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Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates

Badinger, Harald - 2020

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

Persistent link: https://www.econbiz.de/10012822501

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis - 2023

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme …

Persistent link: https://www.econbiz.de/10014262412

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012838235

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

Persistent link: https://www.econbiz.de/10012824829

The Econometrics of Oil Market VAR Models

Kilian, Lutz - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012839764

The Effect of News Shocks and Monetary Policy

Görtz, Christoph - 2019

the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the …

Persistent link: https://www.econbiz.de/10012889175

Drivers of Large Recessions and Monetary Policy Responses

Melina, Giovanni; Villa, Stefania - 2023

Shocks to capital utilization are introduced in a structural macroeconomic closed-economy model with financial frictions to capture disruptions on the ability of the capital stock to provide capital services used in production. Estimates for the Euro Area and the United States show that these...

Persistent link: https://www.econbiz.de/10014345602

Real and Nominal Effects of Monetary Shocks Under Time-Varying Disagreement

Esady, Vania - 2019

This paper investigates the heterogeneity of monetary policy transmission under time-varying disagreement regimes using a threshold VAR. Empirically, I establish that during times of high disagreement, prices respond more sluggishly in response to monetary shocks. These stickier prices cause a...

Persistent link: https://www.econbiz.de/10012858703

Uniform and nonuniform staggering of wage contracts

Danziger, Leif - 2010

This paper provides a model that can account for the almost uniform staggering of wage contracts in some countries as well as for the markedly nonuniform staggering in others. In the model, short and long contracts as well as long contracts concluded in different periods are strategic...

Persistent link: https://www.econbiz.de/10010270522

Identifying Global and National Output and Fiscal Policy Shocks Using a Gvar

Chudik, Alexander - 2019

due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross ….75 when the rise in output follows from a favorable output shock …

Persistent link: https://www.econbiz.de/10012892134