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parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …
Persistent link: https://www.econbiz.de/10011771740
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10003226093
limit the adverse effects of excess capital flow volatility on the macroeconomic and financial stability of Turkey. In this … paper, we study the effectiveness of ROM on the volatility of Turkish Lira, and to the best of our knowledge, it is the … decreasing the volatility of Turkish lira in the sample period …
Persistent link: https://www.econbiz.de/10013085547
Persistent link: https://www.econbiz.de/10014247352
We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit root test robust to nonlinearities, error distributions, structural breaks and outliers, many of them typical features of inflation data, and a test for multiple changes in...
Persistent link: https://www.econbiz.de/10003821061
In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the...
Persistent link: https://www.econbiz.de/10011630098
VAR studies of the effects of monetary policy on output suggest that a contractionary impulse results in a drawn-out, hump-shaped response of output. Standard structural economic models are generally not able to reproduce such a response. In this paper I look at nonfundamental representations...
Persistent link: https://www.econbiz.de/10013319940
Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy are markedly different when year-over-year...
Persistent link: https://www.econbiz.de/10014464407
Persistent link: https://www.econbiz.de/10009125662
This paper studies the network structure and fragmentation of the Argentine interbank market. Both the unsecured (CALL) and the secured (REPO) markets are examined. The aim of this study is to understand their actual fragmentation, as well as its potential implications for monetary policy and...
Persistent link: https://www.econbiz.de/10012802027