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(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 …

Persistent link: https://www.econbiz.de/10013494039

Estimating the macroeconomic effects of oil supply news

Mori, Lorenzo; Peersman, Gert - 2024

price innovations, structural shocks, and the instrumental variable in these estimations are all Granger-caused by financial …

Persistent link: https://www.econbiz.de/10015145023

Shocks to bank lending, risk-taking, securitization, and their role for US business cycle fluctuations

Peersman, Gert; Wagner, Wolf - 2014

policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank …

Persistent link: https://www.econbiz.de/10010257361

Confidence bands for impulse responses : Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

Persistent link: https://www.econbiz.de/10010246022

Effectiveness and transmission of the ECB's balance sheet policies

Boeckx, Jef; Bossche, Maarten; Peersman, Gert - 2014

We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial … crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …

Persistent link: https://www.econbiz.de/10010383862

Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10003751230

Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

Persistent link: https://www.econbiz.de/10011418016

The transmission of German monetary policy in the pre-Euro period

Lütkepohl, Helmut; Wolters, Jürgen - 2001

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

Persistent link: https://www.econbiz.de/10011400913

Country-specific oil supply shocks and the global economy : a counterfactual analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …

Persistent link: https://www.econbiz.de/10010528313

Did the fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 per cent at the end of 2000 to 2.0 per cent by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary...

Persistent link: https://www.econbiz.de/10011408451