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Should monetary policy lean against the wind? : an evidence from a DSGE model with occasionally binding constraint
Zacek, Jan - 2018
central banks' loss function proves to be the rule augmented with asset prices. The optimal reactions are, however, shock- and …
Persistent link: https://www.econbiz.de/10011944799
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Dynamic effects of persistent shocks
Alloza, Mario; Gonzalo Muñoz, Jesus; Sanz, Carlos - 2019
Persistent link: https://www.econbiz.de/10012158755
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …
Persistent link: https://www.econbiz.de/10011526074
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Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
Miescu, Mirela S.; Mumtaz, Haroon - 2019
We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...
Persistent link: https://www.econbiz.de/10012121977
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Proxy VAR models in a data-rich environment
Bruns, Martin - 2019
Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large...
Persistent link: https://www.econbiz.de/10012125244
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International spillovers of (un)conventional monetary policy : the effect of the ECB and US fed on non-euro EU countries
Hajek, Jan; Horváth, Roman - 2017
We estimate a global vector autoregression model to examine the effects of euro area and US monetary policy stances, together with the effect of euro area consumer prices, on economic activity and prices in non-euro EU countries using monthly data from 2001-2016. Along with some standard...
Persistent link: https://www.econbiz.de/10011729621
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Factor augmented vector-autoregression with narrative identification : an application to monetary policy in the US
De Nora, Giorgia - 2021
the models parameters. I estimate the effects of a monetary policy shock in the United States using the proposed algorithm …
Persistent link: https://www.econbiz.de/10012798851
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The spillover of euro area shocks to the Maltese economy
Gatt, William; Ruisi, Germano - 2022
the Maltese economy. The model focuses on five broad macroeconomic shocks hitting the euro area; an aggregate demand shock … global market for oil, a generic monetary policy shock encompassing both conventional and unconventional interventions, and a … financial stress shock. The model is estimated using Bayesian methods over a sample that goes from 2003Q1 to 2019Q4 and …
Persistent link: https://www.econbiz.de/10012818649
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Equity premium and monetary policy in a model with limited asset market participation
Horváth, Roman; Kaszab, Lorant - 2016
This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.
Persistent link: https://www.econbiz.de/10011432126
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An estimated dynamic stochastic general equilibrium model for the Kyrgyz Republic
Shatmanov, Iskender (ed.) - 2017
Persistent link: https://www.econbiz.de/10012019413