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Commodity price shocks and the business cycle : structural evidence for the US

Gubler, Matthias; Hertweck, Matthias S. - 2011 - This version: March 28, 2011

This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic...

Persistent link: https://www.econbiz.de/10009008065

Testing the new Keynesian Phillips curve

Bårdsen, Gunnar; Jansen, Eilev S.; Nymoen, Ragnar - 2002

The dynamic properties of the The New Keynesian Phillips curve (NPC) is analysed within the framework of a small system of linear di.erence equations.We evaluate the empirical results of existing studies which uses ‘Euroland’ and US data. The debate has been centered around the...

Persistent link: https://www.econbiz.de/10010284235

Global or Domestic? Which Shocks Drive Inflation in European Small Open Economies?

Halka, Aleksandra - 2016

selected European economies - the Czech Republic, Poland and Sweden - on the global shocks controlling for the domestic … determined by the cyclical movements of the domestic output gap with the commodity shock being also the important source of … inflation variability while for the third country the contribution of the commodity shock dominates over the output gap in …

Persistent link: https://www.econbiz.de/10012987483

Monetary Policy Regimes in Brazil

Lima, Elcyon C.R. - 2007

This article estimates the monetary policy rule followed by the Brazilian Central Bank for setting its main policy instrument, the SELIC rate, for the period after the Real Plan. In order to overcome the uncertainty over the dates at which changes in parameters occurred, this paper uses...

Persistent link: https://www.econbiz.de/10012730071

Estimating the FOMC’s Interest Rate Rule with Variable Selection and Partial Regime Switching

Check, Adam - 2019

identification of parameter change for each variable in the model. After performing Bayesian estimation of this model and allowing …

Persistent link: https://www.econbiz.de/10012864831

The Retail Bank Interest Rate Pass-Through : The Case of the Euro Area During the Financial and Sovereign Debt Crisis

Darracq Paries, Matthieu - 2014

This paper analyses the cross-country heterogeneity in retail bank lending rates in the euro area and presents newly developed pass-through models that account for the riskiness of borrowers, the balance sheet constraints of lenders and sovereign debt tensions affecting interest rate-setting...

Persistent link: https://www.econbiz.de/10013049210

Volatility in Equity Markets and Monetary Policy Rate Uncertainty

Kaminska, Iryna - 2018

Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses regression-based projections for realized variance to examine...

Persistent link: https://www.econbiz.de/10012925787

How Does Monetary Transmission Mechanism Impact Output, Inflation and Money Market Funds in Argentine?

Ledesma Padilla, Juan - 2010

responses of output, inflation, and money market mutual funds (MMMF) to a positive monetary shock. The idea of incorporating …

Persistent link: https://www.econbiz.de/10013147766

Monetary policy regimes in Brazil

Lima, Elcyon Caiado Rocha; Maka, Alexis; Mendonça, … - 2015

Persistent link: https://www.econbiz.de/10012053320

The empirical relevance of simple forward- and backward-looking models : a view from a dynamic general equilibrium model

Lindé, Jesper - 2001

Recent research have provided evidence that backward-looking models fit the data well while purely forward-looking models seem to be inconsistent with data. Consequently, many recent papers in the monetary policy rule literature have used hybrid models, which contain both backward- and...

Persistent link: https://www.econbiz.de/10011585015