Similar Search Results

Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model

Piger, Jeremy; Lo, Ming Chien - 2002

This paper adopts a general approach to investigate asymmetry in the leading explanatory power of interest-rate-based indicators of monetary policy for U.S. output. The purpose is to provide robust results by utilizing a model that does not pre-specify a particular condition under which...

Persistent link: https://www.econbiz.de/10014119633

Filling the gap : open economy considerations for more reliable potential output estimates

Darvas, Zsolt M.; Simon, András - 2015

This paper argues that the Phillips curve relationship is not sufficient to trace back the output gap, because the effect of excess demand is not symmetric across tradeable and non-tradeable sectors. In the non-tradeable sector, excess demand creates excess employment and inflation via the...

Persistent link: https://www.econbiz.de/10011450471

RGAP: output gap estimation in R

Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

A Multivariate Unobserved Components Model to Estimate Potential Output in the Euro Area : A Production Function Based Approach

Tóth, Máté - 2021

This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the...

Persistent link: https://www.econbiz.de/10013243813

Filling the gap : open economy considerations for more reliable potential output estimates

Darvas, Zsolt M.; Simon, András - 2015

Persistent link: https://www.econbiz.de/10011350659

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...

Persistent link: https://www.econbiz.de/10012431805

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global Önancial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-speciÖc factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identiÖcation via a combination of...

Persistent link: https://www.econbiz.de/10012432185

A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-Supply Shocks : Positive vs. Negative or Big vs. Small?

Ravn, Morten O.; Sola, Martín - 1998

This paper reconsiders the empirical evidence on the asymmetric output effects of monetary policy. Asymmetric effects is a common feature of many theoretical models, and there are many different versions of such asymmetries. We concentrate on the distinctions between positive and negative...

Persistent link: https://www.econbiz.de/10014070901

Improving output gap estimation : a bottom-up approach

Rathke, Alexander; Streicher, Sina - 2023

We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...

Persistent link: https://www.econbiz.de/10014427292

Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in macroeconomic dynamics in the U.S. using a threshold vector autoregressive model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low inflation regime with both regimes being strongly persistent....

Persistent link: https://www.econbiz.de/10003950614