Details about Aleksei Netšunajev

Access statistics for papers by Aleksei Netšunajev.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pne255

Working Papers

2018

1. Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility
   Bank of Estonia Working Papers, Bank of Estonia View citations (2)
2. Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
   See also Journal Article Testing identification via heteroskedasticity in structural vector autoregressive models, EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics (2021) View citations (11) (2021)
3. The Relation between Monetary Policy and the Stock Market in Europe
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (4)
   See also Journal Article The Relation between Monetary Policy and the Stock Market in Europe, Econometrics, MDPI (2018) View citations (3) (2018)

2017

4. Crimea and punishment: the impact of sanctions on Russian and European economies
   Bank of Estonia Working Papers, Bank of Estonia
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (14)

2016

5. Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach
   Bank of Estonia Working Papers, Bank of Estonia
6. The anchoring of inflation expectations in the short and in the long run
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   See also Journal Article THE ANCHORING OF INFLATION EXPECTATIONS IN THE SHORT AND IN THE LONG RUN, Macroeconomic Dynamics, Cambridge University Press (2019) View citations (11) (2019)

2015

7. International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model
   VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (2)
8. On the long-run neutrality of demand shocks
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   See also Journal Article On the long-run neutrality of demand shocks, Economics Letters, Elsevier (2016) View citations (8) (2016)
9. Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models
   CESifo Working Paper Series, CESifo View citations (2)
   Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2015)

2014

10. Inflation expectations spillovers between the United States and euro area
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
11. Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (9)

2013

12. Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach
    Bank of Estonia Working Papers, Bank of Estonia View citations (15)
13. Reaction to technology shocks in Markov-switching structural VARs: identification via heteroskedasticity
    Bank of Estonia Working Papers, Bank of Estonia View citations (5)
    Also in Economics Working Papers, European University Institute (2012)
    See also Journal Article Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity, Journal of Macroeconomics, Elsevier (2013) View citations (12) (2013)

2012

14. Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (11)
    See also Journal Article DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (41) (2014)

Journal Articles

2021

1. Testing identification via heteroskedasticity in structural vector autoregressive models
   EconStor Open Access Articles and Book Chapters, 2021, 24, (1), 1-22 View citations (11)
   Also in The Econometrics Journal, 2021, 24, (1), 1-22 (2021) View citations (11)
   See also Working Paper Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models, Discussion Papers of DIW Berlin (2018) View citations (1) (2018)

2019

2. Crimea and punishment: the impact of sanctions on Russian economy and economies of the euro area
   Baltic Journal of Economics, 2019, 19, (1), 39-51 View citations (12)
   Also in EconStor Open Access Articles and Book Chapters, 2019, 19, (1), 39-51 (2019) View citations (31)
3. THE ANCHORING OF INFLATION EXPECTATIONS IN THE SHORT AND IN THE LONG RUN
   Macroeconomic Dynamics, 2019, 23, (5), 1959-1977 View citations (11)
   See also Working Paper The anchoring of inflation expectations in the short and in the long run, SFB 649 Discussion Papers (2016) (2016)

2018

4. The Relation between Monetary Policy and the Stock Market in Europe
   Econometrics, 2018, 6, (3), 1-14 View citations (3)
   See also Working Paper The Relation between Monetary Policy and the Stock Market in Europe, Discussion Papers of DIW Berlin (2018) View citations (4) (2018)

2017

5. Structural vector autoregressions with heteroskedasticity: A review of different volatility models
   Econometrics and Statistics, 2017, 1, (C), 2-18 View citations (9)
6. Structural vector autoregressions with smooth transition in variances
   Journal of Economic Dynamics and Control, 2017, 84, (C), 43-57 View citations (14)
7. Uncertainty and employment dynamics in the euro area and the US
   Journal of Macroeconomics, 2017, 51, (C), 48-62 View citations (23)

2016

8. On the long-run neutrality of demand shocks
   Economics Letters, 2016, 139, (C), 57-60 View citations (8)
   See also Working Paper On the long-run neutrality of demand shocks, SFB 649 Discussion Papers (2015) (2015)

2014

9. DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS
   Journal of Applied Econometrics, 2014, 29, (3), 479-496 View citations (41)
   See also Working Paper Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs, Discussion Papers of DIW Berlin (2012) View citations (11) (2012)

2013

10. Reaction to technology shocks in Markov-switching structural VARs: Identification via heteroskedasticity
    Journal of Macroeconomics, 2013, 36, (C), 51-62 View citations (12)
    See also Working Paper Reaction to technology shocks in Markov-switching structural VARs: identification via heteroskedasticity, Bank of Estonia Working Papers (2013) View citations (5) (2013)

2010

11. Foreign Trade Patterns Between Estonia and the EU
    International Advances in Economic Research, 2010, 16, (3), 311-324 View citations (1)