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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
for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …
Persistent link: https://www.econbiz.de/10011584357
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Monetary policy, external instruments and heteroskedasticity
Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10011880710
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Monetary policy, external instruments and heteroskedasticity
Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019
We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing both the relevance and exogeneity condition...
Persistent link: https://www.econbiz.de/10012041145
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Interaction of monetary and fiscal policies in Turkey
Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203
This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to...
Persistent link: https://www.econbiz.de/10012429632
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Turkish Monetary Policy and Components of Aggregate Demand : A VAR Analysis with Sign Restrictions Model
Berument, Hakan - 2018
restrictions on the impulse responses of main macroeconomic variables to identify monetary shock. This study finds that …
Persistent link: https://www.econbiz.de/10012915160
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Narrative Sign Restrictions for Svars
Antolin-Diaz, Juan - 2017
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...
Persistent link: https://www.econbiz.de/10012966953
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Identifying Monetary Policy Shocks in Japan
Shioji, Etsuro - 1997
It is sometimes argued that the central banks influence the private economy in the short run through controlling a specific component of high powered money, not its total amount. Using a structural VAR approach, this paper evaluates this claim empirically, in the context of the Japanese economy....
Persistent link: https://www.econbiz.de/10014097706
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(Almost) recursive identification of monetary policy shocks with economic parameter restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …
Persistent link: https://www.econbiz.de/10013494039
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first … stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy …
Persistent link: https://www.econbiz.de/10014422351
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(Almost) recursive identification of monetary policy shocks with economic parameter restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023 - First Draft: January 9, 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme. …
Persistent link: https://www.econbiz.de/10013484715