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A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy

This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions
Year of publication:
2017
Authors: Huber, Florian
Other Persons: Fischer, Manfred M. (contributor)
Publisher: [2017]: [S.l.] : SSRN
Subject: VAR-Modell | VAR model | Konjunktur | Business cycle | Geldpolitik | Monetary policy | USA | United States | Schätzung | Estimation | Nichtlineare Regression | Nonlinear regression | Wirkungsanalyse | Impact assessment | Theorie | Theory | Markov-Kette | Markov chain
Description of contents: Abstract [papers.ssrn.com]
Extent:
1 Online-Ressource
Type of publication: Book / Working Paper
Language: English
Notes:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments Aug 1, 2015 erstellt
Volltext nicht verfügbar
Classification: C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; F41 - Open Economy Macroeconomics ; E32 - Business Fluctuations; Cycles
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012965652
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