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Time-varying parameters in monetary policy rules : a GMM approach
Anderl, Christina; Caporale, Guglielmo Maria - 2023
This paper assesses time variation in monetary policy rules by applying a Time-Varying Parameter Generalised Methods of Moments (TVP-GMM) framework. Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries...
Persistent link: https://www.econbiz.de/10014284714
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Time-Varying Parameters in Monetary Policy Rules : A GMM Approach
Anderl, Christina; Caporale, Guglielmo Maria - 2023
This paper assesses time variation in monetary policy rules by applying a Time-Varying Parameter Generalised Methods of Moments (TVP-GMM) framework. Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries...
Persistent link: https://www.econbiz.de/10014348141
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The Euler equation around the world
Stracca, Livio - In: The B.E. journal of macroeconomics 17 (2017) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10011743292
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Credit risk, managerial behaviour and macroeconomic equilibrium within dual banking systems : interest-free vs. interest-based banking industries
Louhichi, Awatef; Boujelbene, Younes - In: Research in international business and finance 38 (2016), pp. 104-121
Persistent link: https://www.econbiz.de/10011640618
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Bank lending in Switzerland: capturing crosssectional heterogeneity and asymmetry over time
Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - 2020
We study the bank lending channel in Switzerland over three decades using unbalanced quarterly bank-individual data spanning 1987 to 2016. In contrast to the usual empirical approach, we take an agnostic stance on which bank characteristic drives the heterogenous lending response to interest...
Persistent link: https://www.econbiz.de/10012264674
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Exchange rate pass-through, monetary policy and real shocks : an empirical evaluation
Aguirre, Horacio A.; González Padilla, Héctor Gustavo - 2019 - This version: January 2019
We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed …
Persistent link: https://www.econbiz.de/10012020009
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Does central bank transparency and communication affect financial and macroeconomic forecasts?
Lustenberger, Thomas; Rossi, Enzo - 2018
In a large sample of countries across different geographic regions and over a long period of time, we find limited country- and variable-specific effects of central bank transparency on forecast accuracy and their dispersion among a large set of professional forecasts of financial and...
Persistent link: https://www.econbiz.de/10011790688
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
We propose a Bayesian infinite hidden Markov model to estimate time- varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture model,...
Persistent link: https://www.econbiz.de/10011569148
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Monetary policy and the current account : theory and evidence
Hjortsoe, Ida; Weale, Martin; Wieladek, Tomasz - 2016
. We test these theoretical predictions with a varying coefficient Bayesian panel VAR model, where the coefficients are … for 19 OECD countries. Our empirical results support the theory. We therefore conclude that following a monetary policy …
Persistent link: https://www.econbiz.de/10011436615
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A Vectorautoregressive Investment Model (VIM) and monetary policy transmission : panel evidence from German firms
Breitung, Jörg; Chirinko, Robert S.; Kalckreuth, Ulf von - 2003
investment spending as a VAR. Based on a panel of financial statement data for 6,408 German firms (44,345 datapoints … substantive conclusions, this paper demonstrate that the panel VAR approach is useful for modeling firm dynamics and real … Ergebnissen zeigt das Papier, dass der Panel VAR-Ansatz für die Modellierung der unternehmerischen Dynamik, der Interaktion von …
Persistent link: https://www.econbiz.de/10011432001