Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models
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DOI: 10.1007/s10614-024-10640-2
Abstract: Several business cycle models exhibit a recursive timing structure, which enforces delayed propagation of exogenous shocks driving short-run dynamics. We propose a bootstrap-based empirical strategy to test for the relevance of timing restrictions and ensuing… read more here.
Keywords: transmission; shock transmission; test; transmission delays ... See more keywords
Dynamic Shock Transmission Mechanism Between U.S. Trade Policy Uncertainty and Sharia-Compliant Stock Market Volatility of GCC Economies
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DOI: 10.3390/risks13030056
Abstract: This study endeavors to explore the shock-transmission mechanism between Trade Policy Uncertainty (TPU) and the volatility inherent in the Gulf Cooperation Council (GCC) Islamic stock markets by employing the novel Quantile Vector Auto Regression (QVAR)… read more here.
Keywords: trade; transmission mechanism; tpu; shock transmission ... See more keywords