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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials
Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016
This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....
Persistent link: https://www.econbiz.de/10011414128
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Unemployment and inflation regimes
Vredin, Anders; Warne, Anders - 2000
In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated with high or low unemployment volatility. We find that...
Persistent link: https://www.econbiz.de/10011584800
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On the construction of two-country cointegrated VAR models with an application to the UK and US
Heinlein, Reinhold; Krolzig, Hans-Martin - 2012
the approach by Aoki (1981) frequently used in economic theory. Aoki showed that for a system of linear differential …. Symmetry is rejected for the short-run, thus for the given cointegration vectors the final modelling stage is based on the full …, where the VAR based cointegration analysis is combined with a graph-theoretic search for instantaneous causal relations and …
Persistent link: https://www.econbiz.de/10009672516
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UK macroeconomic volatility and the welfare costs of inflation
Polito, Vito; Spencer, Peter - 2011
This paper explores the implications of time varying volatility for optimal monetary policy and the measurement of welfare costs. We show how macro-economic models with linear and quadratic state dependence in their variance structure can be used for the analysis of optimal policy within the...
Persistent link: https://www.econbiz.de/10010288810
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Vector autoregression analysis and the great moderation
Benati, Luca (contributor); Surico, Paolo (contributor) - 2007
Most analyses of the U.S. Great Moderation have been based on VAR methods, and have consistently pointed toward good luck as the main explanation for the greater macroeconomic stability of recent years. Using data generated by a New-Keynesian model in which the only source of change is the move...
Persistent link: https://www.econbiz.de/10003563240
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619595
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619627
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Identifying a forward-looking monetary policy in an open economy
Bhuiyan, Rokon - 2009
I identify a forward-looking monetary policy function in a structural VAR model by using forecasts of macroeconomic variables, in addition to the realized variables used in a standard VAR. Both impulse responses and variance decompositions of the monetary policy variable of this...
Persistent link: https://www.econbiz.de/10003919312
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The Dynamic Impact of Monetary Policy on Regional Housing Prices in the US : Evidence Based on Factor-augmented Vector Autoregressions
Fischer, Manfred M. - 2018
In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model...
Persistent link: https://www.econbiz.de/10012927423
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Estimating the Effects of Fiscal Policy in OECD Countries
Perotti, Roberto - 2021
This paper studies the effects of fiscal policy on GDP, prices and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its mains results can be summarized as follows; 1) The effects of fiscal policy on GDP and its components have become substantially weaker in...
Persistent link: https://www.econbiz.de/10013320219