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Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations
Baumeister, Christiane; Hamilton, James D. - 2018
Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that some parameter values are more plausible than others, this common practice...
Persistent link: https://www.econbiz.de/10011872105
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On the effects of monetary policy shocks on exchange rates
Binder, Michael; Chen, Qianying; Zhang, Xuan - 2010
overshooting of the exchange rate as well as persistent deviations from uncovered interest parity. We specify an empirical model … policy shock, and that there is no delay in the overshooting of the U.S. Dollar. Furthermore, there is no persistent …
Persistent link: https://www.econbiz.de/10010274796
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Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
). Overshooting leads to a temporary disconnect between the performance of financial markets and the real economy, but it accelerates … the recovery. When there is a lower-bound constraint on the discount rate, overshooting becomes a concave and non …-19 recovery, the policy-induced overshooting was large−sufficient to explain the high levels of stock and house prices in …
Persistent link: https://www.econbiz.de/10013177666
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An output perspective on a northeast Asia currency union
Cheung, Yin-Wong; Yuen, Jude - 2004
The prospect of creating a currency union consisting of China, Japan, and Korea is evaluated using output data. After a brief discussion on the interactions between the three countries, the study investigates whether these three countries have common synchronous business cycles, which are...
Persistent link: https://www.econbiz.de/10010261238
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Correlation Neglect in Belief Formation
Enke, Benjamin; Zimmermann, Florian - 2013
-connected information sources, implying a pattern of overshooting beliefs. Additionally, in an experimental asset market, correlation …
Persistent link: https://www.econbiz.de/10010328793
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Exchange Rate Dynamics: Where is the Saddle Path?
Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2004
Persistent link: https://www.econbiz.de/10010315965
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Exchange rates and Markov switching dynamics
Cheung, Yin-Wong; Erlandsson, Ulf G. - 2004
This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...
Persistent link: https://www.econbiz.de/10010261095
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Migrants and Firms : Evidence from China
Imbert, Clément - 2019
This paper estimates the causal effect of rural-urban migration on urban production in China. We use longitudinal data on manufacturing firms between 2001 and 2006 and exploit exogenous variation in rural-urban migration due to agricultural price shocks. Following a migrant inflow, labor costs...
Persistent link: https://www.econbiz.de/10012892144
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The Monetary Policy of the ECB: A Robin Hood Approach?
Drometer, Marcus; Siemsen, Thomas; Watzka, Sebastian - 2013
We derive four sets of counterfactual national interest rate paths for the 17 Euro Area countries for the time period 1999 to 2012. They approximate desirable national interest rates countries would have liked to implement if they could still conduct independent monetary policy. We find that...
Persistent link: https://www.econbiz.de/10010292709
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How Expoerts Decide: Preferences or Private Assessments on a Monetary Policy Committee?
Hansen, Stephen; McMahon, Michael; Rivera, Carlos Velasco - 2013
Using voting data from the Bank of England, we show that different individual assessments of the economy strongly influence votes after controlling for individual policy preferences. We estimate that internal members form more precise assessments than externals and are also more hawkish, though...
Persistent link: https://www.econbiz.de/10010293915