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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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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011389786
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A CGE model of government policy evaluation : US case
Huang, Bwo-nung - In: Jingji-lunwen 18 (1990) 2, pp. 179-214
Persistent link: https://www.econbiz.de/10001109158
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Monetary and corporate sector aspects of inflation in Turkey, 1972:IQ - 1990:4Q
Murinde, Victor - In: International journal of development banking : IJDB 15 (1997) 1, pp. 63-74
Persistent link: https://www.econbiz.de/10001230019
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Estimating models for monetary policy analysis in emerging countries
Garcia-Cicco, Javier - 2010
Persistent link: https://www.econbiz.de/10008810276
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Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data
Kim, Chang-jin; Nelson, Charles R. - In: Journal of monetary economics 53 (2006) 8, pp. 1949-1966
Persistent link: https://www.econbiz.de/10003394388
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Bootstrapping structural VARs : avoiding a potential bias in confidence intervals for impulse response functions
Phillips, Kerk Layne; Spencer, David E. - In: Journal of macroeconomics 33 (2011) 4, pp. 582-594
Persistent link: https://www.econbiz.de/10009530453
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Die Erwartungstheorie der Zinsstruktur, Geldpolitik und zeitvariable Risikoprämien : eine empirische Analyse des Euro-DM-Geldmarktes
Wasmund, Jörn - 1999
Die umfangreiche empirische Literatur zur Gültigkeit der Erwartungstheorie der Zinsstruktur in den USA hat einen "U-förmigen" Verlauf des Informationsgehalts in längerfristigen Zinsen für zukünftige kurzfristige Zinsen nachgewiesen. Während Änderungen des Tagesgeldzinses in den nächsten...
Persistent link: https://www.econbiz.de/10011401950
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An investigation into the demand for broad money in South Africa
Simawu, Moreblessing; Mlambo, Courage; Murwirapachena, … - In: International business and economics research journal 13 (2014) 6, pp. 1419-1435
Persistent link: https://www.econbiz.de/10011280202
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Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
Canova, Fabio; Pérez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384
Persistent link: https://www.econbiz.de/10011343754