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Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates
Badinger, Harald - 2020
residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …
Persistent link: https://www.econbiz.de/10012822501
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(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme …
Persistent link: https://www.econbiz.de/10014262412
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Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital
Malley, Jim - 2011
Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...
Persistent link: https://www.econbiz.de/10013120659
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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012838235
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Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)
Caggiano, Giovanni - 2020
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012824829
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The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
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The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy
Pasten, Ernesto - 2019
We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities generate large real effects. Empirically,...
Persistent link: https://www.econbiz.de/10012892210
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Real and Nominal Effects of Monetary Shocks Under Time-Varying Disagreement
Esady, Vania - 2019
This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...
Persistent link: https://www.econbiz.de/10012858703
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Identifying Global and National Output and Fiscal Policy Shocks Using a Gvar
Chudik, Alexander - 2019
due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock …
Persistent link: https://www.econbiz.de/10012892134
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Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
Malley, Jim; Woitek, Ulrich - 2009
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...
Persistent link: https://www.econbiz.de/10010264619