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Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

A narrative approach to a fiscal DSGE model

Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 801-837

Structural DSGE models are used for analyzing both policy and the sources of business cycles. Conclusions based on full structural models are, however, potentially affected by misspecification. A competing method is to use partially identified SVARs based on narrative shocks. This paper asks...

Persistent link: https://www.econbiz.de/10012214069

House prices and the effectiveness of monetary policy in an estimated DSGE model of Morocco

Said, Roubyou; Hicham, Ouakil - In: Economies : open access journal 13 (2025) 4, pp. 1-23

In this study, we aimed to assess the effectiveness of monetary policy in influencing housing prices in Morocco. Bayesian estimation over the period 2007Q2-2017Q2 of a dynamic stochastic general equilibrium model allowed us to reveal a significant impact of the increase in policy interest rates...

Persistent link: https://www.econbiz.de/10015410086

The bank-lending channel of monetary policy transmission in a dual banking system : empirical evidence from panel VAR modeling

Boukhatem, Jamel; Djelassi, Mouldi - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

This paper applied the panel VAR approach and the Impulse Response Functions to investigate the differences in the monetary transmission processes of Islamic and conventional banks using disaggregated bank-level data for Saudi Arabia over the period 2008Q1-2020Q4. Our findings show that: i)...

Persistent link: https://www.econbiz.de/10013400126

Unconventional monetary policy in the euro area : a tale of three shocks

Fanelli, Luca; Marsi, Antonio - 2021

these surprises reflect either a single unconventional 'monetary shock' or, as recently suggested, jointly an unconventional … monetary shock and a central bank 'information shock'. In this paper we show that monetary policy in the euro area after 2008 … is best characterized by three shocks, not two. Besides the unconventional monetary shock and the information shock, we …

Persistent link: https://www.econbiz.de/10012621320

The effects of structural shocks on macroeconomic fundamentals under aggressive monetary policy : the case of Turkey

Güngör, Mahmut Sami; Güloğlu, Bülent - In: International journal of business and economic sciences … 12 (2019) 2, pp. 7-21

prior distribution of structural parameters and shock processes are determined according to the literature. Then, we … consistent with theoretical framework of the new Keynesian synthesis. Besides, the historical shock decompositions of endogenous … monetary policy increases the effects of monetary policy shock on inflation while its impact on output gap and interest rate …

Persistent link: https://www.econbiz.de/10012239944

Conventional and unconventional monetary policies : effects on the Finnish housing market

Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186

sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and … temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The … peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the …

Persistent link: https://www.econbiz.de/10012296184

Aggregate shocks and the Brazilian housing market dynamics

Silva, Marcelo Eduardo Alves da; Besarria, Cássio da … - In: Economia : revista da ANPEC 20 (2019) 2, pp. 121-137

shocks, while a contractionary monetary policy shock depress housing output, demand and prices. Additionally, we find …

Persistent link: https://www.econbiz.de/10012171072

Structural estimates of the South African sacrifice ratio

Gereziher, Hayelom Yrgaw; Nuru, Naser Yenus - 2021

This paper estimates the output cost of fighting inflation-the sacrifice ratio-for the South African economy using quarterly data spanning the period 1998Q1-2019Q3. To compute the sacrifice ratio, the structural vector autoregressive model developed by Cecchetti and Rich (2001) based on...

Persistent link: https://www.econbiz.de/10012422994

Interaction of monetary and fiscal policies in Turkey

Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203

This paper aims to investigate the interaction between monetary and fiscal policies in Turkey. For this purpose, a Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how the fiscal and monetary policy variables respond to...

Persistent link: https://www.econbiz.de/10012429632