Similar Search Results

Impulse response analysis at the zero lower bound

Benati, Luca; Lubik, Thomas A. - 2023

We study whether the response of the economy to structural shocks changes at the zero lower bound. Monte Carlo evidence suggests that VARs have a limited ability to detect changes in impulse response functions at the ZLB compared to the standard environment with positive interest rates. This...

Persistent link: https://www.econbiz.de/10014307838

Exchange rate pass-through, monetary policy and real shocks : an empirical evaluation

Aguirre, Horacio A.; González Padilla, Héctor Gustavo - 2019 - This version: January 2019

that ERPT changes with the kind of shock and the monetary policy response to it. …

Persistent link: https://www.econbiz.de/10012020009

Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy

Miescu, Mirela S.; Mumtaz, Haroon - 2019

We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...

Persistent link: https://www.econbiz.de/10012121977

Real and nominal effects of monetary shocks under time-varying disagreement

Esady, Vania - 2019

This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...

Persistent link: https://www.econbiz.de/10012124866

Monetary policy and the relative price of durable goods

Cantelmo, Alessandro; Melina, Giovanni - 2015

In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...

Persistent link: https://www.econbiz.de/10010515460

Monetary policy shocks, expectations and information rigidities

Beckmann, Joscha; Czudaj, Robert - 2018

This paper contributes to the literature by assessing expectation effects from monetary policy for the G7 economies. We consider a sample period running from 1995M1 to 2016M6 based on a panel VAR framework, which accounts for international spillovers and time-variation. Relying on a broad set of...

Persistent link: https://www.econbiz.de/10011806725

Exchange rates and the information channel of monetary policy

Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2020

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …

Persistent link: https://www.econbiz.de/10012295246

Structural analysis with independent innovations

Herwartz, Helmut - 2014

Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative orderings of variables or, put differently,...

Persistent link: https://www.econbiz.de/10010355109

Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy

Hauzenberger, Niko; Pfarrhofer, Michael - 2019

Understanding disaggregate channels in the transmission of monetary policy to the real and financial sectors is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the propagation of shocks along...

Persistent link: https://www.econbiz.de/10012126211

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10011771740