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Drifts and volatilities : monetary policies and outcomes in the post WWII US
Cogley, Timothy; Sargent, Thomas J. - 2003
Persistent link: https://www.econbiz.de/10001810899
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Discussion of Cogley and Sargent's "Drifts and volatilities: monetary policies and outcomes in the post WWII US"
Del Negro, Marco - 2003
Persistent link: https://www.econbiz.de/10001810901
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Discussion of Cogley and Sargent's 'Drifts and Volatilities : Monetary Policy and Outcomes in the Post WWII U.S.'
Del Negro, Marco - 2015
Cogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables — inflation, unemployment, and the nominal interest rate — and...
Persistent link: https://www.econbiz.de/10013032855
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Drifts and Volatilities : Monetary Policies and Outcomes in the Post WWII U.S
Cogley, Timothy - 2015
posteriors imply substantial variation of all of these objects for post WWII U.S. data. After adjusting for changes in volatility …
Persistent link: https://www.econbiz.de/10013032849
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Modelling inflation volatility
Eisenstat, Eric; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10011341971
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Modelling inflation volatility
Eisenstat, Eric; Strachan, Rodney W. - 2014
Persistent link: https://www.econbiz.de/10010348813
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Modelling inflation volatility
Eisenstat, Eric; Strachan, Rodney W. - In: Journal of applied econometrics 31 (2016) 5, pp. 805-820
Persistent link: https://www.econbiz.de/10011645234
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US post-war monetary policy : what caused the great moderation
Minford, Patrick; Ou, Zhirong - 2010
Persistent link: https://www.econbiz.de/10008780537
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Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611
Persistent link: https://www.econbiz.de/10011612106
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Drifts, volatilities, and impulse responses over the last century
Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2014
than you think.", respectively. We use vector autoregression with time-varying parameters and stochastic volatility to …
Persistent link: https://www.econbiz.de/10010489284