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Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

Villani, Mattias; Warne, Anders - 2003

Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends...

Persistent link: https://www.econbiz.de/10009636519

Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price … worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

Persistent link: https://www.econbiz.de/10009636527

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity …

Persistent link: https://www.econbiz.de/10009636532

What are the spill-overs from fiscal shocks in Europe?

Giuliodori, Massimo; Beetsma, Roel - 2004

We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski...

Persistent link: https://www.econbiz.de/10009636548

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy …

Persistent link: https://www.econbiz.de/10009635920

Inflation and relative price asymmetry

Ratfai, Attila - 2004

. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory …

Persistent link: https://www.econbiz.de/10009636524

The output composition puzzle

Angeloni, Ignazio; Kashyap, Anil K.; Mojon, Benoît; … - 2003

We revisit recent evidence on how monetary policy affects output and prices in the U.S. and in the euro area. The response patterns to a shift in monetary policy are similar in most respects, but differ noticeably as to the composition of output changes. In the euro area investment is the...

Persistent link: https://www.econbiz.de/10009635907

A comprehensive model on the euro overnight rate

Würtz, Flemming Reinhardt - 2003

This paper presents a comprehensive model on the spread between the euro overnight rate and the key policy rate of the ECB. It is shown that the most important variables driving the level and the volatility of this spread are expectations about changes of the key policy rate and the projected...

Persistent link: https://www.econbiz.de/10009639860

Time variation in U.S. wage dynamics

Hofmann, Boris; Peersman, Gert; Straub, Roland - 2010

This paper explores time variation in the dynamic effects of technology shocks on U.S. output, prices, interest rates as well as real and nominal wages. The results indicate considerable time variation in U.S. wage dynamics that can be linked to the monetary policy regime. Before and after the...

Persistent link: https://www.econbiz.de/10009640310

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