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The role of global and domestic shocks for inflation dynamics : evidence from Asia
Finck, David; Tillmann, Peter - 2019
changing nature of inflation dynamics. We estimate a series of VAR models for a set of six Asian emerging market economies, in … parts of inflation and output dynamics. The global shocks are procyclical with respect to the domestic components of …
Persistent link: https://www.econbiz.de/10011964249
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Mortgage debt and time-varying monetary policy transmission
Finck, David; Schmidt, Jörg; Tillmann, Peter - 2018
We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary policy. We find that an identically-sized policy...
Persistent link: https://www.econbiz.de/10011803783
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The Effectiveness of Monetary Policy in China : Evidence from a Qual VAR
Chen, Hongyi - 2016
transmission process in advanced economies in terms of both output growth and inflation despite a very different monetary policy …
Persistent link: https://www.econbiz.de/10012992455
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The role of global and domestic shocks for inflation dynamics: Evidence from Asia
Finck, David; Tillmann, Peter - 2019
changing nature of inflation dynamics. We estimate a series of VAR models for a set of six Asian emerging market economies, in … parts of inflation and output dynamics. The global shocks are procyclical with respect to the domestic components of …
Persistent link: https://www.econbiz.de/10012030948
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Mortgage debt and time-varying monetary policy transmission
Finck, David; Schmidt, Jörg; Tillmann, Peter - 2018
We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary policy. We find that an identically-sized policy...
Persistent link: https://www.econbiz.de/10011806702
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"Talking down monetary policy" : a note
Tillmann, Peter - In: Applied economics letters 24 (2017) 20, pp. 1443-1447
Persistent link: https://www.econbiz.de/10011853064
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The regime-dependent determination of credibility: A new look at European interest differentials
Tillmann, Peter - 2001
Once you allow for persistence in macroeconomic variables, two aspects of exchange rate credibility emerge whose relative importance can vary over time. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper, a Markov-switching VAR that allows for...
Persistent link: https://www.econbiz.de/10010270676
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The Regime-Dependent Determination of Credibility: A New Look at European Interest Rate Differentials
Tillmann, Peter - Institut für Wirtschaftspolitik, Wirtschafts- und … - 2001
Once you allow for persistence in macroeconomic variables, two aspects of exchange rate credibility emerge whose relative importance can vary over time. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper, a Markov-switching VAR that allows for...
Persistent link: https://www.econbiz.de/10005702782
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The regime-dependent determination of credibility : a new look at European interest differentials
Tillmann, Peter (contributor) - 2001
Once you allow for persistence in macroeconomic variables, two aspects of exchange rate credibility emerge whose relative importance can vary over time. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper, a Markov-switching VAR that allows for...
Persistent link: https://www.econbiz.de/10001906460
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Local Inflation: Reconsidering the International Comovement of Inflation
Förster, Marcel; Tillmann, Peter - Volkswirtschaft Abteilung, Fachbereich … - 2013
In this paper we reconsider the degree of international comovement of inflation rates. We use a dynamic hierarchical … factor model that is able to decompose Consumer Price Index (CPI) inflation in a panel of countries into (i) a factor common … to all inflation series and all countries, (ii) a factor specific to a given sub-section of the CPI, (iii) a country …
Persistent link: https://www.econbiz.de/10010897858