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Measuring monetary policy with residual sign restrictions at known shock dates
Badinger, Harald; Schiman, Stefan - 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/10012288003
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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/10013494039
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Effectiveness and transmission of the ECB's balance sheet policies
Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014
crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …
Persistent link: https://www.econbiz.de/10010383862
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Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus
Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 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...
Persistent link: https://www.econbiz.de/10012194625
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Monetary policy and the relative price of durable goods
Cantelmo, Alessandro; Melina, Giovanni - 2015
In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...
Persistent link: https://www.econbiz.de/10010515460
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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/10012124866
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The effect of news shocks and monetary policy
Gambetti, Luca; Görtz, Christoph; Korobilis, Dimitris; … - 2019
the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the …
Persistent link: https://www.econbiz.de/10011990092
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Uncertainty-dependent effects of monetary policy shocks : a new Keynesian interpretation
Castelnuovo, Efrem; Pellegrino, Giovanni - 2017
milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …
Persistent link: https://www.econbiz.de/10011781355
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Credit shocks and macroeconomic fluctuations in emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10009754529
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Macroeconomic shocks and racial labour market differences in the U.S.
De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019
Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...
Persistent link: https://www.econbiz.de/10012157899