We build a two-country version of the model in Gali & Monacelli (2005), which extends for a small open economy the new Keynesain DSGE model used as tool for monetary policy analysis in closed economies. A distinctive feature of the model is that the terms of trade enters directly into the new...

In this paper, we present different specifications of a structural vector autoregressive model (SVAR) that can be used to identify monetary policy operating regimes and monetary policy shocks in a small open economy. SVAR has the advantage of imposing a minimal set of theoretical restrictions on...

In this paper, we present different specifications of a structural vector autoregressive model (SVAR) that can be used to identify monetary policy operating regimes and monetary policy shocks in a small open economy. SVAR has the advantage of imposing a minimal set of theoretical restrictions on...

The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated negative term premia for 1980-2007 is decomposed...

Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...

Although there seems to be a broad consensus among economists that purely floating or completely fixed exchange rates (the so-called corner solutions) are the only viable alternatives of exchange rate management, many countries do not behave according to this paradigm and adopt a strategy within...

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy...

Long-term interest rates of small open economies correlate strongly with the US long-term rate. Can central banks in those countries decouple from the US? An estimated DSGE model for the UK (vis-`a-vis the US) establishes three structural empirical results. (1) Comovement arises due to nominal...