Resultados globales: 6 registros encontrados en 0.02 segundos.
Artículos, Encontrados 2 registros
Documentos de investigación, Encontrados 4 registros
Artículos Encontrados 2 registros  
1.
43 p, 787.6 KB Government spending shocks in open economy VARs / Forni, Mario (Università degli studi di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autonoma de Barcelona)
By using the Survey of Professional Forecasters, we provide new evidence on the openeconomy effects of government spending, focusing on a well-known puzzle in the literature, that the real exchange rate depreciates in response to a fiscal expansion. [...]
2016 - 10.1016/j.jinteco.2015.11.010
Journal of international economics, Vol. 99 (2016) , p. 68-84  
2.
40 p, 680.5 KB Noise bubbles / Forni, Mario (Università degli studi di Modena e Reggio Emilia) ; Lippi, Marco (Università di Roma) ; Gambetti, Luca (Universitat Autonoma de Barcelona) ; Sala, Luca (Università commerciale Luigi Bocconi)
We introduce noisy information in the determination of stock prices. Agents receive a noisy signal about the structural shock driving future dividend variations. The resulting equilibrium stock price includes a transitory component { the \noise bubble" { which can be responsible for boom and bust episodes unrelated to economic fundamentals. [...]
2017 - 10.1111/ecoj.12386
The Economic journal, Vol. 127 Núm. 604 (2017) , p. 1940-1976  

Documentos de investigación Encontrados 4 registros  
1.
24 p, 321.3 KB Testing for sufficient information in structural VARs / Forni, Mario (Università di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Institut d'Anàlisi Econòmica
We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i. e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. [...]
2011 (Working papers ; 863.11)  
2.
30 p, 381.5 KB No news in business cycles / Forni, Mario (Università di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica) ; Sala, Luca (Università Bocconi) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Institut d'Anàlisi Econòmica
This paper uses a structural, large dimensional factor model to evaluate the role of 'news' shocks (shocks with a delayed effect on productivity) in generating the business cycle. We find that (i) existing small-scale VECM models are affected by 'non-fundamentalness' and therefore fail to recover the correct shock and impulse response functions; (ii) news shocks have a limited role in explaining the business cycle; (iii) their effects are in line with what predicted by standard neoclassical theory; (iv) the bulk of business cycle fluctuations are explained by shocks unrelated to technology.
2011 (Working papers ; 862.11)  
3.
34 p, 393.9 KB Fiscal foresight and the effects of government spending / Forni, Mario (Università di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Universitat Autònoma de Barcelona. Institut d'Anàlisi Econòmica
We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. [...]
2011 (Working papers ; 851.10)  
4.
46 p, 536.4 KB Macroeconomic shocks and the business cycle : evidence from a structural factor model / Forni, Mario (Università di Modena e Reggio Emilia) ; Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica) ; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica ; Universitat Autònoma de Barcelona. Institut d'Anàlisi Econòmica
We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. [...]
2011 (Working papers ; 850.10)  

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