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The New Keynesian Phillips Curve in Europe: does it fit or does it fail?

Tillmann, Peter - 2005

tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to … data well at first sight. However, analyses of this kind disregard the considerable degree of uncertainty surrounding VAR …

Persistent link: https://www.econbiz.de/10010295672

The regime-dependent determination of credibility: A new look at European interest differentials

Tillmann, Peter - 2001

. In this paper, a Markov-switching VAR that allows for parameter shifts across regimes is employed to test the hypothesis …

Persistent link: https://www.econbiz.de/10010270676

Immigration and the macroeconomy : some new empirical evidence

Furlanetto, Francesco; Robstad, Ørjan - 2017

Proponemos un nuevo esquema de identificación VAR que nos permite separar perturbaciones migratorias de otras … propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks …

Persistent link: https://www.econbiz.de/10012530555

Identification of financial factors in economic fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad - 2014

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign …

Persistent link: https://www.econbiz.de/10010420573

Pushing on a string: State-owned enterprises and monetary policy transmission in China

Chen, Hongyi; Li, Ran; Tillmann, Peter - 2018

This paper studies whether monetary transmission in China is asymmetric. While researchers found an asymmetric transmission in the U.S. and other economies, China offers a specific rationale for asymmetries: the presence of state-owned enterprises (SOEs) enjoying preferential access to...

Persistent link: https://www.econbiz.de/10011806699

Monetary policy on Twitter and its effect on asset prices: Evidence from computational text analysis

Lüdering, Jochen; Tillmann, Peter - 2016

content of the discussion. Several estimated topic frequencies are then included in a VAR model to estimate the effects of …

Persistent link: https://www.econbiz.de/10011516882

Does Monetary Policy React to Asset Prices? Some International Evidence

Furlanetto, Francesco - 2008

and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure fully takes into … account the endogeneity of interest rates and stock returns that is ignored in the traditional VAR literature. We find a …