Showing 1 - 10 of 25
A researcher is interested in a set of variables that he wants to model with a vector autoregression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in...
Persistent link: https://www.econbiz.de/10011084456
Many factors inhibiting and facilitating economic growth have been suggested. Will international income data tell which matter when all are treated symmetrically a priori? We find that growth determinants emerging from agnostic Bayesian model averaging and classical model selection procedures...
Persistent link: https://www.econbiz.de/10005791701
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small-sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...
Persistent link: https://www.econbiz.de/10008542974
This note simplifies the Waggoner and Zha (1999) formula for the conditional distribution of shocks, discusses its linear algebraic intuition, and shows how to account for the dependence between the conditional and unconditional predictive densities when comparing them.
Persistent link: https://www.econbiz.de/10008867041
Persistent link: https://www.econbiz.de/10012410109
We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are...
Persistent link: https://www.econbiz.de/10011107230
We provide evidence on the nature of the monetary policy transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy...
Persistent link: https://www.econbiz.de/10011084383
How do frictions in price setting influence monetary non-neutrality? We revisit this classic question in a quantitative menu cost model with multi-product firms that face idiosyncratic shocks with unsynchronized stochastic volatility. The model matches the unconditional distribution of price...
Persistent link: https://www.econbiz.de/10011084677
We provide evidence on the nature of the monetary transmission mechanism. To identify policy shocks in a setting with both economic and financial variables, we combine traditional monetary vector autoregression (VAR) analysis with high frequency identification (HFI) of monetary policy shocks. We...
Persistent link: https://www.econbiz.de/10011193596
Persistent link: https://www.econbiz.de/10011227965