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Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

Narrative sign restrictions for SVARs

Antolín-Díaz, Juan; Rubio-Ramírez, Juan Francisco - 2016

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

Persistent link: https://www.econbiz.de/10011570683

A narrative approach to a fiscal DSGE model

Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837

Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...

Persistent link: https://www.econbiz.de/10012214069

Measuring monetary policy with residual sign restrictions at known shock dates

Badinger, Harald; Schiman, Stefan - 2020

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

Persistent link: https://www.econbiz.de/10012288003

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

Persistent link: https://www.econbiz.de/10011389786

Narrative Sign Restrictions for Svars

Antolin-Diaz, Juan - 2017

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

Persistent link: https://www.econbiz.de/10012966953

(Almost) recursive identification of monetary policy shocks with economic parameter restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …

Persistent link: https://www.econbiz.de/10013494039

Identifying US Monetary Policy Shocks Through Sign Restrictions in Dollarized Countries

Gobbi, Alessandro - 2011

Since dollarized countries import US monetary policy, identifying US monetary shocks through sign restrictions on US variables only, does not use all available information. In this paper, we therefore include dollarized countries, which enable us to restrict more variables and leave the...

Persistent link: https://www.econbiz.de/10013117809

Quantifying financial stability trade-offs for monetary policy : a quantile VAR approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014343148

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798