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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR; N° 1636 / February 2014

Arratibel, Olga (contributor); … - European Central Bank - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10015302567

Variational inference for Bayesian panel VAR models

Ter Steege, Lucas (contributor) - European Central Bank - 2024

-t distribution. This reduces the estimation time of possibly several hours using conventional MCMC methods to less than a minute …

Persistent link: https://www.econbiz.de/10015321114

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu (contributor); … - European Central Bank - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

Persistent link: https://www.econbiz.de/10015298950

Credit spreads and the links between the financial and real sectors in a small open economy : the case of the Czech Republic; N°1730, September 2014

Konečný, Tomáš. (contributor); … - European Central Bank - 2014

the real economy) are procyclical and similar irrespective of regime. A positive shock to credit and a negative shock to …

Persistent link: https://www.econbiz.de/10015301974

The effects of government spending in a small open economy within a monetary union : N°1727, August 2014

Clancy, Daragh (contributor); Jacquinot, Pascal (contributor) - European Central Bank - 2014

Small open economies within a monetary union have a limited range of stabilisation tools, as area-wide nominal interest and exchange rates do not respond to country-specific shocks. Such limitations imply that imbalances can be difficult to resolve. We assess the role that government spending...

Persistent link: https://www.econbiz.de/10015301889

Do professional forecasters behave as if they believed in the new Keynesian Phillips Curve for the euro area?

López Pérez, Victor (contributor) - European Central Bank - 2015

forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation …

Persistent link: https://www.econbiz.de/10015298680

Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach

Vouldis, Angelos T. (contributor) - European Central Bank - 2015

and demand. A Bayesian estimation methodology with data augmentation for the latent variables is used. The analysis is …

Persistent link: https://www.econbiz.de/10015298940

Policy mandates for macro-prudential and monetary policies in a new Keynesian framework

Levine, Paul (contributor); Lima, Diana (contributor) - European Central Bank - 2015

In the aftermath of the financial crisis, the role of monetary policy and macro-prudential regulation in promoting financial stability is under discussion. The old debate concerning whether monetary policy should respond to credit and asset price bubbles was revived, whereas macro-prudential...

Persistent link: https://www.econbiz.de/10015298922

Credit supply dynamics and economic activity in euro area countries : a time-varying parameter var analysis; N°1714, August 2014

Bijsterbosch, Martin (contributor); … - European Central Bank - 2014

Persistent link: https://www.econbiz.de/10015301872

What has driven inflation dynamics in the Euro area, the United Kingdom and the United States

Melolinna, Marko (contributor) - European Central Bank - 2015

This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor-augmented vector autoregression (FAVAR) framework with sign restrictions to study the effects of fundamental macroeconomic shocks on inflation in the three economies. The FAVAR model...

Persistent link: https://www.econbiz.de/10015299048