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On the periodicity of inventories
Shibayama, Katsuyuki (contributor) - 2008
This article studies inventories and monetary policy by estimating VAR models. The complex roots detected in our … production and inventories follow damped oscillations (stable sine curves), implying that a boom is the seed of the following … inventories, while booms after positive supply shocks are short-lived as the initial accumulation of inventories suppresses …
Persistent link: https://www.econbiz.de/10003746671
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What drives inventory accumulation? : news on rates of return and marginal costs
Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2019
inventories react strongly and positively to news about future increases in total factor productivity. Theory suggests that the … transmission channel of news shocks to inventories works through movements in marginal costs, through movements in sales, or …
Persistent link: https://www.econbiz.de/10012119865
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Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions
Mandler, Martin - 2010
This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent....
Persistent link: https://www.econbiz.de/10003950614
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One Nation Under the Fed? The Asymmetric Effects of U.S. Monetary Policy and Its Implications for the United States as an Optimal Currency Area
Beckworth, David - 2009
Is the United States best served by a single currency? This question is explored in this paper by looking at the regional effects of U.S. monetary policy shocks through the perspective of the Optimal Currency Area framework. Using monthly state-level data for the period 1983:1 to 2008:3, this...
Persistent link: https://www.econbiz.de/10013157740
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Monetary policy, external instruments and heteroskedasticity
Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019
We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing both the relevance and exogeneity condition...
Persistent link: https://www.econbiz.de/10012041145
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Monetary Policy Transmission in Italy : A BVAR Analysis with Sign Restriction
Migliardo, Carlo - 2010
In this paper, we propose a Bayesian VAR model to examine the short term effects of monetary policy shocks on the Italian economy. Firstly, our BVAR model uses the Cholesky decomposition to identify four kinds of macroeconomic shocks, namely, supply, demand, interest rate and monetary shocks....
Persistent link: https://www.econbiz.de/10014193619
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Monetary policy shocks for Sweden
Kilman, Josefin - 2022
This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output,...
Persistent link: https://www.econbiz.de/10013375212
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Monetary policy, external instruments, and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 161-200
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition...
Persistent link: https://www.econbiz.de/10014308528
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Monetary policy, external instruments and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - 2021 - This version: June 18, 2021
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition...
Persistent link: https://www.econbiz.de/10012545191
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Monetary policy, external instruments and heteroskedasticity
Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10011880710