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Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
Gubler, Matthias; Hertweck, Matthias S. - 2011
This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic...
Persistent link: https://www.econbiz.de/10011390656
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Propagação assimétrica de choques monetários na economia brasileira: Evidências com base em um modelo vetorial não linear de transição suave
Cerqueira, Vinícius dos Santos; Ribeiro, Márcio Bruno; … - 2011
This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic...
Persistent link: https://www.econbiz.de/10010330562
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The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics
Christoffel, Kai; Linzert, Tobias - 2005
In this paper we incorporate a labor market with matching frictions and wage rigidities into the New Keynesian business cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions affect the transmission process of monetary policy. The...
Persistent link: https://www.econbiz.de/10010267287
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Unconventional U.S. monetary policy: New tools, same channels?
Feldkircher, Martin; Huber, Florian - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-31
In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread...
Persistent link: https://www.econbiz.de/10012611059
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Firm entry, inflation and the monetary transmission mechanism
Lewis, Vivien; Poilly, Céline - 2011
This paper estimates a business cycle model with endogenous firm entry by matching impulse responses to a monetary policy shock in US data. Our VAR includes net business formation, profits and markups. We evaluate two channels through which entry may influence the monetary transmission process....
Persistent link: https://www.econbiz.de/10011506731
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An interest rate peg might be better than you think
Hörmann, Markus; Schabert, Andreas - 2009
an interest rate peg, can be welfare enhancing: The minimum state variable solution and an autoregessive solution under a … peg can lead to lower welfare losses than the unique solution under an active interest rate rule. Given that a peg is … equilibrium determinacy. -- Interest rate rules ; welfare losses ; equilibrium determinacy ; fundamental solutions …
Persistent link: https://www.econbiz.de/10003850900
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The Republic of Korea’s economy in the swirl of global crisis
Cho, Dongchul - 2009
This paper argues that the Republic of Korea (hereafter Korea) is not immune to global crises, but that a more than proportional response of gross domestic product to global crises does not seem to be the general case either. Along this line of reasoning, the Korea’s extreme response to...
Persistent link: https://www.econbiz.de/10003904173
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Fear of liftoff : uncertainty, rules and discreation in monetary policy normalization
Orphanides, Athanasios - 2015
The Federal Reserve's muddled mandate to attain simultaneously the incompatible goals of maximum employment and price stability invites short-term-oriented discretionary policymaking inconsistent with the systematic approach needed for monetary policy to contribute best to the economy over time....
Persistent link: https://www.econbiz.de/10011327424
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Do house prices impact consumption and interest rate? : evidence from OECD countries using an agnostic identification procedure
André, Christophe; Gupta, Rangan; Kanda, Patrick T. - 2012
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by...
Persistent link: https://www.econbiz.de/10009690177
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Government spending shocks, sovereign risk and the exchange rate regime
Bonam, Dennis; Lukkezen, Jasper - 2013
Conventional wisdom teaches that the output response upon a fiscal expansion is higher under fixed than floating exchange rates for a small open economy. We analyse the effects of fiscal expansions using a New Keynesian model and find that this result reverses in times of sovereign default risk....
Persistent link: https://www.econbiz.de/10010227296