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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...
Persistent link: https://www.econbiz.de/10011810177
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...
Persistent link: https://www.econbiz.de/10011887655
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Measuring monetary policy with residual sign restrictions at known shock dates
Badinger, Harald; Schiman, Stefan - 2020
We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area...
Persistent link: https://www.econbiz.de/10012288003
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Measuring monetary policy with residual sign restrictions at known shock dates
Schiman, Stefan; Badinger, Harald - 2020
We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area...
Persistent link: https://www.econbiz.de/10012292801
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Macroeconomic Volatility Trade-Off and Monetary Policy Regime in the Euro Area
Aguiar, Álvaro; Martins, Manuel M. F. - 2003
This research uncovers a well-defined monetary policy regime starting in 1986 in the aggregate Euro Area. Both alternative solution-estimation methods employed - optimal control cum GMM, and dynamic programming cum FIML - identify a regime of strict inflation targeting with interest rate...
Persistent link: https://www.econbiz.de/10014101172
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...
Persistent link: https://www.econbiz.de/10011346364
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On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
the approach by Aoki (1981) frequently used in economic theory. Aoki showed that for a system of linear differential …. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and …
Persistent link: https://www.econbiz.de/10009672516
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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10013317369
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Euro Area Monetary and Fiscal Policy Tracking Design in the Time-Frequency Domain
Crowley, Patrick M. - 2015
​This paper first applies the MODWT (Maximal Overlap Discrete Wavelet Transform) to Euro Area quarterly GDP data from 1995-2014 to obtain the underlying cyclical structure of the GDP components. We then design optimal fiscal and monetary policy within a large state-space LQ-tracking wavelet...
Persistent link: https://www.econbiz.de/10013017295
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Macroeconomic Adjustment and Heterogeneity in the Euro Area
Torój, Andrzej - 2011
We revisit the subject of country-level macroeconomic adjustment in the euro area in the absence of autonomous monetary and exchange rate policy. We discuss how the procyclical real interest rate mechanism and the competitiveness channel of adjustment interact with various aspects of...
Persistent link: https://www.econbiz.de/10013130702