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Debt Dynamics and Monetary Policy: A Note

Laséen, Stefan; Strid, Ingvar - Sveriges Riksbank - 2013

"Leaning against the wind" – a tighter monetary policy than necessary for stabilizing inflation around the inflation …

Persistent link: https://www.econbiz.de/10010733867

A New Core Inflation Indicator for New Zealand

Giannone, Domenico; Matheson, Troy - C.E.P.R. Discussion Papers - 2007

This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and … core indicator with a wide range of other ‘core inflation’ measures estimated from disaggregate consumer prices, such as … the weighted median and the trimmed mean. The medium term inflation target of Reserve Bank of New Zealand is used as a …

Persistent link: https://www.econbiz.de/10005656226

Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - Department of Economics, Faculty of Economic and … - 2012

liberalization until the South African Reserve Bank (SARB) moved to the official inflation-targeting regime. The effect of house …

Persistent link: https://www.econbiz.de/10010552942

Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure

Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2011

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...

Persistent link: https://www.econbiz.de/10009323420

Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure

Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 58 (2012) 1, pp. 19-70

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for eight OECD countries in a six-variable structural vector autoregressive model (SVAR). A housing demand shock is identified through the recursive Choleski decompostion and,...

Persistent link: https://www.econbiz.de/10010639468

Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2012

This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

Persistent link: https://www.econbiz.de/10010658702

Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure

André, Christophe; Gupta, Rangan; Kanda, Patrick T. - Economics Department, Organisation de Coopération et … - 2012

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by...

Persistent link: https://www.econbiz.de/10011277019

The Link between Output, Inflation, Monetary Policy and Housing Price Dynamics

Demary, Markus - Volkswirtschaftliche Fakultät, … - 2009

This study analyses empirically the link between real house prices and key macro variables like prices, output and interest rates for ten OECD countries. We find out that a monetary policy shock lowers real house prices in all ten countries, where the interest rate shock explains between 12 and...

Persistent link: https://www.econbiz.de/10005034973

Are there Asymmetric Effects of Monetary Policy in India?

Khundrakpam, Jeevan Kumar - Volkswirtschaftliche Fakultät, … - 2013

to their increase, an unanticipated hike in policy rate has no impact on them. The impact on inflation is also symmetric … neutral to components of aggregate demand and, thus, on inflation, ranging from 6.25 per cent to 7.0 per cent. …

Persistent link: https://www.econbiz.de/10011107770

Relative price effects of monetary policy shock in Malaysia: a svar study

Abdul Karim, Zulkefly; Zaidi, Mohd Azlan Shah; W.N.W, … - Volkswirtschaftliche Fakultät, … - 2011

Studies on Malaysia monetary policy mostly examine the effect of monetary policy change on output and inflation in … study on the effect of policy change on disaggregated inflation. This paper attempts to examine the later issue by employing … index, we find that a modest monetary policy shock results in varying degree of responses in disaggregated inflation. In …

Persistent link: https://www.econbiz.de/10011110651