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State-dependent monetary policy regimes
Zakipour-Saber, Shayan - 2019
Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...
Persistent link: https://www.econbiz.de/10011975606
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Shifting preferences at the fed : evidence from rolling dynamic multipliers and impulse response analysis
Greenwood-Nimmo, Matthew; Shin, Yongcheol - 2010
estimation provides substantial evidence that the inflation and output preferences of the Fed have varied through time … attribute these mixed estimation results to a raft of empirical issues from which many existing studies suffer, including bias … the operation of a Taylor-type rule, albeit with considerable inertia. We argue that estimation across rolling windows may …
Persistent link: https://www.econbiz.de/10009306629
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The Great Moderation : inventories, shocks or monetary policy?
Förster, Marcel - 2013
into the determinants of business cycles before and during the Great Moderation. Via Bayesian estimation we determine the …
Persistent link: https://www.econbiz.de/10010208560
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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …
Persistent link: https://www.econbiz.de/10010433901
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Atypical behavior of credit : evidence from a monetary VAR
Afanasyeva, Elena - 2013 - First Version: September 30, 2011, this Version: April 14, 2013
Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical behavior of credit from a multivariate system - a monetary...
Persistent link: https://www.econbiz.de/10010400368
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Atypical behavior of credit : evidence from a monetary VAR
Afanasieva, Elena - 2012 - This Version: October 11, 2012
Great Recession 2007-2008 has revived interest to quantity aggregates (money and credit) and their role as indicators of financial instability for monetary and macroprudential policy. However, many of the previous empirical studies inspecting indicator properties used univariate methods and did...
Persistent link: https://www.econbiz.de/10009672374
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Time-Varying Persistence in US Inflation
Caporin, Massimiliano - 2014
The persistence property of inflation is an important issue for not only economists, but, especially for central banks, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further, not only is the level of inflation persistence that...
Persistent link: https://www.econbiz.de/10013045937
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Monetary Policy in Russia : Identifying Exchange Rate Shocks
Granville, Brigitte - 2013
Russian monetary policy has failed persistently to achieve sustained low inflation, both in absolute terms and relative to the peer group of countries similarly exiting from Soviet-style central planning. This paper explores the reasons for this state of affairs by analyzing the kind of monetary...
Persistent link: https://www.econbiz.de/10013075248
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Endogenous Monetary Policy Shifts and the Term Structure : Evidence from Japanese Government Bond Yields
Koeda, Junko - 2017
I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This application subjects the short-term interest rate to monetary regime shifts, such as a zero interest rate policy (ZIRP) and normal regimes, which depend on...
Persistent link: https://www.econbiz.de/10012974584
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Monetary Policy Rules in Emerging Countries : Is There an Augmented Nonlinear Taylor Rule?
Caporale, Guglielmo Maria - 2016
This paper examines the Taylor rule in five emerging economies, namely Indonesia, Israel, South Korea, Thailand, and Turkey. In particular, it investigates whether monetary policy in these countries can be more accurately described by (i) an augmented rule including the exchange rate, as well as...
Persistent link: https://www.econbiz.de/10012988545