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The effects of monetary policy shocks across the Greek regions

Anagnostou, Ageliki; Papadamou, Stephanos - 2012

. By using an unrestricted VAR model and the impulse response analysis our results show that an interest rate shock affects …

Persistent link: https://www.econbiz.de/10011515015

Interdependence between monetary policy and stock liquidity : a panel VAR approach

Debata, Byomakesh; Mahakud, Jitendra - In: Margin: the journal of applied economic research 12 (2018) 4, pp. 387-413

Persistent link: https://www.econbiz.de/10011956511

Identifying shocks via time-varying volatility

Lewis, Daniel J. - 2018

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …

Persistent link: https://www.econbiz.de/10011926201

Monetary, real shocks and exchange rate variations in India

Maitra, Biswajit - In: Journal of economic development 41 (2016) 1, pp. 81-103

Persistent link: https://www.econbiz.de/10011458340

A unifed measure of Fed monetary policy shocks

Bu, Chunya; Rogers, John H.; Wu, Wenbin - 2019

approach, combined with Fama-MacBeth style cross-section regressions, to identify a US monetary policy shock series that … traditional theory. We find that shocks to series that are devoid of (embody) the information effect display conventionally …

Persistent link: https://www.econbiz.de/10012181228

The side effects of safe asset creation

Acharya, Sushant; Dogra, Keshav - 2018

We present an incomplete markets model to understand the costs and benefits of increasing government debt in a low interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero, constraining monetary policy at the zero lower bound,...

Persistent link: https://www.econbiz.de/10011806268

Assessing the impact of demand shocks on the US term premium

Barnett, Russell; Zmitrowicz, Konrad - 2018

During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...

Persistent link: https://www.econbiz.de/10011873794

International Spillovers of Forward Guidance Shocks

Jones, Callum - 2020

forward guidance shock decreases Canadian output by about 0.2% to 0.4% on impact. The effect of US forward guidance shocks on … Canadian output, unlike conventional policy shocks, depends crucially on the state of the US risk premium shock. The estimated …

Persistent link: https://www.econbiz.de/10012826597

Chapter 25. The Staying Power of Staggered Wage and Price Setting Models in Macroeconomics

Taylor, J.B. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 2009-2042). 2016

After many years, many critiques, and many variations, the staggered wage and price setting model is still the most common method of incorporating nominal rigidities into empirical macroeconomic models used for policy analysis. The aim of this chapter is to examine and reassess the staggered...

Persistent link: https://www.econbiz.de/10014024272

Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali K. - 2013

.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …

Persistent link: https://www.econbiz.de/10013075805