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Modest macroeconomic effects of monetary policy shocks during the great moderation : an alternative interpretation
Castelnuovo, Efrem - In: Journal of macroeconomics 47 (2016), pp. 300-314
Persistent link: https://www.econbiz.de/10011707647
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Monetary policy shocks and Cholesky VARs : an assessment for the Euro area
Castelnuovo, Efrem - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 383-414
Persistent link: https://www.econbiz.de/10011454273
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Under the same (Chole)sky : DNK models, timing restrictions and recursive identification of monetary policy shocks
Angelini, Giovanni; Sorge, Marco M. - 2021
-trivial moving average component of the equilibrium representation, making finite order VARs a poor approximation of true adjustment …-based nonfundamentalness, thereby hampering shock identification via VAR methods. This notwithstanding, restricted DNK models are shown to … empirically tenable parameterizations. This alleviates concerns about identification and lag truncation bias: low-order Cholesky-VARs …
Persistent link: https://www.econbiz.de/10012501242
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Under the same (Chole)sky : DNK models, timing restrictions and recursive identification of monetary policy shocks
Angelini, Giovanni; Sorge, Marco M. - In: Journal of economic dynamics & control 133 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10014535860
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What's up with the Phillips curve?
Del Negro, Marco; Lenza, Michele; Primiceri, Giorgio E.; … - 2020
Great Recession. In ation, in contrast, has gone quiescent. This paper studies the sources of this disconnect using VARs and …
Persistent link: https://www.econbiz.de/10012241237
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News, noise, and Indian business cycle
Goyal, Ashima; Kumar, Abhishek - In: Bulletin of economic research 74 (2022) 2, pp. 503-538
Persistent link: https://www.econbiz.de/10013188724
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Uncertainty-dependent effects of monetary policy shocks : a new Keynesian interpretation
Castelnuovo, Efrem; Pellegrino, Giovanni - 2017
milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …
Persistent link: https://www.econbiz.de/10011781355
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Uncertainty-dependent effects of monetary policy shocks : a new-Keynesian interpretation
Castelnuovo, Efrem; Pellegrino, Giovanni - In: Journal of economic dynamics & control 93 (2018), pp. 277-296
Persistent link: https://www.econbiz.de/10011974517
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011405253
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An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach
Choi, Jinho; Hur, Joonyoung - In: Economic modelling 51 (2015), pp. 183-199
Persistent link: https://www.econbiz.de/10011475879