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Euro area monetary policy transmission in Estonia
Errit, Gertrud; Uusküla, Lenno - In: Baltic journal of economics 14 (2014) 1/2, pp. 55-77
variables between 2000 and 2012. Using a standard structural vector autoregression (SVAR) model we find strong and persistent …
Persistent link: https://www.econbiz.de/10011890463
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Monetary policy transmission : the case of Lithuania
Stakenas, Julius; Stasiukynaite, Rasa - In: Baltic journal of economics 17 (2017) 1, pp. 1-24
We study the effect of a (standard) monetary policy shock in the euro area on the Lithuanian economy. We employ a structural vector autoregressive model incorporating variables from both the euro area and Lithuania. The model exhibits a block exogenous structure to account for the fact that...
Persistent link: https://www.econbiz.de/10011890930
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Measuring the effects of monetary policy in the euro area : the role of anticipated policy
Gottschalk, Jan; Höppner, Florian - 2001 - This Version: August 2001
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building …
Persistent link: https://www.econbiz.de/10011538850
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Measuring the effects of monetary policy in the euro area : the role of anticipated policy
Gottschalk, Jan; Höppner, Florian - 2001
This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building …
Persistent link: https://www.econbiz.de/10011476356
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Low inflation and monetary policy in the euro area
Conti, Antonio M.; Neri, Stefano; Nobili, Andrea - Task Force on Low Inflation (LIFT) - 2017
Inflation in the euro area has been falling since mid-2013, turned negative at the end of 2014 and remained below target thereafter. This paper employs a Bayesian VAR to quantify the contribution of a set of structural shocks, identified by means of sign restrictions, to inflation and economic...
Persistent link: https://www.econbiz.de/10011636807
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A macroeconometric assessment of Minsky's Financial Instability Hpothesis
Greenwood-Nimmo, Matthew; Tarassow, Artur - 2013
The Financial Instability Hypothesis associated with Hyman Minsky has profound implications for the conduct of monetary policy in modern capitalist economies. At its core is the proposition that the central bank may contribute to the financial fragility of leveraged firms in its pursuit of...
Persistent link: https://www.econbiz.de/10010425830
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Policy and business cycle shocks : a structural factor model representation of the US economy
Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21
We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...
Persistent link: https://www.econbiz.de/10012626760
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Macroeconomic shocks and racial labour market differences in the U.S.
De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019
Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...
Persistent link: https://www.econbiz.de/10012157899
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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
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/10011636064
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A narrative approach to a fiscal DSGE model
Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837
based on narrative shocks. This paper asks whether both approaches agree. Specifically, I use narrative data in a DSGE‐SVAR …. In developing this narrative DSGE‐SVAR, I develop a tractable Bayesian approach to proxy VARs and show that such an … approach is valid for models with a certain class of Taylor rules. Estimating a DSGE‐SVAR based on a standard DSGE model with …
Persistent link: https://www.econbiz.de/10012214069