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Infinite-variance, alpha-stable shocks in monetary SVAR : final working-paper version
Hannsgen, Greg - 2011
This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting … empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given …
Persistent link: https://www.econbiz.de/10009269228
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Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR : Final Working Paper Version
Hannsgen, Greg - 2012
This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting … empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given …
Persistent link: https://www.econbiz.de/10013114143
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Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR
Hannsgen, Greg - 2010
The process of constructing impulse-response functions (IRFs) and forecast-error variance decompositions (FEVDs) for a structural vector autoregression (SVAR) usually involves a factorization of an estimate of the error-term variance-covariance matrix V. Examining residuals from a monetary VAR,...
Persistent link: https://www.econbiz.de/10013143550
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Monetary policy communication shocks and the macroeconomy
Goodhead, Robert; Kolb, Benedikt - 2018
Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...
Persistent link: https://www.econbiz.de/10011938122
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An alternative explanation of the price puzzle
Giordani, Paolo - 2001
policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and …
Persistent link: https://www.econbiz.de/10011585346
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Forward guidance matters : disentangling monetary policy shocks
Ferreira, Leonardo Nogueira - 2020
Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...
Persistent link: https://www.econbiz.de/10012295693
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Precautionary liquidity shocks, excess reserves and business cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2020
This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …
Persistent link: https://www.econbiz.de/10012483779
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory …
Persistent link: https://www.econbiz.de/10012037315
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Measuring monetary policy with residual sign restrictions at known shock dates
Badinger, Harald; Schiman, Stefan - 2020
residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …
Persistent link: https://www.econbiz.de/10012288003
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Estimating the effect of monetary policy with dissenting votes as instrument
Vonnák, Balázs - 2021
In this paper a new instrument for monetary policy shocks is presented. Exogenous variation of the policy rate may come from frictions of collective decision-making. Dissenting votes indicate how far the final decision of the decision making body is from the mean of the members' individually...
Persistent link: https://www.econbiz.de/10012613627