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This paper uses a FAVAR model with external instruments to show that the policy uncertainty shocks are recessionary and are associated with an increase in the exit of firms and a decrease in entry and in the stock price with total factor productivity rising in the medium run. To explain this...
Persistent link: https://www.econbiz.de/10012243253
countries with high inflation, the output effects of monetary policies are significantly reduced. A lot of variation in the …
Persistent link: https://www.econbiz.de/10013319175
This paper applies ARDL and Nonlinear ARDL models to long-term inflation targeting policy mechanisms in the United … States and China to assess the impact of oil price dynamics and asymmetries on inflation expectations in the two countries … changes on inflation expectations, and further provide a theoretical basis for the empirical results. We use data from 2010 to …
Persistent link: https://www.econbiz.de/10013289383
inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at …
Persistent link: https://www.econbiz.de/10012049360
This chapter reviews and synthesizes our current understanding of the shocks that drive economic fluctuations. The chapter begins with an illustration of the problem of identifying macroeconomic shocks, followed by an overview of the many recent innovations for identifying shocks. It then...
Persistent link: https://www.econbiz.de/10014024291
monetary and fiscal policy exert greater impact on real GDP and inflation in Nigeria. Overall, it is evident that the impact of …
Persistent link: https://www.econbiz.de/10011474838
This paper identifies shocks to the Federal ReserveÕs inflation target as VAR innovations that make the largest … contribution to future movements in long-horizon inflation expectations. The effectiveness of this scheme is documented via Monte … behind the increase in inflation during the pre-1980 period and are an important driver of the decline in long-term interest …
Persistent link: https://www.econbiz.de/10011867818
This paper identifies shocks to the Federal Reserve's inflation target as VAR innovations that make the largest … contribution to future movements in long-horizon inflation expectations. The effectiveness of this scheme is documented via Monte … inflation, GDP growth and long-term interest rates. Target shocks are estimated to be a vital factor behind the increase in …
Persistent link: https://www.econbiz.de/10011671941
We propose a two-step approach to estimate multi-dimensional monetary policy shocks and their causal effects requiring only daily financial market data and policy events. First, we combine a heteroscedasticity-based identification scheme with recursive zero restrictions along the term structure...
Persistent link: https://www.econbiz.de/10015052047
I estimate the effects of conventional and unconventional monetary policy in the euro area by using a factor-augmented vector autoregression.I complement the standard monetary policy analysis using the short rate with models where the shadow rates by Kortela (2016) and Wu and Xia (2017) are used...
Persistent link: https://www.econbiz.de/10012917974