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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … random walk. We use our model to investigate the monetary policy response to inflation and business cycle fluctuations in the …
Persistent link: https://www.econbiz.de/10010433901
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
regime, systematic monetary policy follows a Taylor rule extended by the term spread and is effective in curbing inflation … of the second regime, inflation would be over one percentage point higher on average after 2008. …
Persistent link: https://www.econbiz.de/10014422351
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Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors
Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021
, inflation, and bond spread. We empirically identify a time-varying linkage between economic and financial variables which are … effects of financial shocks on output and inflation during crisis and non-crisis periods. …
Persistent link: https://www.econbiz.de/10012591572
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DSGE models with observation-driven time-varying parameters
Angelini, Giovanni; Gorgi, Paolo - 2018
parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE …
Persistent link: https://www.econbiz.de/10011813395
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What are the effects of monetary policy shocks? : evidence from dollarized countries
Willems, Tim - 2010
Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these...
Persistent link: https://www.econbiz.de/10011382001
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The regional impact of monetary policy in Indonesia
Ridhwan, Masagus M.; Groot, Henri L. F. de; Rietveld, Piet - 2011
This paper employs Vector Autoregression (VAR) models to measure the impact of monetary policy shocks on regional …
Persistent link: https://www.econbiz.de/10011386474
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Identifying US monetary policy shocks through sign restrictions in dollarized countries
Gobbi, Alessandro; Willems, Tim - 2011
Persistent link: https://www.econbiz.de/10010191084
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On real interest rates, tariff policy, exchange rates and the ZLB
Wijnbergen, Sweder van - 2018
What could be the drivers of low real rates? What are the implications of the Zero Lower Bound for economic policy? To discuss these questions we introduce a full general equilibrium model of the world economy with a simple (2 period) intertemporal structure. The model is simple enough to allow...
Persistent link: https://www.econbiz.de/10011813425
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Transmission of government spending shocks in the Euro area : time variation and driving forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010
impact of government spending shocks using time-varying structural VAR techniques. The results show that the short …
Persistent link: https://www.econbiz.de/10011380027
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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
innovations and the variables themselves. By formulating the MSVAR as an extended linear non-Gaussian VAR for the combination of …
Persistent link: https://www.econbiz.de/10012621564