Macroeconomic Shocks and Their Propagation

By V. Ramey. 2016

1,118 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/95447ac4f7bcb822cc6743ad240c005a3d25c6fd

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Citations in the corpus

Local Projections vs. VARs: Lessons From Thousands of DGPs (2021, methodology): “Empirically relevant DGPs are unlikely to admit exact finite-order VAR representations, and so mis-specification of VAR estimators is indeed a valid concern, as discussed by Ramey (2016) and Nakamura & Steinsson (2018), among others.”
Delphic and odyssean monetary policy shocks: Evidence from the euro area (2018, methodology): “A popular way to measure the dynamic transmission of a macroeconomic shock in general and a monetary policy shock in particular is to use VAR models (see Ramey 2016 for an overview).”
Foreign effects of higher U.S. interest rates (2019, methodology): “output response to a monetary shock is largely in line with previous findings in the literature (Ramey, 2016).”
Non-monetary news in central bank communication (2018, background): “In line with the monetary economics literature, monetary policy shocks in our framework have a structural interpretation in that they orthogonal to economic fundamentals (see e.g., Ramey, 2016).”
Transmission of Monetary Policy with Heterogeneity in Household Portfolios (2018, background): “Monetary policy shocks provide an important validation exercise for macroeconomic models (cf. Ramey, 2016).”
The costs of macroprudential policy (2018, background): “6See Ramey (2016) for a more comprehensive overview of estimates.”
If the Fed Sneezes, Who Catches a Cold? (2017, background): “4See however Ramey (2016) for a critical appraisal of the literature on the domestic effects of US monetary policy shocks, challenging the robustness of the consensus view that we instead take as our starting point.”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, methodology): “We will show that, contrary to conventional wisdom (e.g., Jordà, 2005, p. 166; Ramey, 2016, p. 84), HAR standard errors are not needed to conduct inference on lag-augmented LP, despite the fact that the regression residual ξt(ρ, h) is serially correlated.”
How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area (2018, methodology): “To estimate the effects of quantitative easing, we identify a QE shock by means of an external instrument approach (Stock, 2008; Stock and Watson, 2012; Mertens and Ravn, 2013; Ramey, 2016; Miranda-Agrippino and Ricco, 2019; Montiel Olea et al., 2021; Jentsch and Lunsford, 2019).”
Bayesian inference on structural impulse response functions (2019, background): “The IRF (Θij,`)`≥0 is thus a key object of scientific interest in macroeconomics (Ramey, 2015).”
Inference in Structural Vector Autoregressions identified with an external instrument (2020, background): “Also the F-statistics for some popular measures of unanticipated tax shocks are low: Ramey (2016) reports that the first-stage regression of tax revenue on the Romer and Romer (2010) shocks is 1.6.”
Forward Guidance and Macroeconomic Outcomes since the Financial Crisis (2016, background): “Ramey (2016) discusses the challenges to identifying monetary policy shocks when this assumption is violated and Campbell et al. (2012) find that a substantial fraction of the residual variation in an estimated policy rule is forecastable.”