Is economic recovery a myth? : Robust estimation of impulse responses

Teulings, Coen N.; Zubanov, Nick

Is economic recovery a myth? : Robust estimation of impulse responses

Files

Teulings_0-388149.pdf(398.59 KB)

Date

2014

Authors

Teulings, Coen N.

Zubanov, Nick

Publication type

Journal article

Publication status

Published

Published in

Journal of Applied Econometrics ; 29 (2014), 3. - pp. 497-514. - ISSN 0883-7252. - eISSN 1099-1255

Abstract

We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to misspecifications of the data-generating process, this method suffers from a hitherto unnoticed bias which increases with the forecast horizon. We propose a correction to this bias and show through simulations that it works well. Applying our corrected local projections estimator to the data from a panel of 99 countries observed between 1974 and 2001, we find that an average banking crisis yields a GDP loss of just under 10% in 10 years, with little sign of recovery. Like the original local projections method, our extension of it is widely applicable.

Subject (DDC)

330 Economics

Cite This

ISO 690

TEULINGS, Coen N., Nick ZUBANOV, 2014. Is economic recovery a myth? : Robust estimation of impulse responses. In: Journal of Applied Econometrics. 29(3), pp. 497-514. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.2333

BibTex

@article{Teulings2014econo-37156,
  year={2014},
  doi={10.1002/jae.2333},
  title={Is economic recovery a myth? : Robust estimation of impulse responses},
  number={3},
  volume={29},
  issn={0883-7252},
  journal={Journal of Applied Econometrics},
  pages={497--514},
  author={Teulings, Coen N. and Zubanov, Nick}
}

RDF

<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/37156">
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/37156/3/Teulings_0-388149.pdf"/>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <dc:rights>terms-of-use</dc:rights>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T14:34:59Z</dc:date>
    <dcterms:abstract xml:lang="eng">We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to misspecifications of the data-generating process, this method suffers from a hitherto unnoticed bias which increases with the forecast horizon. We propose a correction to this bias and show through simulations that it works well. Applying our corrected local projections estimator to the data from a panel of 99 countries observed between 1974 and 2001, we find that an average banking crisis yields a GDP loss of just under 10% in 10 years, with little sign of recovery. Like the original local projections method, our extension of it is widely applicable.</dcterms:abstract>
    <dc:contributor>Teulings, Coen N.</dc:contributor>
    <dcterms:issued>2014</dcterms:issued>
    <dc:language>eng</dc:language>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T14:34:59Z</dcterms:available>
    <dc:contributor>Zubanov, Nick</dc:contributor>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:title>Is economic recovery a myth? : Robust estimation of impulse responses</dcterms:title>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/37156"/>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/37156/3/Teulings_0-388149.pdf"/>
    <dc:creator>Zubanov, Nick</dc:creator>
    <dc:creator>Teulings, Coen N.</dc:creator>
  </rdf:Description>
</rdf:RDF>

Bibliography of Konstanz

No