Some past studies analyzed Spanish monetary policy with the standard VAR. Their problem is that this method obliges researchers to impose a certain extreme form of the short run policy rule on their models. Hence, it does not allow researchers to study the possibility of structural changes in...

This research uncovers a well-defined monetary policy regime starting in 1986 in the aggregate Euro Area. Both alternative solution-estimation methods employed - optimal control cum GMM, and dynamic programming cum FIML - identify a regime of strict inflation targeting with interest rate...

This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Starting from the theoretical observation that the identification problem of SVAR models is fundamentally a problem of variable aggregation, we propose a new identification method based on nowcasted macroeconomic data, i.e. on macroeconomic series reconstructed at high-frequency. The idea is...

We develop a similarity-based structural vector autoregressive (SVAR) model using the similar clusters of data relevant for the prevailing initial macroeconomic conditions of interest. Our computationally attractive simple approach enables us to uncover time-varying effects of structural...

Transmission mechanisms are the channels through which monetary policy affects macroeconomic variables, such as GDP and inflation. Differences in transmission mechanisms can generate asymmetric behaviour among currency union partners when they experience shocks. This has the potential to widen...

The essence of this study is to examine the impact of macroeconomic variables and some salient socio-economic and political variables on the manufacturing sub-sector of the Nigerian economy by using the autoregressive distributed lag to analyze data source from 1986 to 2019 within the context of...

The extent to which push and pull factors affect international capital flows is widely debated. We contribute to this strand of literature by estimating the relative importance of push and pull factors for portfolio flows over a time span, encompassing the global financial crisis, the European...

Moving average infinity (MA(∞)) processes play an important role in modeling time series data. While a strand of literature on time series analysis emphasizes the importance of modeling smooth changes over time and therefore is shifting its focus from parametric models to nonparametric ones,...

In a world with high international capital mobility and a well developed financial system, official sources of liquidity have come to interact with private ones and exacerbate them in various ways. Global cross-border credit, a measure which goes beyond liquidity provided by central banks to...