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Regime switching, learning, and the great moderation
Murray, James (contributor) - 2008
Persistent link: https://www.econbiz.de/10003738437
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Predicting Markov volatility switches using monetary policy variables
Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 95 (2007) 1, pp. 110-116
Persistent link: https://www.econbiz.de/10003448218
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Monetary policy, output composition, and the great moderation
Mojon, Benoît (contributor) - 2007
"This paper shows how US monetary policy contributed to the drop in the volatility of US output fluctuations and to the ….e. changes in the size of monetary policy shocks, affect both the correlation between output components and their volatility. A … regime of high volatility in monetary policy shocks, that spanned from 1970 to 1975 and from 1979 to 1984 is characterized by …
Persistent link: https://www.econbiz.de/10003497260
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Is the great moderation ending? : UK and U.S. evidence
Canarella, Giorgio; Fang, Wen-shwo; Miller, Stephen M.; … - In: Modern economy 1 (2010) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10009306010
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Financial crisis, monetary policy, and stock market volatility in China
Zhang, Cheng-si; Zhang, Da-yin; Breece, Jeffery - In: Annals of economics and finance 12 (2011) 2, pp. 371-388
Persistent link: https://www.econbiz.de/10009425012
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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. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196
Persistent link: https://www.econbiz.de/10011378505
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? : evidence from a Markov-switching vector autoregressive model
Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - In: Economic modelling 32 (2013), pp. 161-171
Persistent link: https://www.econbiz.de/10009760669
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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - In: Monetary and economic studies 29 (2011), pp. 107-142
Persistent link: https://www.econbiz.de/10009385289
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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - 2011
Persistent link: https://www.econbiz.de/10008937530