Narrow search
Showing 1 - 10 of 217
Cover Image
The shocks matter : improving our estimates of exchange rate pass-through
Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015
A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose …
Persistent link: https://www.econbiz.de/10011384119
Cover Image
Disaggregated inflation dynamics in Thailand : which shocks matter?
Nuwat Nookhwun; Pym Manopimoke - 2023
Persistent link: https://www.econbiz.de/10014438108
Cover Image
Testing for Granger causality in large mixed-frequency VARs
Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - 2015
We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...
Persistent link: https://www.econbiz.de/10011415576
Cover Image
Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...
Persistent link: https://www.econbiz.de/10014320745
Cover Image
Forecasting Saudi Arabia's nonoil GDP using a Bayesian mixed frequency VAR
Rothfield, Jeremy - 2024
Persistent link: https://www.econbiz.de/10014563061
Cover Image
Monetary policy, inflation and the level of economic activity in Brasil after the real plan : stylized facts from SVAR models
Céspedes, Brisne J. V.; Lima, Elcyon Caiado Rocha; … - 2015
exchange rate and to the medium term interest rate are for the 1999-2004 period, the most important sources of inflation rate …
Persistent link: https://www.econbiz.de/10012024203
Cover Image
Monetary-fiscal policy interaction and fiscal inflation : a tale of three countries
Kliem, Martin; Kriwoluzky, Alexander; Sarferaz, Samad - 2015
fiscal stance and inflation using crosscountry data from 1965 to 1999. In a first step, we contrast the monetary … that the low-frequency relationship between the fiscal stance and inflation is low during periods of an independent central … illustrate the mechanisms through which fiscal actions affect inflation in the long run. The findings from the DSGE model suggest …
Persistent link: https://www.econbiz.de/10011391752
Cover Image
On the low-frequency relationship between public deficits and inflation
Kliem, Martin; Kriwoluzky, Alexander; Sarferaz, Samad - 2013
We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its … suggest that the low-frequency relationship between fiscal deficits and inflation is strongly related to the conduct of … monetary policy and its interaction with fiscal policy after World War II. -- Time-Varying VAR ; Inflation ; Public Deficits …
Persistent link: https://www.econbiz.de/10009732985
Cover Image
Vector autoregression analysis and the great moderation
Benati, Luca (contributor); Surico, Paolo (contributor) - 2007
. -- Great inflation ; passive policy ; break tests ; vector autoregressions …
Persistent link: https://www.econbiz.de/10003563240
Cover Image
Uncertainty shocks and inflation dynamics in the U.S.
Haque, Qazi; Magnusson, Leandro M. - 2020
Persistent link: https://www.econbiz.de/10012601651