Showing 1 - 10 of 59
This paper explores if economic uncertainty alters the macroeconomic influence of monetary policy. We consider several measures of U.S. economic uncertainty, and estimate their interaction effects with monetary policy shocks as identified through structural vector autoregressions. We find that...
Persistent link: https://www.econbiz.de/10010787774
This paper investigates the responses of house prices and household credit to monetary policy shocks in Norway, using Bayesian structural VAR models. I find that the effect of a monetary policy shock on house prices is large, while the effect on household credit is muted. This is consistent with...
Persistent link: https://www.econbiz.de/10010835411
measure of economic fluctuations. However, its definition and estimation raise a number of theoretical and empirical questions …
Persistent link: https://www.econbiz.de/10005063091
estimated over the period 1983-2005. The estimation is conducted within the New-Keynesian framework using Bayesian and Kalman …-filter estimation techniques. With the model-consistent estimate of the output gap, we get a small weight on the backward …
Persistent link: https://www.econbiz.de/10005063105
Markov-switching factor models. On the basis of a receiver operating characteristic curve methodology and a comparison of …
Persistent link: https://www.econbiz.de/10011277154
This paper examines the impact of different types of oil price shocks on the U.S. economy, using a factor-augmented VAR (FAVAR) approach. The results indicate that when examining the effects of oil price shocks, it is important to account for the interaction between the oil market and the...
Persistent link: https://www.econbiz.de/10010787780
We investigate whether a decline in real interest rates and the US dollar contribute to higher commodity prices, and whether commodity prices tend to display overshooting behavior in response to changes in especially real interest rates. We analyze the behavior of a broad range of real commodity...
Persistent link: https://www.econbiz.de/10005481431
We develop a system that provides model-based forecasts for inflation in Norway. Forecasts are recursively evaluated from 1999 to 2008. The performance of the models over this period is then used to derive weights that are used to combine the forecasts. Our results indicate that model...
Persistent link: https://www.econbiz.de/10005481434
We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model specifications (e.g., initial conditions, parameters, and boundary...
Persistent link: https://www.econbiz.de/10004976646
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011124200