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Quantile Local Projections: Identification, Smooth Estimation, and Inference

Время: 30 января (Вторник) 15.00 МСК
Спикер: Josef Ruzicka (Assistant professor at Nazarbayev University)
Название: Quantile Local Projections: Identification, Smooth Estimation, and Inference

Область исследования
"This research is about macroeconometrics. Josef Ruzicka work on statistical methods for analyzing macroeconomic variables, such as inflation, GDP or unemployment rate, and their dynamic interactions."

Какую проблему призвано решить ваше исследование?
"This research question concerns methods for estimation of dynamic causal effects of shocks, called impulse response analysis. For example, how future inflation rate responds to monetary policy interest rates."

Что обнаружило ваше исследование?
"Standard impulse response methods measure only the average effects of shocks. However, research methods capture more information than just the average effect, and they have various advantages over other existing approaches."

Абстракт: Standard impulse response functions measure the average effect of a shock on a response variable. However, different parts of the distribution of the response variable may react to the shock differently. A popular method to capture this heterogeneity are quantile regression local projections. We identify them by short-run restrictions or external instruments, and we establish their asymptotics. To overcome their excessive volatility, we introduce two novel smoothing estimators. We propose information criteria for optimal smoothing and apply the estimators to shocks in financial conditions and monetary policy. We show that financial conditions affect the entire distribution of GDP growth and not just its lower part. Thus, financial conditions matter not only for recessions, but also during normal times and even in recovery periods. We also find that conventional monetary policy is more effective at curbing inflation than at generating it.

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