This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high...

This paper has studied the monetary policy in Korea with a time varying VAR model using four key macroeconomic variables. First, inclusion of the exchange rate was a crucial factor in evaluating Korean monetary policy since the monetary policy demonstrated sensitivity to exchange rate movements...

This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high...

This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...

This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...

We investigate regime-dependent Granger causality between real output, inflation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and...

We derive a 2nd-order approximation of optimal policy in a broad class of nonlinear DSGE models. Using a cubic expansion of welfare and a quadratic expansion of the economyís equilibrium conditions, the Quadratic-Cubic (QC) approximation relaxes symmetry in the objective function and certainty...

We investigate regime-dependent Granger causality between real output, inflation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and...

We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...

One explanation for the counter-cyclical boom in real estate is that real estate sector absorbs over-issued money. In China, local government officials have promoted the boom in the real estate sector by increasing government debt to indirectly finance economic growth, which we call the monetary...