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Modeling Anti-Inflationary Monetary Targeting : With an Application to Romania
Sanchez, Marcelo - 2010
This paper attempts to characterise an anti-inflationary monetary targeting (MT) regime. In order to derive a formal representation of this regime, we formulate the central bank's optimisation problem under the assumption that it is possible for the monetary targeted variable to have an impact...
Persistent link: https://www.econbiz.de/10013144573
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Extended Yule-Walker Identification of VARMA Models with Single- or Mixed-Frequency Data
Zadrozny, Peter A. - 2016
Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...
Persistent link: https://www.econbiz.de/10012989633
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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10013317369
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Structural Vector Autoregressions with Nonnormal Residuals
Lanne, Markku; Luetkepohl, Helmut - 2021
derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …
Persistent link: https://www.econbiz.de/10013317658
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Modelling anti-inflationary monetary targeting: with an application to Romania
Sánchez, Marcelo - 2010
This paper attempts to characterise an anti-inflationary monetary targeting (MT) regime. In order to derive a formal representation of this regime, we formulate the central bank’s optimisation problem under the assumption that it is possible for the monetary targeted variable to have an impact...
Persistent link: https://www.econbiz.de/10011605232
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Identifying Monetary Policy Shocks Via Changes in Volatility
Lanne, Markku - 2013
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...
Persistent link: https://www.econbiz.de/10012754187
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Monetary Policy Analysis with Potentially Misspecified Models
Del Negro, Marco; Schorfheide, Frank - 2021
This paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE 2005) and Smets and Wouters (JEEA 2003)....
Persistent link: https://www.econbiz.de/10013318606
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VAR Analysis and the Great Moderation
Benati, Luca; Surico, Paolo - 2021
Most analyses of the U.S. Great Moderation have been based on structural VAR methods, and have consistently pointed towards good luck as the main explanation for the greater macroeconomic stability of recent years. Based on an estimated New-Keynesian model in which the only source of change is...
Persistent link: https://www.econbiz.de/10013316598
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On the Effects of Monetary Policy Shocks on Exchange Rates
Binder, Michael - 2013
In this paper we re-consider the effects of monetary policy shocks on exchange rates and forward premia. In the recent empirical literature, these effects have been predominantly described as puzzling, in that they would include delayed overshooting of the exchange rate as well as persistent...
Persistent link: https://www.econbiz.de/10013094323
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Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10012958879