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Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...

Persistent link: https://www.econbiz.de/10012418859

A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model

Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020

factors from trade-related spillovers, and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q …

Persistent link: https://www.econbiz.de/10012293790

COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross-country interdependencies

Milani, Fabio - 2020

This paper studies the social and economic responses to the COVID-19 pandemic in a large sample of countries. I stress, in particular, the importance of countries' interconnections to un-derstand the spread of the virus. I estimate a Global VAR model and exploit a dataset on existing social...

Persistent link: https://www.econbiz.de/10012263745

Conventional and unconventional monetary policies : effects on the Finnish housing market

Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186

sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and … temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The … peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the …

Persistent link: https://www.econbiz.de/10012296184

Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects

Lewis, Daniel J. - 2019

the real economy, I find that the asset purchase shock has significant effects on consumer and professional expectations …

Persistent link: https://www.econbiz.de/10012022250

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

COVID-19 outbreak, social response, and early economic effects : a global VAR analysis of cross country interdependencies

Milani, Fabio - 2020

This paper studies the social and economic responses to the COVID-19 pandemic in a large sample of countries. I stress, in particular, the importance of countries' interconnections to understand the spread of the virus. I estimate a Global VAR model and exploit a dataset on existing social...

Persistent link: https://www.econbiz.de/10012262142

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S

Bacchiocchi, Emanuele - 2016

We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural … Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via …

Persistent link: https://www.econbiz.de/10012981365

State dependence of fiscal multipliers in Chile : an independent component approach to identification

Fortunato, Andres; Herwartz, Helmut - In: Latin American economic review : LAER ; official … 32 (2023), pp. 1-21

analysis for structural shock identification within a non-linear vector autoregressive setting with generalized impulse …

Persistent link: https://www.econbiz.de/10014234272

Monetary Policy in a Data-Rich Environment

Boivin, Jean; Bernanke, Ben S. - 2001

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10014128744