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

Monti, Francesca V. - 2003

VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken …

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

Inflation and relative price asymmetry

Ratfai, Attila - 2004

By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this …. 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

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 …. Here, we employ identification based on Choleski decomposition and a structural VAR, both of which lead to the same results …

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

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … economy VAR. Our results for Canada, Germany and UK indicate that the effects of exchange rate uncertainty are small …

Persistent link: https://www.econbiz.de/10009636551

Identifying fiscal shocks and policy regimes in OECD countries

Arcangelis, Giuseppe de; Lamartina, Serena - 2003

The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...

Persistent link: https://www.econbiz.de/10009635887

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - 2003

identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the …

Persistent link: https://www.econbiz.de/10009635894

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

Forecasting real GDP

Brand, Claus; Reimers, Hans-Eggert; Seitz, Franz - 2003

VAR models comprising real M1, GDP and other indicators, using as benchmark a simple univariate model. As a result, only …

Persistent link: https://www.econbiz.de/10009635922

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972