Narrow search
Showing 1 - 10 of 14,819
Cover Image
Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent....
Persistent link: https://www.econbiz.de/10003950614
Cover Image
A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy
Huber, Florian - 2017
This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a...
Persistent link: https://www.econbiz.de/10012965652
Cover Image
Real Effects of Quantitative Easing at the Zero-Lower Bound : Structural VAR-Based Evidence from Japan
Schenkelberg, Heike - 2013
Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative...
Persistent link: https://www.econbiz.de/10013092811
Cover Image
Real effects of quantitative easing at the zero-lower bound : structural VAR-based evidence from Japan
Schenkelberg, Heike; Watzka, Sebastian - 2011
Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative...
Persistent link: https://www.econbiz.de/10009130244
Cover Image
Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we …) and their beliefs may be influenced by their perceptions about future uncertainty. We estimate the behavioral model using … fluctuations. Shifts in perceived uncertainty can also affect real activity and inflation through a confidence channel, as they …
Persistent link: https://www.econbiz.de/10012294890
Cover Image
The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary …
Persistent link: https://www.econbiz.de/10011443536
Cover Image
The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we … time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial …
Persistent link: https://www.econbiz.de/10010472799
Cover Image
The changing transmission of uncertainty shocks in the U.S.
Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 239-252
Persistent link: https://www.econbiz.de/10011894695
Cover Image
The Costs of Macroprudential Deleveraging in a Liquidity Trap
Chen, Jiaqian - 2020
We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...
Persistent link: https://www.econbiz.de/10012828224
Cover Image
Economic policy uncertainty and unemployment in the United States : a nonlinear approach
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
increase in economic policy uncertainty on unemployment in recessions and expansions. We find the response of unemployment to …
Persistent link: https://www.econbiz.de/10011864417