The expected time to cross a threshold and its determinants
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/112873 |
Resumo: | In this paper we introduce a flexible framework to estimate the expected time (ET) an outcome variable takes to cross a threshold conditional on covariates. The proposed methodology makes use of the Markovian property and allows us to infer the impacts that covariates have on the ET an outcome variable takes to revert to a value of interest (for instance, its mean) given a specific starting point. An empirical analysis of the response of U.S. unemployment persistence to monetary policy and government spending shocks is provided, contributing to a still limited literature which simultaneously allows for both types of shocks. Our results suggest that unexpected monetary and fiscal expansions seem to have a relevant role in accelerating the pace of unemployment decline towards its natural rate; and that contractionary monetary and fiscal shocks in a context of labor market slack may result in high ETs. |
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The expected time to cross a threshold and its determinantsa simple and flexible frameworkExpected timeFiscal shocksMarkov chainsMonetary shocksNatural rate of unemploymentNonlinearityUnemployment gapEconomics and EconometricsControl and OptimizationApplied MathematicsSDG 8 - Decent Work and Economic GrowthIn this paper we introduce a flexible framework to estimate the expected time (ET) an outcome variable takes to cross a threshold conditional on covariates. The proposed methodology makes use of the Markovian property and allows us to infer the impacts that covariates have on the ET an outcome variable takes to revert to a value of interest (for instance, its mean) given a specific starting point. An empirical analysis of the response of U.S. unemployment persistence to monetary policy and government spending shocks is provided, contributing to a still limited literature which simultaneously allows for both types of shocks. Our results suggest that unexpected monetary and fiscal expansions seem to have a relevant role in accelerating the pace of unemployment decline towards its natural rate; and that contractionary monetary and fiscal shocks in a context of labor market slack may result in high ETs.NOVA School of Business and Economics (NOVA SBE)RUNZsurkis, GabrielNicolau, JoãoRodrigues, Paulo M.M.2022-12-15T01:32:45Z2021-012021-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/112873eng0165-1889PURE: 27076590https://doi.org/10.1016/j.jedc.2020.104047info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:56:10Zoai:run.unl.pt:10362/112873Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:42:13.537305Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The expected time to cross a threshold and its determinants a simple and flexible framework |
title |
The expected time to cross a threshold and its determinants |
spellingShingle |
The expected time to cross a threshold and its determinants Zsurkis, Gabriel Expected time Fiscal shocks Markov chains Monetary shocks Natural rate of unemployment Nonlinearity Unemployment gap Economics and Econometrics Control and Optimization Applied Mathematics SDG 8 - Decent Work and Economic Growth |
title_short |
The expected time to cross a threshold and its determinants |
title_full |
The expected time to cross a threshold and its determinants |
title_fullStr |
The expected time to cross a threshold and its determinants |
title_full_unstemmed |
The expected time to cross a threshold and its determinants |
title_sort |
The expected time to cross a threshold and its determinants |
author |
Zsurkis, Gabriel |
author_facet |
Zsurkis, Gabriel Nicolau, João Rodrigues, Paulo M.M. |
author_role |
author |
author2 |
Nicolau, João Rodrigues, Paulo M.M. |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
NOVA School of Business and Economics (NOVA SBE) RUN |
dc.contributor.author.fl_str_mv |
Zsurkis, Gabriel Nicolau, João Rodrigues, Paulo M.M. |
dc.subject.por.fl_str_mv |
Expected time Fiscal shocks Markov chains Monetary shocks Natural rate of unemployment Nonlinearity Unemployment gap Economics and Econometrics Control and Optimization Applied Mathematics SDG 8 - Decent Work and Economic Growth |
topic |
Expected time Fiscal shocks Markov chains Monetary shocks Natural rate of unemployment Nonlinearity Unemployment gap Economics and Econometrics Control and Optimization Applied Mathematics SDG 8 - Decent Work and Economic Growth |
description |
In this paper we introduce a flexible framework to estimate the expected time (ET) an outcome variable takes to cross a threshold conditional on covariates. The proposed methodology makes use of the Markovian property and allows us to infer the impacts that covariates have on the ET an outcome variable takes to revert to a value of interest (for instance, its mean) given a specific starting point. An empirical analysis of the response of U.S. unemployment persistence to monetary policy and government spending shocks is provided, contributing to a still limited literature which simultaneously allows for both types of shocks. Our results suggest that unexpected monetary and fiscal expansions seem to have a relevant role in accelerating the pace of unemployment decline towards its natural rate; and that contractionary monetary and fiscal shocks in a context of labor market slack may result in high ETs. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-01 2021-01-01T00:00:00Z 2022-12-15T01:32:45Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/112873 |
url |
http://hdl.handle.net/10362/112873 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0165-1889 PURE: 27076590 https://doi.org/10.1016/j.jedc.2020.104047 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138034281611264 |