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Journal articles on the topic 'Macroeconomic Shock'

Author: Grafiati

Published: 10 September 2021

Last updated: 29 July 2025

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1

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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2

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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3

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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4

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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9

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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YANG, DOO YONG. "IMPACTS OF EXTERNAL SHOCKS ON ASIAN ECONOMIES: PANEL VECTOR AUTOREGRESSIVE REGRESSION WITH LATENT DYNAMIC COMPONENTS APPROACH." Singapore Economic Review 58, no. 04 (2013): 1350026. http://dx.doi.org/10.1142/s0217590813500264.

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This paper analyzes the effects of external shocks on emerging Asian economies. Since the Asian crisis of 1997–1998, the impact of external shocks on regional economies has grown important in the Asian business cycles as well as in the decision-making process of macroeconomic policies, as emerging Asian economies have become more integrated with the global economy. This paper designs a state-space representation of the panel vector autoregressive model with latent dynamic components in order to show the impulse response function of three external shocks including real income shock, financial s

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Abdullahi San, Mohammed, Prof Mustapha Mukhtar, and Prof A. Alexander. "Trade Shock, Inflation, Exchange Rate and Economic Growth: Empirical Evidence from OPEC Countries Using Panel Vector Autoregression." International Journal of Economics, Business and Management Research 06, no. 04 (2022): 178–98. http://dx.doi.org/10.51505/ijebmr.2022.6414.

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The study is empirically motivated to analyze the link between trade openness, inflation, exchange rate and economic growth among the OPEC countries by using key macroeconomic variables across member countries. The study utilizes quarterly time series data for variables including economic growth, trade openness, exchange rate, consumer price index and oil price as exogenous variable in the system for over 164 quarterly data points. Utilizing the recently introduced model of Ambrigo and Inessa (2015), the study uses panel vector autoregression model and analyze how various shocks affect macroec

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Sharma, Susan Sunila. "UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS?" Buletin Ekonomi Moneter dan Perbankan 21, no. 2 (2018): 229–64. http://dx.doi.org/10.21098/bemp.v21i2.967.

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Unit root properties of macroeconomic data are important for both econometric modelling specifications and policy making. The form of variables (whether they are a unit root process) helps determine the correct econometric modelling. Equally, the form of variables helps explain how they react to shocks (both internal and external). Macroeconomic time-series data are often at the forefront of shock analysis and econometric modelling. There is a growing emphasis on research on Indonesia using time-series data; yet, there is limited understanding of data characteristics and shock response of thes

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Antipina, Natalya V. "Analysis of the dynamic model of the impact of external economic shocks on inflationary processes." Vestnik of Samara University. Economics and Management 15, no. 2 (2024): 29–40. http://dx.doi.org/10.18287/2542-0461-2024-15-2-29-40.

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The past few decades by the emergence of such crises in the economic and social sphere of society, which resulted in economic supply shocks have been marked. Previously extremely rare, they have shifted the focus to the relevance of research on macroeconomic processes affected by shocks of this nature, not only in economic theory, but also in mathematical modelling. As a result of the analysis of already known macroeconomic models, it was revealed that the impact of external economic shocks on the main indicators of macroeconomics can have both negative and positive effects on economic growth.

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15

Herrera, Ana María. "OIL PRICE SHOCKS, INVENTORIES, AND MACROECONOMIC DYNAMICS." Macroeconomic Dynamics 22, no. 3 (2018): 620–39. http://dx.doi.org/10.1017/s1365100516000225.

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This paper investigates the time delay in the transmission of oil price shocks using disaggregated manufacturing data on inventories and sales. VAR estimates indicate that industry-level inventories and sales respond faster to an oil price shock than aggregate gross domestic product, especially in industries that are energy-intensive. In response to an unexpected oil price increase, sales drop and inventories are accumulated. This leads to future reductions in production. We estimate a modified linear–quadratic inventory model to inquire whether the patterns observed in the VAR impulse respons

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16

Sadath, Anver Chittangadan, and Rajesh Herolli Acharya. "The macroeconomic effects of increase and decrease in oil prices: evidences of asymmetric effects from India." International Journal of Energy Sector Management 15, no. 3 (2021): 647–64. http://dx.doi.org/10.1108/ijesm-02-2020-0009.

