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This paper proposes a simple method to estimate a macro shock-specific Okun elasticity: it measures by how much the unemployment rate falls over a certain horizon when output increases by one percentage point over the same horizon because of a specific macroeconomic shock. Inference is based on simple instrumental variable regressions of cumulative unemployment on cumulative output. Using data for the Republic of Moldova I consider government spending, tax, monetary policy, financial, technology, and oil shocks. We obtain eight key results: • At medium horizons (2-3 years), Okun elasticities a
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Li, Yuanxin. "A PERSPECTIVE OF MONETARY POLICIES WITHIN CHINA AND EU TOWARDS COVID-19." In 6th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eraz.2020.15.

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COVID-19 has shut down the real economy since its outbreak by assaulting the society and its system, which was affected directly or indirectly, including the significant decrease of demand, huge shock of supplies, highly nervous and volatile of the financial market and the overall deterioration of the economic index. With the spread of the epidemic around the world, major economies have continuously introduced extraordinary economic policies to respond. This paper attempts to systematically sort out and analyze the characteristics and development of the epidemic, its impact mechanism, transmis
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Tören, Evrim. "The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model." In International Conference on Eurasian Economies. Eurasian Economists Association, 2014. http://dx.doi.org/10.36880/c05.01142.

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This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website
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Chernykh, Aleksandr. "Evaluating the Effectiveness of EU Sanctions On Russian Financial Markets: A Garch-Based Approach." In 9th FEB International Scientific Conference. University of Maribor Press, 2025. https://doi.org/10.18690/um.epf.5.2025.51.

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This study assesses the efficiency of European Union sanctions imposed on Russia in 2022–2023, focusing on their short- and mid-term impact on financial markets. Despite Russia’s restrictions on macroeconomic and international trade statistics, stock market data remains accessible, allowing an empirical investigation of market responses. Using a CCC-GARCH model, particularly conditional covariance estimation, the study analyzes volatility spillovers and contagion effects across Russian financial markets: stock, government bond, and foreign exchange markets. The findings identify key turbulence
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Reports on the topic "Macroeconomic Shock"

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Cesa-Bianchi, Ambrogio. Housing Cycles and Macroeconomic Fluctuations: A Global Perspective. Inter-American Development Bank, 2012. http://dx.doi.org/10.18235/0011417.

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This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and l
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Borda, Patrice, and Allan Wright. Macroeconomic Fluctuations Under Natural Disaster Shocks in Central America and the Caribbean. Inter-American Development Bank, 2016. http://dx.doi.org/10.18235/0011778.

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This paper examines the role of disaster shock in a one-sector, representative agent dynamic stochastic general equilibrium model (DSGE). First, it estimates a panel vector autoregresive (VAR) model for output, investment, trade balance, consumption, and country spread to capture the economic effects of output, country risk, and exogenous natural disaster shocks. The study determines the empirical dynamic responses of ten Caribbean countries and seven countries in Central America. Second, by taking into account rare events and trend shocks, this paper also provides a baseline framework of the
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Franco, Maria, Carlos Scartascini, and Mariano Tommasi. Research Insights: What Is the Role of State Capacity in Dealing with Macroeconomic Volatility? Inter-American Development Bank, 2023. http://dx.doi.org/10.18235/0005051.

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Macroeconomic volatility can have serious implications for the economy; reducing a countrys exposure can increase long-term prosperity. When the government has significant capabilities, it is not necessary to isolate the economy using an inefficient technology: a large public sector that reduces the transmission of the shock in the economy. The effect of economic openness on government spending is mediated by the quality of government institutions. Countries must therefore invest in their capacities to face more effectively the challenges of external shocks. These capabilities are not develope
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Alba, Carlos, Julio A. Carrillo, and Raúl Ibarra. Information Effects of US Monetary Policy Announcements on Emerging Economies: Evidence from Mexico. Banco de México, 2024. http://dx.doi.org/10.36095/banxico/di.2024.14.

