The expected time to cross a threshold and its determinants : a simple and flexible framework
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/10400.5/27493 |
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 method ology makes use of the Markovian property and allows us to infer the impacts that co variates 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 determinants : a simple and flexible frameworkExpected TimeMarkov ChainsNonlinearityUnemployment GapNatural Rate of UnemploymentFiscal ShocksMonetary ShocksIn 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 method ology makes use of the Markovian property and allows us to infer the impacts that co variates 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.Elsevier B.V.Repositório da Universidade de LisboaZsurkis, GabrielNicolau, JoãoRodrigues, Paulo M.M.2023-03-22T10:30:47Z20212021-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27493engZsurkis, Gabriel, João Nicolau and Paulo M.M Rodrigues.(2021). "The expected time to cross a threshold and its determinants: a simple and flexible framework." Journal of Economic Dynamics and Control Vol. 122: 104047.(Search PDF in 2023)https://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:RCAAP2023-04-02T01:34:24Zoai:www.repository.utl.pt:10400.5/27493Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:48:20.768505Repositório 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 : a simple and flexible framework |
spellingShingle |
The expected time to cross a threshold and its determinants : a simple and flexible framework Zsurkis, Gabriel Expected Time Markov Chains Nonlinearity Unemployment Gap Natural Rate of Unemployment Fiscal Shocks Monetary Shocks |
title_short |
The expected time to cross a threshold and its determinants : a simple and flexible framework |
title_full |
The expected time to cross a threshold and its determinants : a simple and flexible framework |
title_fullStr |
The expected time to cross a threshold and its determinants : a simple and flexible framework |
title_full_unstemmed |
The expected time to cross a threshold and its determinants : a simple and flexible framework |
title_sort |
The expected time to cross a threshold and its determinants : a simple and flexible framework |
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 |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Zsurkis, Gabriel Nicolau, João Rodrigues, Paulo M.M. |
dc.subject.por.fl_str_mv |
Expected Time Markov Chains Nonlinearity Unemployment Gap Natural Rate of Unemployment Fiscal Shocks Monetary Shocks |
topic |
Expected Time Markov Chains Nonlinearity Unemployment Gap Natural Rate of Unemployment Fiscal Shocks Monetary Shocks |
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 method ology makes use of the Markovian property and allows us to infer the impacts that co variates 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 2021-01-01T00:00:00Z 2023-03-22T10:30:47Z |
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/10400.5/27493 |
url |
http://hdl.handle.net/10400.5/27493 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Zsurkis, Gabriel, João Nicolau and Paulo M.M Rodrigues.(2021). "The expected time to cross a threshold and its determinants: a simple and flexible framework." Journal of Economic Dynamics and Control Vol. 122: 104047.(Search PDF in 2023) 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.publisher.none.fl_str_mv |
Elsevier B.V. |
publisher.none.fl_str_mv |
Elsevier B.V. |
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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131565970685952 |