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Purpose The purpose of this paper is to assess whether oil price shocks emanating from oil price increase and decrease have a different impact on the macroeconomic activity. Design/methodology/approach This study conducts the empirical analysis using structural vector auto-regressive model on Indian data for the period from 1996 to 2017. This paper uses four key macroeconomic variables, namely, real gross domestic product (GDP), the real rate of interest, real money supply, wholesale price index inflation and various linear and non-linear measures of oil price shock. Findings Empirical results

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17

Arintoko, Arintoko, and Nunik Kadarwati. "Does Monetary Policy Respond to Macroeconomic Shocks? Evidence from Indonesia." Jurnal Ekonomi & Studi Pembangunan 23, no. 2 (2022): 171–88. http://dx.doi.org/10.18196/jesp.v23i2.14881.

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The activist policy is believed by policymakers and economists that monetary policy can respond to macroeconomic shocks to stabilize the economy. This study aims to find evidence and discuss the response of monetary policy to macroeconomic shocks. For this reason, the effects of GDP shocks, inflation shocks, and exchange rate shocks on policy interest rates in the implementation of monetary policy are discussed through vector error correction model (VECM) analysis along with policy interest rate responses involving the long-run relationships. The study period 2001Q1 – 2020Q1 is used as the pol

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18

Nyawo, Seabelo T., and Roscoe Bertrum Van Wyk. "The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries." Journal of Economics and Behavioral Studies 10, no. 1(J) (2018): 33–41. http://dx.doi.org/10.22610/jebs.v10i1(j).2086.

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This paper investigates the effects of a US economic policy uncertainty shock on Indian macroeconomic variables with a number of Structural VARs. This study models the economic policy uncertainty index as constructed by Baker et al. (2013). The study also uses a set of macroeconomic variables for India such as inflation, industrial production and nominal interest rate. The objective of the study is to identify the potential impacts of economic policy uncertainty shocks from the US economy to the Indian economy. According to the SVARs, a one standard deviation shock to the US economic policy un

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Nyawo, Seabelo T., and Roscoe Bertrum Van Wyk. "The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries." Journal of Economics and Behavioral Studies 10, no. 1 (2018): 33. http://dx.doi.org/10.22610/jebs.v10i1.2086.

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This paper investigates the effects of a US economic policy uncertainty shock on Indian macroeconomic variables with a number of Structural VARs. This study models the economic policy uncertainty index as constructed by Baker et al. (2013). The study also uses a set of macroeconomic variables for India such as inflation, industrial production and nominal interest rate. The objective of the study is to identify the potential impacts of economic policy uncertainty shocks from the US economy to the Indian economy. According to the SVARs, a one standard deviation shock to the US economic policy un

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20

Agus, Salim, Ridwan G. Mochammad, and Abasimi Ignatius. "The Dynamic Interaction between Macroeconomic and Stock Market in Indonesia." International Journal of Business Management and Technology 3, no. 5 (2023): 202–12. https://doi.org/10.5281/zenodo.7659420.

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The study of the determinants of the stock market has emerged recently. The literature focused on the effect of macroeconomic variables on the stock market volatility as well as the impact shock of each macroeconomic variable o the stock market. This study attempts to analyze the dynamic relationship between macroeconomic variables on the stock market volatility in Indonesia. We apply structural vector autoregression (SVAR) include the long-run and the impulse response function. The result shows that risk premium shock, first demand shock, and foreign shock have a positive effect on the stock

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21

Elnaz, Hajebi, and Mohammadi Teimour. "The Impact of Oil Price Shocks on the Macroeconomic Variables of Major Oil Exporting Countries: A GVAR Approach." International Journal of Management, Accounting and Economics 9, no. 4 (2022): 203–26. https://doi.org/10.5281/zenodo.6644779.

