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Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks

Ahmadi, Pooyan Amir - 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/10012456932

Letting different views about business cycles compete

Beaudry, Paul (contributor); Lucke, Bernd (contributor) - 2009

preference or more generally a demand shock. More recently two other explanations have been advocated: surprise changes in …

Persistent link: https://www.econbiz.de/10012454968

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

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/10012467213

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Faust, Jon - 2003

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/10012469038

Monetary Policy in a Data-Rich Environment

Bernanke, Ben - 2001

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10012470341

Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates

Eichenbaum, Martin - 1993

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/10012474691

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/10012456875

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/10012461625

Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia

Abeysinghe, Tilak - 2001

This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …

Persistent link: https://www.econbiz.de/10012470116

Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?

Clarida, Richard - 1994

This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...

Persistent link: https://www.econbiz.de/10012474278

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