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(Almost) recursive identification of monetary policy shocks with economic parameter restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to …
Persistent link: https://www.econbiz.de/10013494039
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Exchange rate and price dynamics at the zero lower bound : conference paper
Bäurle, Gregor; Kaufmann, Daniel - 2013
the price level to a temporary risk shock are permanent. Our theoretical discussion shows that adopting a credible long …
Persistent link: https://www.econbiz.de/10010340556
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(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to …
Persistent link: https://www.econbiz.de/10014290129
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(Almost) recursive identification of monetary policy shocks with economic parameter restrictions
Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023
output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to …
Persistent link: https://www.econbiz.de/10014327936
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Less bang for the buck? : assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment
Herwartz, Helmut; Rohloff, Hannes - 2018
We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...
Persistent link: https://www.econbiz.de/10011931106
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How does monetary policy influence bank lending? : evidence from the market for banks' wholesale funding
Breitenlechner, Max; Scharler, Johann - 2018
We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank...
Persistent link: https://www.econbiz.de/10011779758
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10012320523
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Neuenkirch, Matthias - 2020
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10012383710
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - First draft: November 23, 2020 ; this version: May 17, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...
Persistent link: https://www.econbiz.de/10013328355
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The macroeconomic pass-through effects of monetary policy through sign restrictions approach : in the case of Albania
Shijaku, Gerti - 2015
question addresses the macroeconomic pass-through effects of a monetary policy shock, with regards to a conventional interest …
Persistent link: https://www.econbiz.de/10011285419