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Measuring the natural rate of interest after COVID-19
Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023
-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the …
Persistent link: https://www.econbiz.de/10014302828
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Time-varying identification of monetary policy shocks
Camehl, Annika; Woźniak, Tomasz - 2023
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...
Persistent link: https://www.econbiz.de/10014422351
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …
Persistent link: https://www.econbiz.de/10011389786
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Impulse response estimation via flexible local projections
Mumtaz, Haroon; Piffer, Michele - 2022
This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first...
Persistent link: https://www.econbiz.de/10013291067
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Foreign exchange interventions at the zero lower bound in the Czech economy : a DSGE approach
Malovaná, Simona - 2015
interventions at the ZLB within a dynamic general equilibrium model. We find a pronounced volatility of real and nominal …
Persistent link: https://www.econbiz.de/10010532424
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Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models
Korobilis, Dimitris - 2011
proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR … the US economy resulted in the high inflation volatility during the 1970s and early 1980s. The time-varying factor …
Persistent link: https://www.econbiz.de/10013134422
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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011372798
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Estimating the effect of Hungarian monetary policy within a structural VAR framework
Vonnák, Balázs - 2005
A standard approach in measuring the effect of monetary policy on output and prices is to estimate a VAR model, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with Hungarian data. I compare two identification...
Persistent link: https://www.econbiz.de/10010322447
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011771984
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011709632