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In a world scale economy considering interlinkage and interactions between countries, economic shocks will affect various economies through channels. Meantime, the oil price is one of the most important channels. New studies show that the connection between the oil price and the world economy has numerous complications which could not be incorporated in traditional frames with only taking into consideration separated and identified oil supply and demand shocks without considering synchronicity and the source of the main shocks. Therefore it is essential to model a multi-dimensional system. The

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22

Hajebi, Elnaz, and Teimour Mohammadi. "The Impact of Oil Price Shocks on the Macroeconomic Variables of Major Oil Exporting Countries: A GVAR Approach." International Journal of Management, Accounting and Economics 9, no. 4 (2022): 203–26. https://doi.org/10.5281/zenodo.7110477.

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In a world scale economy considering interlinkage and interactions between countries, economic shocks will affect various economies through channels. Meantime, the oil price is one of the most important channels. New studies show that the connection between the oil price and the world economy has numerous complications which could not be incorporated in traditional frames with only taking into consideration separated and identified oil supply and demand shocks without considering synchronicity and the source of the main shocks. Therefore it is essential to model a multi-dimensional system. The

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23

Papadamou, Stephanos, and Trifon Tzivinikos. "The macroeconomic effects of fiscal consolidation policies in Greece." Journal of Financial Economic Policy 9, no. 1 (2017): 34–49. http://dx.doi.org/10.1108/jfep-07-2016-0051.

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Purpose This paper aims to investigate the effects of contractionary fiscal policy shocks on major Greek macroeconomic variables within a structural vector autoregression framework while accounting for debt dynamics. Design/methodology/approach The sign restriction approach is applied to identify a linear combination of government spending and government revenue shock simultaneously while accounting for debt dynamics. Additionally, output and unemployment responses to fiscal shocks under different scenarios concerning the amalgamation of austerity measures are considered. Findings The results

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Nakamura, Emi, Dmitriy Sergeyev, and Jón Steinsson. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence." American Economic Journal: Macroeconomics 9, no. 1 (2017): 1–39. http://dx.doi.org/10.1257/mac.20150250.

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We provide new estimates of the importance of growth-rate shocks and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of “ long-run risks” and assess the implications for asset pricing. Our estimates yield greater return predictability and a more volatile price-dividend ratio. In addition, we can explain a substantial fraction of cross-country variation in the equity premium. An advantage of our approach, based o

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Awujola, Abayomi, Ezie Obumneke, and Chidi Nwafor. "COMPARATIVE ANALYSIS OF THE IMPACT OF OIL PRICE SHOCKS ON SELECTED MACROECONOMIC VARIABLES IN NIGERIA AND EGYPT." International Journal of Advanced Research in Accounting, Economics and Business Perspectives 7, no. 2 (2023): 160–79. http://dx.doi.org/10.48028/iiprds/ijaraebp.v7.i2.13.

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This paper empirically analyzed the impact of oil price shock on selected macroeconomic variables in the African oil-producing countries using Nigeria and Egypt from 1983 to 2020 and 1984-2020 for Egypt, respectively, due to data availability. The study employed the structural vector error correction model (SVECM) due to co-integration among the variables. It was revealed that the response to and significance of the oil price shock differs between the two countries; oil price shock caused an economic boom in Nigeria while it shrunk the Egyptian economy; the broad money supply only responded to

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Ukemenam, Angela Ifeanyi, Babatunde Opadeji, Tuwe Soro Garbobiya, and Augustine Ujunwa. "Macroeconomic Effects of Exogenous Oil Price Shock in Nigeria: Persistent or Transitory." International Journal of Economics and Finance 10, no. 11 (2018): 28. http://dx.doi.org/10.5539/ijef.v10n11p28.

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This paper examines the macroeconomic effects of exogenous oil price shock in Nigeria. The paper additionally investigates the symmetric effects of oil price shock and the persistence and/or transitory nature of the shock. To achieve these objectives, the Generalised autoregressive conditional heteroskedasticity (GARCH), Component generalised autoregressive conditional heteroskedasticity (CGARCH) and Exponential generalized autoregressive conditional heteroskedasticity (EGARCH) were employed to estimate the various equations. The results showed that oil price volatility has significant positiv

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Obata, Takahiro, Jun Sakazaki, and Setsuya Kurahashi. "Building a Macroeconomic Simulator with Multi-Layered Supplier–Customer Relationships." Risks 11, no. 7 (2023): 128. http://dx.doi.org/10.3390/risks11070128.

