Similar Search Results

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10011771740

One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory

Estrella, Arturo (contributor); … - 2005

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

Reserve Options Mechanism and FX Volatility

Oduncu, Arif - 2013

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

Has international CPI inflation comovement strengthened since the global financial crisis?

Sin, In-sŏk; Kang, Kyu Ho - In: Macroeconomic dynamics 27 (2023) 1, pp. 111-140

Persistent link: https://www.econbiz.de/10014247352

On the dynamics of inflation persistence around the world

Noriega-Muro, Antonio E.; Ramos-Francia, Manuel - 2009

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

Same, but different : testing monetary policy shock measures

Ettmeier, Stephanie; Kriwoluzky, Alexander - Leibniz-Institut für Wirtschaftsforschung Halle - 2017

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

Monetary Policy Shocks - a Nonfundamental Look at the Data

Klaeffing, Matt - 2021

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

Monetary policy across inflation regimes

Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina - 2024

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

Bubbles in exchange rates and monetary policy

Alexandre, Fernando; Bac̜ão, Pedro; Driffill, John - In: Scottish journal of political economy : the journal of … 58 (2011) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10009125662

Network structure and fragmentation of the Argentinean interbank markets

Elosegui, Pedro; Forte, Federico D.; Montes-Rojas, Gabriel - 2021

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