Showing 1 - 10 of 12
Using generalised variance decompositions from vector autoregressions, we analyse cross-country, cross-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes indices of monetary, fiscal and trade policy uncertainty...
Persistent link: https://www.econbiz.de/10011954997
This paper analyses the interdependence of policy uncertainty from 1985 to 2017 across six different categories of US economic policy: Monetary, fiscal, healthcare, national security, regulatory, and trade policy. To this end, we apply the Diebold and Yilmaz (2012, 2014) connectedness index...
Persistent link: https://www.econbiz.de/10011800304
We highlight how detrending within Structural Vector Autoregressions (SVAR) is directly linked to the shock identification. Consequences of trend misspecification are investigated using a prototypical Real Business Cycle model as the Data Generating Process. Decomposing the different sources of...
Persistent link: https://www.econbiz.de/10010904257
The deviance information criterion (DIC) has been widely used for Bayesian model comparison. However, recent studies have cautioned against the use of the DIC for comparing latent variable models. In particular, the DIC calculated using the conditional likelihood (obtained by conditioning on the...
Persistent link: https://www.econbiz.de/10010904329
This paper investigates the macroeconomic effects of fiscal policy in New Zealand using a structural Vector Autoregression (SVAR) model. The model is the five-variable structural vector autoregression (SVAR) framework proposed by Blanchard and Perotti (2005), further augmented to allow for the...
Persistent link: https://www.econbiz.de/10011185987
The paper empirically estimates the financial transmission between bond and equity markets within and across the four largest global financial markets - the United States, the Euro area, Japan, and the United Kingdom. We argue that international bond and equity markets are highly connected both...
Persistent link: https://www.econbiz.de/10011659396
Optimal commitment policy under the zero lower bound entails a high degree of complexity and time-inconsistency in a stochastic economy. This paper proposes a time-invariant duration policy that mitigates those problems and facilitates policy implementation and communication while retaining...
Persistent link: https://www.econbiz.de/10008460606
After empirically showing imperfect financial integration among the euro countries, i.e., bank loan market heterogeneities in stickinesses of loan interest rates and markups from policy interest rate to loan rates, we build a New Keynesian model where such elements of imperfect financial...
Persistent link: https://www.econbiz.de/10004975770
Recent studies argue that the spread-adjusted Taylor rule (STR), which includes a response to the credit spread, replicates monetary policy in the United State. We show (1) STR is a theoretically optimal monetary policy under heterogeneous loan interest rate contracts in both discretionay and...
Persistent link: https://www.econbiz.de/10005003902
We introduce financial market friction through search and matching in the loan market into a standard New Keynesian model. We reveal that the second order approximation of social welfare includes the terms related to credit, such as credit market tightness, the volume of credit, and the loan...
Persistent link: https://www.econbiz.de/10010686018