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This study constructs an agent-based model suitable for analyzing the propagation of economic shocks based on a macroeconomic agent-based model structure that covers major economic entities. Instead of setting an upstream and downstream structure of firms in the inter-firm networks, our model includes a mechanism that connects each firm through supplier–customer relationships and incorporates interactions between firms mutually buying and selling intermediate input materials. It is confirmed through the proposed model’s simulation analysis that, although a firm’s sales volume temporarily falls

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Daruich, Diego, and Julian Kozlowski. "Macroeconomic Implications of Uniform Pricing." American Economic Journal: Macroeconomics 15, no. 3 (2023): 64–108. http://dx.doi.org/10.1257/mac.20210172.

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We compile a new database of grocery prices in Argentina. We find uniform pricing both within and across regions—i.e., prices almost do not vary within the stores of a chain. In line with uniform pricing, prices in stores of chains operating in one region react to changes in regional employment while prices in multiregion chains do not. Using a quantitative regional model with multiregion firms and uniform pricing, we find a one-half smaller elasticity of prices to a regional than an aggregate shock. This result highlights that some caution may be necessary when using regional shocks to estima

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Bannikova, Viktoria A., and Deni R. Sugaipov. "US monetary policy and business cycles in developing countries." Lomonosov Economics Journal, no. 4_2024 (September 27, 2024): 66–91. http://dx.doi.org/10.55959/msu0130-0105-6-59-4-4.

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The article examines modeling the impact of news shocks of US monetary policy on developing countries. The study analyzes the transmission mechanism of the Federal Reserve's interest rate news shock. The authors argue that the volatility of macroeconomic indicators in emerging economies can be explained by changes in monetary policy in other countries, and highlight the main channels of influence: financial sector indicators and trade indicators. In this paper the authors first use the LSDV-estimator of the panel vector autoregression and identify unexpected and news shocks. To achieve this go

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Ologbenla, Patrick. "Fiscal Policy and External Shocks in Nigeria." Journal of Economics and Behavioral Studies 11, no. 1(J) (2019): 129–38. http://dx.doi.org/10.22610/jebs.v11i1(j).2754.

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The study assessed the effects of external shocks on fiscal policy in Nigeria. Vector auto-regression VAR estimating technique is adopted to achieve the set objectives of the study. The VAR model comprises of the following variables GDP, oil output, oil price, government revenue, government expenditure, external reserve, exchange rate, fiscal balance, and non-oil export. These variables represent the external shocks, the growth variables, fiscal variables and some other macroeconomic variables. The VAR results show that oil price and non-oil export are the most important external shocks affect

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Hamda, Ikrima, and Barianto Nurasri Sudarmawan. "The Effect of Macroeconomics Variables on Islamic Bank Stability During COVID-19 Pandemic: Evidence From Indonesia." Islamic Review: Jurnal Riset dan Kajian Keislaman 12, no. 1 (2023): 59–76. http://dx.doi.org/10.35878/islamicreview.v12i1.682.

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Research explores the impact of COVID-19 on banking has been carried out by previous researchers in the last two years. However, there are no researchers who specifically discuss about banking stability during the COVID-19 pandemic which is related to macroeconomic relaxation during the COVID-19 pandemic. The purpose of this research was to explore the macroeconomic influence on banking stability during COVID-19 in anticipation of a similar shock. This study uses Ordinary Least Square (OLS) method to describe macroeconomic factors as independent variables and control variables on the z-score a

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Gunwant, Darshita Fulara, Sartaj Rasool Rather, and Faisal Nazir Zargar. "Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia." International Journal of Energy Economics and Policy 14, no. 3 (2024): 138–41. http://dx.doi.org/10.32479/ijeep.15625.

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This study investigates whether the positive and negative shocks in oil price volatility have an asymmetric effect on the volatility measures of the macroeconomic variables in the context of Saudi Arabia- a major oil exporting country in the region. The empirical results suggest that a positive shock in the oil price volatility tends to generate higher volatility in inflation, forex reserves, public spending and stock prices, whereas a negative shock in the oil price volatility does not seem to have any significant impact on the volatility measures of most of these variables. The crucial infer

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Lawrence, Akinboyo Olorunyomi. "Impact of monetary policy on disaggregate inflation in Nigeria: A structural var approach." International Journal of Multidisciplinary Research and Growth Evaluation 4, no. 5 (2023): 139–49. http://dx.doi.org/10.54660/.ijmrge.2023.4.5.139-149.

