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What drives the German TARGET balances? : evidence from a BVAR approach

Bettendorf, Timo; Jochem, Axel - 2021

Applying a BVAR model, the present paper first identifies the possible drivers of Germany's TARGET claims. In this context, in terms of potential causes, a distinction is made between a rise in the global risk assessment, tensions within the euro area, and European monetary policy. It becomes...

Persistent link: https://www.econbiz.de/10012510162

Does U.S. monetary policy respond to macroeconomic uncertainty?

Gomez, Thomas; Piccillo, Giulia - 2023

We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a real-time, Bayesian estimation of a small monetary VAR...

Persistent link: https://www.econbiz.de/10014265941

A narrative approach to a fiscal DSGE model

Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837

Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...

Persistent link: https://www.econbiz.de/10012214069

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

Barnett, Alina; Mumtaz, Haroon; Theodoridis, Konstantinos - 2012

Persistent link: https://www.econbiz.de/10009559829

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

Supply shocks and the persistence of inflation

Sommer, Martin - 2002

This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …

Persistent link: https://www.econbiz.de/10010293489

Monetary Policy Regime Shifts and Inflation Persistence

Davig, Troy - 2013

persistence of inflation. We show that the population moment describing the serial correlation of inflation is a weighted average … weight over these serial correlation parameters and affect the serial correlation properties of inflation. Estimation results … indicate that a shift to a monetary regime that reacts more aggressively to inflation reduces the weight on the more persistent …

Persistent link: https://www.econbiz.de/10012710823

On the dynamic effects of the cross-section distribution of sectoral price changes in China

Gu, Biao; Fu, Liying; Yu, Kehuan - In: International studies of economics 18 (2023) 4, pp. 468-501

frequency vector autoregression (VAR). It shows that potential causalities for inflation, relative price variability, relative …

Persistent link: https://www.econbiz.de/10014465997

Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

Chan, Joshua C. C. - 2015

We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators are based on the integrated likelihood, which are...

Persistent link: https://www.econbiz.de/10013017876

Non-Stationary Hours in a DSGE Model

Chang, Yongsung - 2019

The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can close the gap between DSGE models and vector autoregressions. This paper modifies a simple...

Persistent link: https://www.econbiz.de/10012706231