Browsing by Author "Netšunajev, Aleksei"

Now showing items 1-4 of 4

2014-03-18Buch

Inflation ExpectationsSpillovers between theUnited States and EuroArea

Netšunajev, Aleksei; Winkelmann, Lars

We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a ...
2016-05-03Buch

International dynamics of inflation expectations

Netšunajev, Aleksei; Winkelmann, Lars

To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions change during the great recession and European sovereign debt crisis? We address these questions with a ...
2015-03-23Buch

Structural Vector Autoregressions with Heteroskedasticity

A Comparison of Different Volatility Models

Lütkepohl, Helmut; Netšunajev, Aleksei

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity ...
2016-01-13Buch

Uncertainty andEmployment Dynamics in theEuro Area and the US

Netšunajev, Aleksei; Glass, Katharina

In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). ...