This paper estimates a nonlinear Interacted-VAR model to investigate whether the effectiveness of monetary policy shocks in the Euro area is influenced by the level of European uncertainty. Generalized Impulse Response Functions à la Koop et al. (1996) suggest that the peak and cumulative...

The large recession that followed the Global Financial Crisis of 2008-09 triggered unprecedented monetary policy easing around the world. Most central banks in advanced economies deployed new instruments to affect credit conditions and to provide liquidity at a large scale after short term...

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...

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

After the Global Financial Crisis, the role of uncertainty in driving optimal responses of consumers, firms and policymakers has garnered a renewed focus. In the face of uncertainty, economic agents awaiting information and clarity on future outcomes, may delay their economic decisions. Monetary...

This paper estimates a Structural Dynamic Factor Model on a panel of 102 US quarterly series. We model economic comovements by means of five underlying structural shocks (oil price, productivity, aggregate demand, monetary policy, and housing demand). The results of the benchmark model (impulse...

This paper studies the role of the Federal Reserve's policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a Structural Dynamic Factor model on a panel of 109 US quarterly variables from 1982 to 2010, we find that, although the Federal Reserve's...

This paper empirically assesses the pros and cons that emanates when the discretionary monetary policy maker aims to achieve the dual objectives of inflation and output. In order to facilitate theoretically plausible empirical analysis a typical case of a discretionary monetary policy s of a...

"Leaning against the wind" - a tighter monetary policy than necessary for stabilizing inflation around the inflation target and unemployment around a long-run sustainable rate - has been justified as a way of reducing household indebtedness. In a recent paper Lars Svensson claims that this...

The purpose of this paper is to present an approach with regard to the dynamic process of the general equilibrium during the business cycle fluctuations following monetary and fiscal interventions, which, I think, could contribute to bridging the differences between the different schools of...