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Global Impacts of Us Monetary Policy Uncertainty Shocks

Lastauskas, Povilas; Minh, Anh - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...

Persistent link: https://www.econbiz.de/10013243822

Estimating Multi-Country VAR Models

Canova, Fabio - 2006

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

Persistent link: https://www.econbiz.de/10012780504

Does Information Help Recovering Structural Shocks from Past Observations?

Giannone, Domenico; Reichlin, Lucrezia - 2021

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is "yes" and...

Persistent link: https://www.econbiz.de/10013317596

Autoregressions in Small Samples, Priors about Observables and Initial Conditions

Jarocinski, Marek - 2010

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...

Persistent link: https://www.econbiz.de/10013136582

Monetary Policy Shocks in a Two-Sector Open Economy : An Empirical Study

Llaudes, Ricardo - 2007

This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame-work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...

Persistent link: https://www.econbiz.de/10012776366

Quantifying Financial Stability Trade-Offs for Monetary Policy : A Quantile VAR Approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014352841

Rational Inattention and the Business Cycle Effects of Productivity and News Shocks

Maćkowiak, Bartosz; Wiederholt, Mirko - 2023

news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …

Persistent link: https://www.econbiz.de/10014353582

Endogenous TFP, Business Cycle Persistence and the Productivity Slowdown in the Euro Area

Spitzer, Martin - 2020

generating the pre-crisis productivity slowdown, while starting from the Great Recession a shock to liquidity demand is …This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification … by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework …

Persistent link: https://www.econbiz.de/10012834776

Monetary Policy and the Financing of Firms

De Fiore, Fiorella - 2012

How should monetary policy respond to changes in financial conditions? In this paper we consider a simple model where firms are subject to idiosyncratic shocks which may force them to default on their debt. Firms' assets and liabilities are denominated in nominal terms and predetermined when...

Persistent link: https://www.econbiz.de/10013116576

Sectoral Output Effects of Monetary Policy : Do Sticky Prices Matter?

Henkel, Lukas - 2021

This paper studies the role of sticky prices for the monetary transmission mechanism, using disaggregated industry-level data from 205 US industries. There is substantial heterogeneity in the output responses of industries to monetary policy surprises. I show that an industry's response to...

Persistent link: https://www.econbiz.de/10013315283