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Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions
Mandler, Martin - 2010
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. Generalized impulse response functions highlight important across …-regime differences in the responses of the economy to monetary policy and inflation shocks. Simulating both regimes with individual …
Persistent link: https://www.econbiz.de/10003950614
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Inventory Shocks and the Great Moderation
Morley, James - 2015
Why did the volatility of U.S. real GDP decline by more than the volatility of final sales with the Great Moderation in the mid-1980s? One explanation is that firms shifted their inventory behavior towards a greater emphasis on production smoothing. We investigate the role of inventories in the...
Persistent link: https://www.econbiz.de/10013036383
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Debt dynamics and monetary policy : a note
Laséen, Stefan; Strid, Ingvar - 2013
"Leaning against the wind" - a tighter monetary policy than necessary for stabilizing inflation around the inflation …
Persistent link: https://www.econbiz.de/10010227164
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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Monetary policy shocks in open economies and the inflation unemployment trade-off : the case of the Euro Area
Ribba, Antonio - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-12
, inflation and unemployment, we detect a wrong sign in the response of inflation to contractionary monetary policy shocks … 1999-2019, when the Federal Funds Rate and the Euro-Dollar exchange rate are added to the VAR model inflation shows … significant unemployment inflation trade-off emerges. These conclusions are confirmed by using industrial production instead of …
Persistent link: https://www.econbiz.de/10013168711
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Low inflation and monetary policy in the euro area
Conti, Antonio M.; Neri, Stefano; Nobili, Andrea - Task Force on Low Inflation (LIFT) - 2017
Inflation in the euro area has been falling since mid-2013, turned negative at the end of 2014 and remained below … by means of sign restrictions, to inflation and economic activity. Shocks to oil supply do not tell the full story about … contractionary. A country analysis confirms that the negative effects of oil supply and monetary policy shocks on inflation was …
Persistent link: https://www.econbiz.de/10011636807
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A small New Keynesian model to analyze business cycle dynamics in Poland and Romania
Nalban, Valeriu - In: Contemporary economics 9 (2015) 3, pp. 319-336
growth, the inflation rate and the nominal interest rate (means, standard deviations and cross-correlations) are close to … observed variables. Shock decompositions of the output and the inflation rate revealed the driving forces of the business …
Persistent link: https://www.econbiz.de/10011392289
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Great recession, slow recovery and muted fiscal policies in the US
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...
Persistent link: https://www.econbiz.de/10011434680
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In search of the Euro area fiscal stance
Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016
This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...
Persistent link: https://www.econbiz.de/10011529025