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This paper examined the impact of monetary policy on disaggregate inflation in Nigeria over the period January 2002 – June 2020. The paper also investigated the impact of oil price shocks on macroeconomic variables in Nigeria. Using a linear Structural VAR approach, we found evidence that a decline of the monetary policy rate does not reduce inflation. In addition, exchange rate seems to have a significant impact on core inflation. That is, a shock to exchange rate decreases core inflation in the long-run, although there is no impact in the short-run. However, in the case of food inflation, an

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Hloušek, Miroslav. "The Empirical Implications of the Zero Lower Bound on the Interest Rate: The Case of the Czech Economy." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 64, no. 2 (2016): 603–16. http://dx.doi.org/10.11118/actaun201664020603.

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This paper uses an estimated DSGE model of the Czech economy to study the macroeconomic implications of various shocks when the interest rate is constrained by the zero lower bound. The goal is to identify which shocks represent threats for the economy and how large the distortions are. The results show that four single shocks can take the economy to the zero lower bound, and that of the four, productivity shock in the tradable sector is the most dangerous. The consequences for the behaviour of macroeconomic variables are nontrivial and, quite naturally, increase with the size of the shock and

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Caldara, Dario, Chiara Scotti, and Molin Zhong. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility." International Finance Discussion Paper 2021, no. 1326 (2021): 1–56. http://dx.doi.org/10.17016/ifdp.2021.1326.

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We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using mul

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Guerrieri, Veronica, Guido Lorenzoni, Ludwig Straub, and Iván Werning. "Macroeconomic Implications of COVID-19: Can Negative Supply Shocks Cause Demand Shortages?" American Economic Review 112, no. 5 (2022): 1437–74. http://dx.doi.org/10.1257/aer.20201063.

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Motivated by the effects of the COVID-19 pandemic, we present a theory of Keynesian supply shocks: shocks that reduce potential output in a sector of the economy, but that, by reducing demand in other sectors, ultimately push aggregate activity below potential. A Keynesian supply shock is more likely when the elasticity of substitution between sectors is relatively low, the intertemporal elasticity of substitution is relatively high, and markets are incomplete. Fiscal policy can display a smaller multiplier, but the insurance benefit of fiscal transfers can be enhanced. Firm exits and job dest

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Polbin, Andrey, and Sergey Sinelnikov-Murylev. "Developing and impulse response matching estimation of the DSGE model for the Russian economy." Applied Econometrics 73, no. 1 (2024): 5–34. http://dx.doi.org/10.22394/1993-7601-2024-73-5-34.

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The paper proposes a two‐sector macroeconomic model of the Russian economy based on the standard assumptions of New Keynesian DSGE models used to model household consumption, price and wage rigidities, and endogenous capital utilization. We consider two options for describing the investment process: the traditional approach with the investment adjustment costs and the approach using the investment accelerator model. The model parameters are calibrated based on minimizing the distance between the theoretical and “empirical” impulse response functions to the terms of trade shock derived from est

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Sobti, Riddhima. "The Macroeconomic Impact of Fiscal Policy Shocks: What do the Indian Data Say?" Margin: The Journal of Applied Economic Research 16, no. 1 (2022): 7–27. http://dx.doi.org/10.1177/09738010211067386.

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This article examines the impact of fiscal policy shocks on a set of macroeconomic variables in India, using a seasonally adjusted quarterly dataset for the period 2003–2019. The Gregory-Hansen residual-based test for cointegration and the vector error correction model (VECM) are applied, and impulse responses based on a recursive identification scheme (Cholesky decomposition) is used to assess the effects of a gross tax revenue shock and a government spending shock on economic activity, while accounting for the possibility of structural breaks. The findings indicate that an unexpected fiscal

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Fukushima, Yoshihiko. "Macroeconomic Shock and Labour Market Programmes." Procedia Economics and Finance 1 (2012): 138–47. http://dx.doi.org/10.1016/s2212-5671(12)00017-2.

