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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
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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
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The Great Depression and the Friedman-Schwartz hypothesis
Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2004
simple and familiar one. The contraction phase was primarily a consequence of a shock that induced a shift away from … slowness of the recovery from the Depression was due to a shock that increased the market power of workers. We identify a …
Persistent link: https://www.econbiz.de/10009636549
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10009635914
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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
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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
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Bayesian prior elicitation in DSGE models
Lombardi, Marco J.; Nicoletti, Giulio - 2011
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally …
Persistent link: https://www.econbiz.de/10009640615
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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
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Towards a robust monetary policy rule for the euro area
Blattner, Tobias S.; Margaritov, Emil - 2010
Estimations of simple monetary policy rules are often very rigid. Standard practice requires that a decision is made as to which indicators the central bank is assumed to respond to, ignoring the data-rich environment in which policy-makers typically form their decisions. However, the choice of...
Persistent link: https://www.econbiz.de/10009640330
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Gauging the effectiveness of quantitative forward guidance
Andersson, Magnus; Hofmann, Boris - 2009
This paper conducts a comparative analysis of the performances of the forward guidance strategies adopted by the Reserve Bank of New Zealand, the Norges Bank and the Riksbank, with the aim to gauge whether forward guidance via publication of an own interest rate path enhances a central bank’s...
Persistent link: https://www.econbiz.de/10009640489