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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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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/10012252866
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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/10012287816
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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/10010427086
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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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Debt Dynamics and Monetary Policy: A Note
Laséen, Stefan; Strid, Ingvar - Sveriges Riksbank - 2013
"Leaning against the wind" – a tighter monetary policy than necessary for stabilizing inflation around the inflation …
Persistent link: https://www.econbiz.de/10010733867
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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