Burgard, Jan Pablo; Neuenkirch, Matthias; Nöckel, Matthias - 2016
In this paper, we estimate a logit mixture vector autoregressive (Logit-MVAR) model describing monetary policy … found to decrease after monetary policy shocks. During "crisis times" the contraction ismuch stronger, as the peak effect is … more than twice as large when compared to "normal times." In contrast, the effect of monetary policy shocks is less …