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Estimating Monetary Policy Reaction Functions Using Quantile Regressions

Wolters, Maik H. - 2011

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...

Persistent link: https://www.econbiz.de/10013133367

Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure

Capasso, Marco; Moneta, Alessio - 2016

distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be … mutually independent. The identification procedure is agnostic in Uhlig [2005]'s sense, since the response of output to a …

Persistent link: https://www.econbiz.de/10011554080

The causal effects of global supply chain disruptions on macroeconomic outcomes : evidence and theory

Bai, Xiwen; Fernández-Villaverde, Jesús; Li, Yiliang; … - 2024

supply chain disruptions from the mandatory automatic identification system data of container ships, developing a novel …

Persistent link: https://www.econbiz.de/10014469003

Identifying factor-augmented vector autoregression models via changes in shock variances

Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745

Persistent link: https://www.econbiz.de/10013332683

Estimating Monetary Policy Reaction Functions : A Discrete Choice Approach

Boeckx, Jef - 2011

I propose a discrete choice method for estimating monetary policy reaction functions based on research by Hu and Phillips (2004). This method distinguishes between determining the underlying desired rate which drives policy rate changes and actually implementing interest rate changes. The method...

Persistent link: https://www.econbiz.de/10013130037

US non-linear causal effects on global equity indices in Normal times versus unconventional eras

Papadamou, Stephanos; Kyriazis, Νikolaos A.; Tzeremes, … - In: International economics and economic policy : IEEP 17 (2020) 2, pp. 381-407

Persistent link: https://www.econbiz.de/10012256833

Quantile impulse response analysis with applications in macroeconomics and finance

Jung, Whayoung; Lee, Ji Hyung - In: Essays in honor of Joon Y. Park : econometric …, (pp. 99-131). 2023

Persistent link: https://www.econbiz.de/10014315152

Impulse Response Estimation by Smooth Local Projections

Barnichon, Regis - 2018

Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the … traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The … this work we propose an IR estimation methodology based on B-spline smoothing called Smooth Local Projections (SLP). The …

Persistent link: https://www.econbiz.de/10012934986

Inference on multivariate heteroscedastic time varying random coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015

series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …

Persistent link: https://www.econbiz.de/10011405250

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253