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Unemployment and inflation regimes
Vredin, Anders; Warne, Anders - 2000
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries … with high or low unemployment volatility. We find that MS-VAR models seem to provide a better description of the data than … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …
Persistent link: https://www.econbiz.de/10011584800
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Unemployment fluctuations and nominal GDP targeting
Billi, Roberto M. - 2020
I evaluate the welfare performance of a target for the level of nominal GDP in a New Keynesian model with unemployment …
Persistent link: https://www.econbiz.de/10012161495
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Business cycle implications of mortgage spreads
Walentin, Karl - 2014 - September 2013 (Updated March 2014)
How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant...
Persistent link: https://www.econbiz.de/10010202977
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Dynamic demand adjustment and exchange rate volatility
Corbo, Vesna - 2014
A common finding in the international-economics literature is that the elasticity of substitution between domestically produced and imported goods is smaller in the short than in the long run. Despite this, most of today's commonly used macroeconomic models assume this elasticity to be constant....
Persistent link: https://www.econbiz.de/10010437790
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Forward interest rates and inflation expectations : the role of regime shift premia and monetary policy
Dillén, Hans; Hopkins, Elisabeth - 1998
In this paper we argue that there are two major explanations to why Swedish forward interest rates have been high and volatile: (i) Investors' fears that the economy will switch to a high inflation regime give rise to a regime shift premium. (ii) Expectations of monetary policy actions amplify...
Persistent link: https://www.econbiz.de/10010128042
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Policy rules for inflation targeting
Rudebuschy, Glenn D.; Svensson, Lars E. O. - 1998
Policy rules that are consistent with inflation targeting are examined in a small macro-econometric model of the US economy. We compare the properties and outcomes of explicit "instrument rules" as well as "targeting rules". The latter, which imply implicit instrument rules, may be closer to...
Persistent link: https://www.econbiz.de/10010128044
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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012385032
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The impact of monetary policy on household borrowing : a high-frequency IV identification
Sandström, Maria - 2018
This paper combines identification of monetary policy shocks from highfrequency financial market data with local projections IV to study the effects of monetary policy on household borrowing using Swedish data. The results are uncertain but indicate that the stock of household loans is 1.6...
Persistent link: https://www.econbiz.de/10011805996
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Identifying the effects of monetary policy shocks in an open economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 2002
This paper presents estimates of the effects of monetary policy shocks on the Swedish economy. A theoretical model of an open economy is used to identify a structural VAR model. The empirical results from the identified VAR model are compared with two less structural approaches for...
Persistent link: https://www.econbiz.de/10011583125
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Inflation, markups and monetary policy
Jonsson, Magnus; Palmqvist, Stefan Ulf - 2003
The correlation between persistent changes in the markup in one sector of an economy and the inflation rate is quantified in a 2-sector dynamic general equilibrium model. How this relationship is affected by monetary policy is also studied. We find that the correlation is in general positive...
Persistent link: https://www.econbiz.de/10011585093