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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …
Persistent link: https://www.econbiz.de/10011389786
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A note of caution on the relation between money growth and inflation
Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023
We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...
Persistent link: https://www.econbiz.de/10014252440
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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On the use of spectral value decomposition for the construction of composite indices
Farnia, Luca - 2019
High dimensional composite index makes experts' preferences in setting weights a hard task. In the literature, one of the approaches to derive weights from a data set is Principal Component or Factor Analysis that, although conceptually different, they are similar in results when FA is based on...
Persistent link: https://www.econbiz.de/10011999119
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The impact of uncertainty shocks under measurement error : a proxy SVAR approach
Carriero, Andrea; Mumtaz, Haroon; Theodoridis, Konstantinos - 2013
shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … uncertainty shock proxy as an instrument to identify the underlying shock does not suffer from this bias. Applying this proxy SVAR …
Persistent link: https://www.econbiz.de/10009784657
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Nowcasting the Maltese economy with a dynamic factor model
Ellul, Reuben; Ruisi, Germano - 2022
This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...
Persistent link: https://www.econbiz.de/10012818645
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...
Persistent link: https://www.econbiz.de/10003990415
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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A time varying DSGE model with financial frictions
Galvão, Ana Beatriz C.; Giraitis, Liudas; Kapetanios, … - 2015
macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic … variables, such as output growth, has not changed in the last 30 years. The volatility of the financial friction shock, however …, has changed, so that output responses to a one-standard deviation shock increase twofold in the 2007-2011 period in …
Persistent link: https://www.econbiz.de/10011405255
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MEDSEA-FIN : an estimated DSGE model with housing and financial frictions for Malta
Gatt, William - 2022
This paper uses Bayesian techniques and Maltese data over the period 2001-2019 to estimate the parameters of MEDSEA-FIN, one of the Central Bank of Malta's DSGE models. The model captures linkages between the housing sector, banks and the rest of the economy via a borrowing collateral...
Persistent link: https://www.econbiz.de/10013382147