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This paper analyzes, using a VAR model, the effects of US central bank monetary policy announcements, and information shocks from this authority regarding its economic outlook on Mexican financial and macroeconomic variables. Shocks are identified by combining a high-frequency strategy with sign restrictions, which exploits the co-movement between the policy rate and the stock market in the US around FOMC announcements. A restrictive monetary policy shock in the US is identified by an increase in the interest rate and a drop in stock prices, while a positive information shock is identified whe
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Hausmann, Ricardo. Dealing with Negative Oil Shocks: The Venezuelan Experience in the Eighties. Inter-American Development Bank, 1997. http://dx.doi.org/10.18235/0011540.

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The Venezuelan experience in the 1980s is a particularly fertile ground for the analysis of negative shocks. Two large shocks took place under very different control regimes, thus highlighting the role the institutional setting plays in determining the response. Moreover, the experience can shed a different light into the convenience of alternative exchange rate regimes for countries subject to large and frequent trade shocks. In addition, the analysis can be simplified for two reasons. First, oil shocks only have direct effects on the public sector, thus implying that it is the policy reactio
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Khadan, Jeetendra. An Econometric Analysis of Energy Revenue and Government Expenditure Shocks on Economic Growth in Trinidad and Tobago. Inter-American Development Bank, 2016. http://dx.doi.org/10.18235/0011776.

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Energy revenues represent roughly 45 percent of Trinidad and Tobago's GDP and are highly volatile since they are correlated with the price of oil and gas. Hence, sharp changes in energy prices, whether temporary or sustained, can have important consequences for economic growth and overall macroeconomic performance. After the 2014 crash in oil prices, a key challenge that emerged for policymakers in hydrocarbon-exporting countries is how to manage fiscal retrenchment in an environment of subdued growth. Using structural vector autoregression, this article examines three questions related to thi
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Hausmann, Ricardo, and Michael Gavin. Securing Stability and Growth in a Shock Prone Region: The Policy Challenge for Latin America. Inter-American Development Bank, 1996. http://dx.doi.org/10.18235/0011583.

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What are the reasons for the costs of Latin America's volatility? Because there is no consensus on these fundamental questions, there is no consensus on the appropriate policy response to macroeconomic volatility in Latin America, and other shock-prone countries. This paper provides new evidence on these contentious issues, and discusses policy implications for the region. Paper prepared for the IDB/OECD conference on "Securing Stability and Growth in Latin America: Policy Issues and Prospects for Shock-Prone Economies", Paris, November 9-10, 1995.
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Silgado-Gómez, Edgar. Sovereign uncertainty. Banco de España, 2024. http://dx.doi.org/10.53479/36875.

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This paper investigates the impact and the transmission of uncertainty regarding the future path of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding public finances, which I refer to as sovereign uncertainty, and demonstrate that the estimated measure exhibits distinct fluctuations from macro-financial and economic policy uncertainty indices. Next, I analyse the behaviour of sovereign uncertainty shocks and detect the presence of significant and long-lasting negative effects in the financial and macroec
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Read, Matthew. Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions. Reserve Bank of Australia, 2023. http://dx.doi.org/10.47688/rdp2022-09.

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Existing estimates of the macroeconomic effects of Australian monetary policy tend to be based on strong, potentially contentious, assumptions. I estimate these effects under weaker assumptions. Specifically, I estimate a structural vector autoregression identified using a variety of sign restrictions, including restrictions on impulse responses to a monetary policy shock, the monetary policy reaction function, and the relationship between the monetary policy shock and a proxy for this shock. I use an approach to Bayesian inference that accounts for the problem of posterior sensitivity to the
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Romero, José Vicente, Sara Naranjo-Saldarriaga, and Jonathan Alexander Muñoz-Martínez. Adverse Weather-Induced Inflation: Some Implications for Monetary Policy in a Small Open Economy. Banco de la República, 2025. https://doi.org/10.32468/be.1319.

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This paper examines the macroeconomic impacts of adverse weather shocks on the Colombian economy, with a specific focus on agricultural output, food prices, and headline inflation. Drawing on empirical evidence from events such as the 2015–2016 El Niño, we document that these shocks tend to reduce agricultural output and increase inflation while having a limited effect on aggregate GDP growth. Motivated by these stylized facts, we develop a small open economy New Keynesian model for Colombia that introduces a mechanism in which weather shocks alter the relative prices of agricultural and non-a
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