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Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive 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....

Persistent link: https://www.econbiz.de/10003950614

The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics

Christoffel, Kai (contributor); Linzert, Tobias (contributor) - 2005

cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation …

Persistent link: https://www.econbiz.de/10003227218

The importance of global shocks for national policymakers : rising challenges for central banks

Belke, Ansgar; Rees, Andreas - 2009

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

Persistent link: https://www.econbiz.de/10003879570

Inflation during the pandemic: what happened? what is next?

Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska - 2021

We analyze the evolution and drivers of inflation during the pandemic and the likely trajectory of inflation in the near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR) model. We report three main results. First, the decline...

Persistent link: https://www.econbiz.de/10012584054

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...

Persistent link: https://www.econbiz.de/10012769978

A Bound Test Analysis of the Effects of Global Economic Shocks on Nigerian Economy : The Role of Fiscal and Monetary Policies (1960-2011)

Saibu, Olufemi - 2018

This study examines the effectiveness of both fiscal and monetary policies in mitigating external shocks on Nigerian economy. In addition, it determines which of the macroeconomic policy was more effective in mitigating the possible adverse effects of external shocks; The study uses annual data...

Persistent link: https://www.econbiz.de/10012925107

Financial Market Illiquidity Shocks and Macroeconomic Dynamics : Evidence from the UK

Ellington, Michael - 2018

We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market using a battery of illiquidity proxies. This paper...

Persistent link: https://www.econbiz.de/10012926466

News Shocks and the Effects of Monetary Policy

Zhang, Ren - 2019

-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …

Persistent link: https://www.econbiz.de/10012891083

The Dynamic Effects of Forward Guidance Shocks

Bundick, Brent - 2017

We examine the macroeconomic effects of forward guidance shocks at the zero lower bound. Empirically, we identify forward guidance shocks using unexpected changes in futures contracts around monetary policy announcements. We then embed these policy shocks into a standard vector autoregression to...

Persistent link: https://www.econbiz.de/10012970234

Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area

Pellegrino, Giovanni - 2017

This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative...

Persistent link: https://www.econbiz.de/10012954376