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

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

index of monetary conditions; dynamic forecasts of inflation; and the relation between inflation and the output gap …

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

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

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

Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and … short and long-term impact of an exchange rate shock on inflation along the distribution chain in the presence of … have showed that the accumulated PT on inflation of import prices rises from 20% in the first month of the exchange rate …

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

Drifts, volatilities, and impulse responses over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2014

How much have the dynamics of US time series and in the particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are "A lot." and "Probably less than you think.", respectively. We use vector...

Persistent link: https://www.econbiz.de/10010489284

Forecasting UK GDP growth and inflation under structural change : a comparison of models with time-varying parameters

Barnett, Alina; Mumtaz, Haroon; Theodoridis, Konstantinos - In: International journal of forecasting 30 (2013) 1, pp. 129-143

Persistent link: https://www.econbiz.de/10010247002

Impact of money supply in different states of inflation and economic growth in South Africa

Buthelezi, Eugene Msizi - In: Economies : open access journal 11 (2023) 2, pp. 1-22

This paper investigates the impact of the money supply in different states of inflation and economic growth in South … different states of inflation and economic growth. Moreover, the use of shock accounts for time-varying elasticity. It is found …, the money supply was insignificant. The money supply had a negative and a positive impact on inflation in states 1 and 2 …

Persistent link: https://www.econbiz.de/10014230763

Bayesian flexible local projections

Brugnolini, Luca; Catania, Leopoldo; Hansen, Pernille; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 435-462

Persistent link: https://www.econbiz.de/10014632013

Macroeconomic Modelling of Monetary Policy

Klaeffing, Matt - 2021

This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE...

Persistent link: https://www.econbiz.de/10013319719

Time-varying identification of monetary policy shocks

Camehl, Annika; Woźniak, Tomasz - 2023

regime, systematic monetary policy follows a Taylor rule extended by the term spread and is effective in curbing inflation … of the second regime, inflation would be over one percentage point higher on average after 2008. …

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

Real-time forecasting with a mixed-frequency VAR

Schorfheide, Frank; Song, Dongho - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 366-380

Persistent link: https://www.econbiz.de/10011390382

Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic

Schorfheide, Frank; Song, Dongho - 2020 - This version: July 6, 2020

Persistent link: https://www.econbiz.de/10012372901