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Lee, Donggyu - 2024

This paper studies how quantitative easing (QE) affects household welfare across the wealth distribution. I build a Heterogeneous Agent New Keynesian (HANK) model with household portfolio choice, wage and price rigidities, endogenous unemployment, frictional financial intermediation, an...

Persistent link: https://www.econbiz.de/10014577973

VAR analysis and the great moderation

Benati, Luca; Surico, Paolo - In: The American economic review 99 (2009) 4, pp. 1636-1652

Persistent link: https://www.econbiz.de/10003896791

VAR analysis and the Great Moderation

Benati, Luca (contributor); Surico, Paolo (contributor) - 2008

capture the truth, whereas impulse-response functions to a monetary policy shock exhibit little change across regimes. Since …

Persistent link: https://www.econbiz.de/10003747974

Infinite-variance, alpha-stable shocks in monetary SVAR

Hannsgen, Greg - 2010 - Rev.

The process of constructing impulse-response functions (IRFs) and forecast-error variance decompositions (FEVDs) for a structural vector autoregression (SVAR) usually involves a factorization of an estimate of the error-term variance-covariance matrix V. Examining residuals from a monetary VAR,...

Persistent link: https://www.econbiz.de/10003974914

An alternative explanation of the prize puzzle

Giordani, Paolo (contributor) - 2001 - [Elektronische Ressource], Rev. November 19, 2001

policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and …

Persistent link: https://www.econbiz.de/10001600038

Open Market Operations as a Monetary Policy Shock Measure in a Quantitative Business Cycle Model

Heer, Burkhard; Schabert, Andreas - 2021

This paper presents a business cycle analysis of monetary policy shocks measured by disturbances to open market operations, i.e. the ratio of open market papers to non-borrowed reserves. We find empirical evidence for the usefulness of this policy measure, as it predicts significant declines in...

Persistent link: https://www.econbiz.de/10013321154

An Alternative Explanation of the Price Puzzle

Giordani, Paolo - 2001

policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and …

Persistent link: https://www.econbiz.de/10014134359

Monetary Policy Shocks, Inventory Dynamics, and Price-Setting Behavior

Jung, Yongseung; Yun, Tack - 2008

, dynamic responses of these variables reach their peaks several quarters after a monetary shock. In order to understand the …

Persistent link: https://www.econbiz.de/10014059207

Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse …One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … routinely in applied work. We establish the consistency of the impulse response matching estimator in this situation, we derive …

Persistent link: https://www.econbiz.de/10011418016

Evaluating monetary policy options for managing resource revenue shocks when fiscal policy is laissez-faire : application to Nigeria

Chuku, Chuku Agbai - 2016

, though with higher volatility for other macroeconomic variables. The other policy rules deliver lower macroeconomic … volatility but at the cost of crowding-out the private sector, depending on the mix of open-market operations. In welfare terms …

Persistent link: https://www.econbiz.de/10011456170