This paper applies a novel approach to study the impact of different shocks on the price level. It uses a classical dichotomy model with monetary policy regime shifts at known dates. First, there was a regime dominated by money, afterwards a regime driven by the exchange rate and a third one...

Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest...

This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates,...

This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates,...

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...