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Title Essays on Empirical Macroeconomics
Publication Date
Date Accessioned
University/Publisher University of Alicante
Subjects/Keywords Economic convergence; Private credit; Labor market; Unemployment; Fiscal policy; Government spending; Economic growth; Credit cycle; Financial leverage; Dynamic factor model; Local projections; State dependence
Contributors Pérez Sebastián, Fidel (advisor)
Rights Licencia Creative Commons Reconocimiento-NoComercial-SinObraDerivada 4.0 [Always confirm rights and permissions with the source record.]
Country of Publication es
Record ID handle:10045/51005
Repository alicante
Date Retrieved
Date Indexed 2020-03-06
Issued Date 2015-01-01 00:00:00

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…labor market performance is assessed by using a direct forecast approach proposed by Jordà (2005). Specifically, the average cumulated path of unemployment across the panel is calculated with local projections for the years following the start…

…of a contractionary episode. Credit contractions in the 20 OECD economies are identified by employing the Bry and Boschan (1971) dating algorithm. The estimation of impulse response functions using local projections has several attractive…

…features. It does not require the specification and estimation of the true multivariate system itself, therefore, local projection techniques – based on multi-step direct forecasts – are robust to the misspecification of the data generating process. In…

…addition, the method can conveniently accommodate nonlinearities in the response function. This enables to obtain consistent estimates of the average response of unemployment to the onset of a credit contraction by a sequence of projections, without…