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Time-varying identification of monetary policy shocks

Camehl, Annika; Woźniak, Tomasz - 2023

six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …

Persistent link: https://www.econbiz.de/10014422351

Impulse response estimation via flexible local projections

Mumtaz, Haroon; Piffer, Michele - 2022

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive …

Persistent link: https://www.econbiz.de/10013291067

The Effects of Structural Shocks on Macroeconomic Fundamentals under Aggressive Monetary Policy : The Case of Turkey

Gungor, Mahmut Sami; Güloğlu, Bülent - 2021

prior distribution of structural parameters and shock processes are determined according to the literature. Then, we … consistent with theoretical framework of the new Keynesian synthesis. Besides, the historical shock decompositions of endogenous … monetary policy increases the effects of monetary policy shock on inflation while its impact on output gap and interest rate …

Persistent link: https://www.econbiz.de/10013218037

Interaction of monetary and fiscal policies in Turkey

Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203

This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to...

Persistent link: https://www.econbiz.de/10012429632

Kuntze, Visa; Lanne, Markku; Nyberg, Henri - 2022

We develop a similarity-based structural vector autoregressive (SVAR) model using the similar clusters of data relevant for the prevailing initial macroeconomic conditions of interest. Our computationally attractive simple approach enables us to uncover time-varying effects of structural...

Persistent link: https://www.econbiz.de/10014083015

Macroeconomic effects of tariffs shocks : the role of the effective lower bound and the labour market

Jacquinot, Pascal; Lozej, Matija; Pisani, Massimiliano - 2020

We simulate a version of the EAGLE, a New Keynesian multi-country model of the world economy, to assess the macroeconomic effects of US tariffs imposed on one country member of the euro area (EA), and the rest of the world (RW). The model is augmented with an endogenous effective lower bound...