Similar Search Results

Görtz, Christoph; Gunn, Christopher; Lubik, Thomas A. - 2020

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact …

Persistent link: https://www.econbiz.de/10012214195

News Shocks under Financial Frictions

Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un …

Persistent link: https://www.econbiz.de/10012425634

Monetary policy and exchange rate interactions in a small open economy

Bjørnland, Hilde C. - 2005

This paper analyses the transmission mechanisms of monetary policy in a small open economy like Norway through structural VARs, paying particular attention to the interdependence between the monetary policy stance and exchange rate movements in the inflation-targeting period. Previous studies of...

Persistent link: https://www.econbiz.de/10010284259

Identifying the interdependence between US monetary policy and the stock market

Bjørnland, Hilde C.; Leitemo, Kai - 2005

We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution … shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute …

Persistent link: https://www.econbiz.de/10010284471

Monetary policy and the illusionary exchange rate puzzle

Bjørnland, Hilde C. - 2005

Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a “styled...

Persistent link: https://www.econbiz.de/10010284488

Monetary Policy and the Illusionary Exchange Rate Puzzle

Bjørnland, Hilde C. - 2005

Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a "styled facts" to...