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Estimating the effect of Hungarian monetary policy within a structural VAR framework
Vonnák, Balázs - 2005
, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …
Persistent link: https://www.econbiz.de/10010322447
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Regime-dependent effects of monetary policy shocks: Evidence from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...
Persistent link: https://www.econbiz.de/10010286403
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When did unsystematic monetary policy have an effect on inflation?
Mojon, Benoît - 2005
An important stylized fact to emerge from the VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump shaped effect on inflation. I argue that this empirical pattern is fragile. In particular it disappears when one...
Persistent link: https://www.econbiz.de/10011604605
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010
through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10011605285
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Supply, demand and monetary policy shocks in a multi-country New Keynesian model
Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2010
through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10010276272
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Autoregressions in small samples, priors about observables and initial conditions
Jarociński, Marek; Marcet, Albert - 2010
We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...
Persistent link: https://www.econbiz.de/10011605309
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External shocks, US monetary policy and macroeconomic fluctuations in merging markets
Maćkowiak, Bartosz - 2006
Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging …
Persistent link: https://www.econbiz.de/10010275790
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The ECB's monetary analysis revisited
Berger, Helge; Harjes, Thomas; Stavrev, Emil - 2008
Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete...
Persistent link: https://www.econbiz.de/10010299145
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The information content of money in forecasting Euro area inflation
Berger, Helge; Stavrev, Emil - 2008
contains relevant information for inflation in some model classes. Money-based New Keynesian DSGE models and VARs incorporating …
Persistent link: https://www.econbiz.de/10010299146
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Monetary Policy in a Small Open Economy Model: A DSGE-VAR Approach for Switzerland
Bäurle, Gregor; Menz, Tobias - 2008
We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...
Persistent link: https://www.econbiz.de/10011430077