constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as … including both. In comparison to a standard VAR, shadow-rate VARs generate superior predictions for short- and long … the ELB binds or not. After an adverse shock, our shadow-rate VAR sees a stronger decline of economic activity at the ELB …

causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …

particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond …

policy communication for asset prices, much of the subsequent VAR literature attributes all effects of monetary policy on …