Similar Search Results

Nonlinear pass-through of exchange rate shocks on inflation : a Bayesian smooth transition VAR approach

Rincón Castro, Hernán; Rodríguez-Niño, Norberto - 2016

short and long-term impact of an exchange rate shock on inflation along the distribution chain in the presence of … shock to a maximum of around 66% in the first year. The equivalent figures on the inflation of producer goods go from 13% to …

Persistent link: https://www.econbiz.de/10011554700

A VAR model for monetary policy analysis in a small open economy

Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

Persistent link: https://www.econbiz.de/10011584357

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012250452

Data Revisions and the Identification of Monetary Policy Shocks

Croushore, Dean Darrell; Evans, Charles - 2019

Monetary policy research using time series methods has been criticized for using more information than the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of...

Persistent link: https://www.econbiz.de/10014086926

Time-varying identification of monetary policy shocks

Camehl, Annika; Woźniak, Tomasz - 2023

six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …

Persistent link: https://www.econbiz.de/10014422351

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...

Persistent link: https://www.econbiz.de/10010361372

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; Netšunajev, Aleksei - 2014

Persistent link: https://www.econbiz.de/10010364697

Identifying shocks via time-varying volatility

Lewis, Daniel J. - 2018

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …

Persistent link: https://www.econbiz.de/10011926201

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011887655

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...

Persistent link: https://www.econbiz.de/10011810177