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We study the ability of exclusion and sign restrictions to measure monetary policy shocks in small open economies. Our Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we propose to add prior information to limit the number of...
Persistent link: https://www.econbiz.de/10011337610
The paper focuses on analysis of monetary policy transmission mechanism in V4 countries and EMU12. The aim of analysis is to verify the reaction of endogenous variables in case of monetary policy shocks with an emphasis on transmission through interest rate channel and its impact on inflation,...
Persistent link: https://www.econbiz.de/10010747407
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10010311013
We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...
Persistent link: https://www.econbiz.de/10010957148
Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while...
Persistent link: https://www.econbiz.de/10013494039
We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...
Persistent link: https://www.econbiz.de/10009722854
We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...
Persistent link: https://www.econbiz.de/10011931106
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price...
Persistent link: https://www.econbiz.de/10011563120
We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank...
Persistent link: https://www.econbiz.de/10011779758
This paper analyses the effects of loan supply, as well as aggregate demand, aggregate supply and monetary policy shocks between 1998 and 2014 in Macedonia using a structural Vector Auto Regression with sign restrictions and Bayesian estimation. The main results indicate that loan supply shocks...
Persistent link: https://www.econbiz.de/10011623896