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Two-country new Keynesian DSGE model : a small open economy as a limit case
Silveira, Marcos Antonio Coutinho da - 2015
We build a two-country version of the model in Gali & Monacelli (2005), which extends for a small open economy the new Keynesain DSGE model used as tool for monetary policy analysis in closed economies. A distinctive feature of the model is that the terms of trade enters directly into the new...
Persistent link: https://www.econbiz.de/10012038711
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The hockey stick Phillips curve and the effective lower bound
Böhl, Gregor; Lieberknecht, Philipp - 2021
nominal interest rate, which together constitute external financing costs, balance out in response to a financial shock. When …
Persistent link: https://www.econbiz.de/10012792813
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The trade-off between inflation and economic activity in Brazil
Maka, Alexis; Barbosa, Fernando de Holanda - 2017
This paper contrasts empirically four leading models of inflation dynamics - the accelerationist Phillips curve (APC), the new Keynesian Phillips curve (NKPC), the hybrid Phillips curve (HPC), and the sticky information Phillips curve (SIPC). We employ an encompassing Phillips curve...
Persistent link: https://www.econbiz.de/10012061223
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Inflation expectations and the Phillips curve : an encompassing framework
Maka, Alexis; Barbosa, Fernando de Holanda - 2017
This paper contrasts empirically four leading models of inflation dynamics - the accelerationist Phillips curve (APC), new Keynesian Phillips curve (NKPC), hybrid Phillips curve (HPC) and sticky information Phillips curve (SIPC). We employ an encompassing Phillips curve specification that allows...
Persistent link: https://www.econbiz.de/10012061245
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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10011636064
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Buried in the vaults of central banks : monetary gold hoarding and the slide into the Great Depression
Karau, Sören - 2020 - This draft: October 2020
of narrative information to sharpen shock identification in a structural VAR analysis based on sign restrictions …
Persistent link: https://www.econbiz.de/10012405992
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To sign or not to sign? : on the response of prices to financial and uncertainty shocks
Meinen, Philipp; Röhe, Oke - 2018
that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …
Persistent link: https://www.econbiz.de/10011897983
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Reconciling narrative monetary policy disturbances with structural VAR model shocks?
Kliem, Martin; Kriwoluzky, Alexander - 2013
investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We …
Persistent link: https://www.econbiz.de/10009771126
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Do exchange rates absorb demand shocks at the ZLB?
Hoffmann, Mathias; Hürtgen, Patrick - 2021
appreciates in response to an asymmetric negative demand shock at the zero lower bound (ZLB) and exacerbates the adverse … at the ZLB. In sharp contrast to the full information model: (i) A negative demand shock concentrated in the home country … causes a real exchange rate depreciation that partially absorbs the demand shock. (ii) A VAR with an identified demand shock …
Persistent link: https://www.econbiz.de/10012510174
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452