inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the … traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The … this work we propose an IR estimation methodology based on B-spline smoothing called Smooth Local Projections (SLP). The …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive …

We establish the identification of a specific shock in a structural vector autoregressive model under the assumption … that this shock is independent of the other shocks in the system, without requiring the latter shocks to be mutually … independent, unlike the typical assumptions in the independent component analysis literature. The shock of interest can be either …

level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …

shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary … policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest … and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of …

We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …