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Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions
Uhlig, Harald - 2001
In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....
Persistent link: https://www.econbiz.de/10009618362
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
structure of the VAR residuals. Different approaches can be followed to serve this task. One approach is to use the Cholesky … latter technique in a simple monetary framework for both Germany and the Euro area. VAR/VECM residuals are interpreted as …
Persistent link: https://www.econbiz.de/10009620773
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain …. To illustrate how these subset strategies can improve results from impulse response analysis, a VAR model is used to …
Persistent link: https://www.econbiz.de/10009583885
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Sources of German unemployment : a structural vector error correction analysis
Brüggemann, Ralf - 2001
In this paper we analyze the sources of German unemployment within a structural vector error correction model (SVECM) framework. For this purpose, we propose a method to estimate an exactly identified Subset SVECM, which is a SVECM with short run parameter restrictions. A cointegration analysis...
Persistent link: https://www.econbiz.de/10009613616