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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10010300360
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10003972695
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10003964379
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Changing dynamics at the zero lower bound
Bäurle, Gregor; Kaufmann, Daniel; Kaufmann, Sylvia; … - 2016
The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...
Persistent link: https://www.econbiz.de/10011440078
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Monetary Policy, Housing Booms and Financial (Im) Balances
Eickmeier, Sandra - 2015
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10013038915
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The Impact of US Monetary Policy and Other External Shocks on the Hong Kong Economy : A Factor-Augmented VAR Approach
Chen, Hongyi - 2016
This paper uses the factor-augmented VAR (FAVAR) framework to study the impact on the Hong Kong economy of the diverging monetary policies by the Fed, ECB and BoJ as well as the Mainland economy slowdown. The empirical results show that changes in US monetary policy mainly affect interest...
Persistent link: https://www.econbiz.de/10012988492
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Monetary Policy, Housing Booms and Financial (Im)Balances
Eickmeier, Sandra - 2016
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10012991093
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Effectiveness of Monetary Policy in Korea Due to Time Varying Monetary Policy Stance
Kim, Tae Bong - 2016
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...
Persistent link: https://www.econbiz.de/10012992623
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Monetary Policy Reaction Function in China : Evolution Through Economic and Institutional Changes
Macaire, Camille - 2018
This paper investigates the reaction function of the Chinese central bank, focusing on the variation in money supply as the main instrument for monetary policy. Monthly series are used for the 01/2000-12/2016 timeframe. Results show that the Chinese monetary policy displayed countercyclical...
Persistent link: https://www.econbiz.de/10012927579
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Under the same (Chole)sky : DNK models, timing restrictions and recursive identification of monetary policy shocks
Angelini, Giovanni; Sorge, Marco Maria - 2021
identification schemes based on short-run exclusion restrictions. We trace out the effects on impulse propagation of informational …-based nonfundamentalness, thereby hampering shock identification via VAR methods. This notwithstanding, restricted DNK models are shown to … empirically tenable parameterizations. This alleviates concerns about identification and lag truncation bias: low-order Cholesky …
Persistent link: https://www.econbiz.de/10013232333