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(Un)Expected Monetary Policy Shocks and Term Premia

Kliem, Martin - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10012944241

Reconciling Narrative Monetary Policy Disturbances with Structural VAR Model Shocks?

Kliem, Martin - 2016

Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We … investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We … is measurement error in the narrative time series, another is a misspecification of the VAR model …

Persistent link: https://www.econbiz.de/10012988778

Financial Shocks and Inflation Dynamics

Abbate, Angela - 2016

We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...

Persistent link: https://www.econbiz.de/10012980701

Financial Frictions and Global Spillovers

Metiu, Norbert - 2016

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10012988701

Time Variation in Macro-Financial Linkages

Prieto, Esteban - 2016

VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks …

Persistent link: https://www.econbiz.de/10012988788

The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model

Kerssenfischer, Mark - 2021

stands in stark contrast to traditional VAR models, which yield decisively different results in the two identification …

Persistent link: https://www.econbiz.de/10013315462