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Monetary Policy Uncertainty and Economic Fluctuations
Creal, Drew - 2014
react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …
Persistent link: https://www.econbiz.de/10013045286
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Accounting for Post-Crisis Inflation and Employment : A Retro Analysis
Fratto, Chiara - 2014
What accounts for inflation after 2008? We use the prominent pre-crisis Smets-Wouters (2007) model to address this … question. We find that due to price markup shocks alone inflation would have been 1% higher than observed and 0.5% higher that … responsible for the slow recovery of employment, though not for the initial drop. Monetary policy shocks predict an inflation rate …
Persistent link: https://www.econbiz.de/10013040539
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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to...
Persistent link: https://www.econbiz.de/10012948093
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Money and Output : Friedman and Schwartz Revisited
Belongia, Michael T. - 2015
More than fifty years ago, Friedman and Schwartz examined historical data for the United States and found evidence of pro-cyclical movements in the money stock, which led corresponding movements in output. We find similar correlations in more recent data; these appear most clearly when Divisia...
Persistent link: https://www.econbiz.de/10013010288
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Sign Restrictions in Bayesian Favars with an Application to Monetary Policy Shocks
Amir-Ahmadi, Pooyan - 2015
We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...
Persistent link: https://www.econbiz.de/10013011456
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What Do the Vars Mean? : Measuring the Output Effects of Monetary Policy
Cochrane, John H. - 2021
What are the relative effects of anticipated vs. unanticipated monetary policy? I examine the effect of this identifying assumption on VAR estimates of the output response to money, assuming that anticipated monetary policy can have some effect on output results in much shorter and smaller...
Persistent link: https://www.econbiz.de/10013217605
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Implications of Dynamic Factor Models for VAR Analysis
Stock, James H.; Watson, Mark W. - 2022
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10013322868
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Capital Flows and the Risk-Taking Channel of Monetary Policy
Bruno, Valentina - 2013
linchpin in the monetary transmission mechanism that works through fluctuations in risk-taking. Motivated by the evidence, we … formulate a model of the "risk-taking channel" of monetary policy in the international context that rests on the feedback loop …
Persistent link: https://www.econbiz.de/10013083802
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Letting Different Views About Business Cycles Compete
Beaudry, Paul - 2010
preference or more generally a demand shock. More recently two other explanations have been advocated: surprise changes in …
Persistent link: https://www.econbiz.de/10013152795
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Are the Effects of Monetary Policy Shocks Big or Small?
Coibion, Olivier - 2011
are consistent across approaches and most likely medium. Alternative monetary policy shock measures from estimated Taylor …
Persistent link: https://www.econbiz.de/10013125566