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Chatter, Soumya, Kanchana Chokethaworn, and Chukiat Chaiboonsri. "Simulating the Impact of FDI Shocks on Macroeconomic Stability Using Agent-Based Modeling." International Journal of Science and Social Science Research 3, no. 1 (2025): 156–68. https://doi.org/10.5281/zenodo.15441635.

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Foreign Direct Investment (FDI) is a key driver of macroeconomic stability, particularly in emerging economies. This study utilizes Agent-Based Modeling (ABM) to examine the dynamic effects of FDI shocks on key macroeconomic indicators, including GDP, exchange rate, inflation, trade openness, and employment. Three simulation scenarios are conducted: (1) a baseline scenario with stable FDI inflows, (2) a positive shock with a 5% increase in FDI, and (3) a negative shock with a 5% decrease in FDI. The findings reveal that positive FDI shocks stimulate GDP growth and employment, though they may a

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Andreyev, Mikhail. "The macroeconomic role of the collateral constraint in resource-rich countries." Economics and the Mathematical Methods 59, no. 1 (2023): 93. http://dx.doi.org/10.31857/s042473880020147-0.

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In this paper, we consider DSGE model of a small open economy highly dependent on resource export. The aim of the study is to identify the role of the collateral constraint in the terms-of-trade (TOT) shock transmission. The model contains two non-linear constraints in the form of inequalities: the collateral constraint and the zero lower bound constraint. We have found that if the monetary policy is not inertial, then under a series of unidirectional TOT shocks, the response of the economy is highly skewed with respect to positive and negative shocks. Both inequalities bind and reduce the pos

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EL Hajoui Yassine, Radouane RAOUF, and Adil Ez-Zetouni. "African regional integration: An analysis of the possibility of advancing towards a supranational structure. a study using SVAR." International Journal of Advanced Economics 7, no. 2 (2025): 14–39. https://doi.org/10.51594/ijae.v7i2.1809.

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The objective of this article is to identify the degree of (a)symmetry of macroeconomic shocks affecting African countries in order to test the possibility of progressing towards a supranational structure. To achieve this goal, we employ a structural VAR process to decompose the macroeconomic shocks and then determine their degree of correlation. The results show that the economies of the continent are marked by relatively high degrees of asymmetry, as the responses to the same type of shock differ. Indeed, 79.02% of the correlations of real supply shocks between African countries are asymmetr

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O., Saibu M. "Sectoral Output Responses to Trade Openness, Oil Price and Policy Shocks in Nigeria: A CVAR Approach." Journal of Social and Development Sciences 1, no. 2 (2011): 48–59. http://dx.doi.org/10.22610/jsds.v1i2.627.

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This study investigated the relative effectiveness of trade and policy shocks on sectoral output growth in a small open Nigerian economy. It is a country-specific, time series study verifies whether there is difference in the effect of sectoral output response to policy shocks in Nigeria. A CVAR model was specified to assess the effects of policy shocks on real aggregate and sectoral output measures. The model included oil price shock and an interactive term of trade openness as measures of supply and external shocks to the economy. The empirical results showed that there was remarkably differ

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Klasnja, Marko. "Macroeconomic policy under the conditions of oil shocks." Privredna izgradnja 47, no. 3-4 (2004): 167–90. http://dx.doi.org/10.2298/priz0404167k.

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This paper represents a non-technical and eclectic attempt at synthesizing and presenting fundamental features, challenges and conclusions of the niche of economic theory focusing on the relationship between macroeconomic policy and oil shocks. Results of more than five-decade long research and vivid practice can be summarized in the following: Relationship between an oil price shock and economic performance, most notably inflationary record, has weakened over time. This is predominantly due to the fact that macroeconomic management has become less "accommodative" of the oil price, i.e. moneta

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Barsky, Robert B., and Lutz Kilian. "Oil and the Macroeconomy Since the 1970s." Journal of Economic Perspectives 18, no. 4 (2004): 115–34. http://dx.doi.org/10.1257/0895330042632708.

