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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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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
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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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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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Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Faust, Jon; Rogers, John H.; Swanson, Eric T.; Wright, … - 2021
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...
Persistent link: https://www.econbiz.de/10013226543
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Monetary Policy in a Data-Rich Environment
Bernanke, Ben; Boivin, Jean - 2021
actions are explained solely by its forecasts of inflation and real activity. Finally, we explore the possibility of …
Persistent link: https://www.econbiz.de/10013226548
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Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates
Eichenbaum, Martin; Evans, Charles L. - 2021
rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …
Persistent link: https://www.econbiz.de/10013243942
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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