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Inference in structural vector autoregressions when the identifying assumptions are not fully believed : reevaluating the role of monetary policy in economic fluctuations
Baumeister, Christiane; Hamilton, James D. - 2018 - Revised May 3, 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/10011847554
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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/10013093040
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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 … to capture simultaneous multi-country adjustments to shocks. -- monetary policy ; exchange rate overshooting ; forward …
Persistent link: https://www.econbiz.de/10008696775
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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/10011402689
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An output perspective on a northeast Asia currency union : presented at CESifo Venice Summer Institute, Workshop on Monetary Unions after EMU, August 2003
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/10011450312
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Exchange rates and Markov switching dynamics
Cheung, Yin-Wong (contributor);  … - 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/10002521681
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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/10010211474
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Agricultural trade, biodiversity effects and food price volatility
Bellora, Cecilia; Bourgeon, Jean-Marc - 2015
Biotic factors such as pests create biodiversity effects that increase production risks and decrease land productivity when agriculture becomes more specialized. We show in a Ricardian two-country trade setup that production specialization is incomplete under free trade because of the decrease...
Persistent link: https://www.econbiz.de/10011286489
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Pulling up the tarnished anchor : the end of silver as a global unit of account
Fernholz, Ricardo T.; Mitchener, Kris; Weidenmier, Marc D. - 2017
We use the demise of silver-based standards in the 19th century to explore price dynamics when a commodity-based money ceases to function as a global unit of account. We develop a general equilibrium model of the global economy with gold and silver money. Calibration of the model shows that...
Persistent link: https://www.econbiz.de/10011646314
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Agricultural price shocks and business cycles a global warning for advanced economies
De Winne, Jasmien; Peersman, Gert - 2018
For a panel of 75 countries, we find that increases in global agricultural commodity prices that are caused by unfavorable harvest shocks in other regions of the world significantly curtail domestic economic activity. The effects are much larger than for average global agricultural price shifts....
Persistent link: https://www.econbiz.de/10011846251