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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

Signaling effects of monetary policy

Melosi, Leonardo - 2016

We develop a dynamic general equilibrium model in which the policy rate signals the central bank's view about macroeconomic developments to price setters. The model is estimated with likelihood methods on a U.S. data set that includes the Survey of Professional Forecasters as a measure of price...

Persistent link: https://www.econbiz.de/10011559878

Interaction of monetary and fiscal policies in Turkey

Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203

This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to...

Persistent link: https://www.econbiz.de/10012429632

Unconventional monetary policy in a small open economy

MacDonald, Margaux; Popiel, Michal Ksawery - 2016

This paper investigates the effects of unconventional monetary policy in Canada. We use recently proposed methods to construct a shadow interest rate that captures monetary policy at the zero lower bound (ZLB) and estimate a small open economy Bayesian structural vector autoregressive (B-SVAR)...

Persistent link: https://www.econbiz.de/10011531930

Causal inference by independent component analysis with applications to micro- and macroeconomic data

Moneta, Alessio; Entner, Doris; Hoyer, Patrik; Coad, … - 2010

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

Persistent link: https://www.econbiz.de/10003966642

The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model

Kerssenfischer, Mark - 2021

Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...

Persistent link: https://www.econbiz.de/10013315462

Interest rate uncertainty and macroeconomics in Turkey

Güney, Pelin Öge - In: Prague economic papers : a bimonthly journal of … 32 (2023) 2, pp. 184-204

uncertainties, uncertainty related to the monetary policy of the USA may have an impact on other economies. In this study, we …Uncertainty about monetary policy associated with uncertainty in interest rate is an important determinant of economic … conducted the Granger causality test to analyse the causality. We examined the impact of US monetary policy uncertainty on the …

Persistent link: https://www.econbiz.de/10014516194

Uncertainty spill-overs : when policy and financial realms overlap

Bacchiocchi, Emanuele; Dragomirescu-Gaina, Catalin - 2022 - This draft: July 2022

No matter its source, financial- or policy-related, uncertainty can feed onto itself, concealing its true origin and … disentangle among various types of uncertainty shocks, by generalising an identification approach based on magnitude restrictions …-specific uncertainty shocks, with financial realm being a more important source than the policy realm. By leveraging on the flexibility of …

Persistent link: https://www.econbiz.de/10013373244

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

The macroeconomic effects of forward communication

Brubakk, Leif; Ellen, Saskia ter; Robstad, Ørjan; Xu, Hong - 2019

This paper provides an empirical assessment of the power of forward guidance at different horizons, shedding new light on the strength of the "forward guidance puzzle". Our identification strategy allows us to disentangle the change in future interest rates stemming from deviations from the...

Persistent link: https://www.econbiz.de/10012214409

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