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Increases in oil prices have been held responsible for recessions, periods of excessive inflation, reduced productivity and lower economic growth. In this paper, we review the arguments supporting such views. First, we highlight some of the conceptual difficulties in assigning a central role to oil price shocks in explaining macroeconomic fluctuations, and we trace how the arguments of proponents of the oil view have evolved in response to these difficulties. Second, we challenge the notion that at least the major oil price movements can be viewed as exogenous with respect to the US macroecono

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Omotosho, Babatunde S. "Oil Price Shocks, Fuel Subsidies and Macroeconomic (In)stability in Nigeria." Central Bank of Nigeria Journal of Applied Statistics, Vol. 10 No. 2 (February 21, 2020): 1–38. http://dx.doi.org/10.33429/cjas.10219.1/6.

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This paper studies the macroeconomic implications of oil price shocks and the extant fuel subsidy regime for Nigeria. To do this, we develop and estimate a New-Keynesian DSGE model that accounts for pass-through effect of international oil price into the retail price of fuel. Our results show that oil price shocks generate significant and persistent impacts on output, accounting for about 22 percent of its variations up to the fourth year. Under our benchmark model (i.e. with fuel subsidies), we show that a negative oil price shock contracts aggregate GDP, boosts non-oil GDP, increases headlin

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Saimul, Saimul, M. Tambunan, R. Oktaviani, and M. Firdaus. "ANALISIS PENGARUH EKSPOR INDUSTRI MANUFAKTUR PADA KINERJA MAKROEKONOMI INDONESIA." Jurnal Organisasi dan Manajemen 7, no. 2 (2011): 75–85. http://dx.doi.org/10.33830/jom.v7i2.91.2011.

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The exports of manufacturing industry which consists of the export agroindustry and non-agroindustry, has an important role influencing the development of Indonesia's macroeconomic performance. This study aims to analyze the influence of manufacturing industry exports to Indonesia's macroeconomic performance. The study uses quarterly time series data from 1990 to 2009. Using VAR analysis model, the results of research are in short-term shocks to export agroindustry manufacturing has a positive effect on economic growth by 0.10%, but a negative effect on net exports, inflation, and exchange rat

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Bíró, A., P. Elek, and J. Vincze. "Model-based sensitivity analysis of the Hungarian economy to macroeconomic shocks and uncertainties." Acta Oeconomica 58, no. 4 (2008): 367–401. http://dx.doi.org/10.1556/aoecon.58.2008.4.3.

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In this paper we analyse the most important mechanisms of the Hungarian economy with the help of a medium-sized quarterly macroeconomic model developed jointly by the Economic Policy Department of the Ministry of Finance and the Institute of Economics of the Hungarian Academy of Sciences. After introducing the building blocks of the model we investigate, within a scenario analysis, the effects of the main factors behind the macroeconomic and budgetary processes. The sources of uncertainty — defined in a broad sense — are categorised into three groups: changes in the external environment (e.g.

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Labus, Miroljub. "Transition and post-conflict macroeconomic policies in Serbia." Ekonomski anali 65, no. 226 (2020): 73–102. http://dx.doi.org/10.2298/eka2026073l.

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This paper evaluates the economic performance of the three distinct policy regimes that have been adopted in Serbia since the onset of transition in 2000. The conflict period from 1991 to 1999 determined the starting point of transition and its subsequent realisation. This pre-transition shock was more severe than the shock imposed by the Great Recession in 2008. Besides these shocks, the legacy of conflict, and unresolved privatisation issues, macroeconomic policies also substantially influenced the performance of the Serbian economy. Three distinct policies were implemented between 2000 and

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Gourio, François, Todd Messer, and Michael Siemer. "Firm Entry and Macroeconomic Dynamics: A State-Level Analysis." American Economic Review 106, no. 5 (2016): 214–18. http://dx.doi.org/10.1257/aer.p20161052.

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Using an annual panel of US states over the period 1982-2014, we estimate the response of macroeconomic variables to a shock to the number of new firms (startups). We find that these shocks have significant effects that persist for many years on real GDP, productivity, and population. This is consistent with simple models of firm dynamics where a “missing generation” of firms affects productivity persistently.

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