The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial...

Against the backdrop of the new Monetary Policy Committee (MPC) decisions to maintain the status quo policy rates, we analyse the post-pandemic monetary policy stance in India. Using high-frequency data, the term structure of interest rate is analyzed incorporating monetary aggregates, fiscal...

Market interest rates are usually determined not only by the inflation related determinants but also by the forces that affect real interest rates fluctuations. In point of fact the nominal interest rates are driven by many specific determinants so that it should not be clear the nominal...

In this paper we analyze the performance of an equilibrium model of the term structure of the interest rate under Epstein-Zin/Weil preferences in which consumption growth and inflation follow a VAR process with logistic stochastic volatility. We find that the model can successfully reproduce the...

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The assumption of non-Gaussianity is needed for reasons of identifiability. Assuming that the error distribution belongs to a fairly general class of elliptical distributions, we develop an...

Monetary policy analysis concerns both the assumptions of the transmission mechanism and the direction of causality between the nominal (i.e. the money) and real economy. The traditional channel of monetary policy implementation works via the interest rate changes and their impact on the...

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

This is a supplementary appendix to "Noncausal Vector Autoregression".