A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price...

A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price...

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with...

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with...

In recent years, there has been an extraordinary increase in international commodity prices, such as fossil fuels (oil) and agricultural products. This paper analyzes the behavior of real prices of major agricultural commodities (wheat, corn, soybeans and rice) using SVAR models, with short-term...

This paper examines the dynamic effects of oil price shocks in addition to the aggregate supply and demand shocks on macroeconomic fluctuations in four sample economies: Indonesia, Malaysia, Pakistan and Thailand. We aim to discover whether oil price shocks play a crucial role in explaining...