We present evidence that the natural rate of interest is buffeted by both permanent and transitory shocks. We establish this result by estimating a benchmark model with Bayesian methods and loose priors on the unobserved drivers of the natural rate. When subject to transitory shocks, the median...

This study empirically investigates how shocks to monetary policy measures (short-term nominal interest rate and broad money supply) affect economic aggregates: output growth, price levels and nominal exchange rate. The study is carried out for Pakistan using quarterly data covering the period...

In this paper, we propose a latent threshold FAVAR model. The novelty is the interpretation of factors by observing how frequently factor loadings fall below estimated thresholds and become irrelevant. The results indicate that we are able to relate the factors to specific categories of the data...

We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...

Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...