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This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Using the financial stress index...
Persistent link: https://www.econbiz.de/10010279923
This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Using the financial stress index...
Persistent link: https://www.econbiz.de/10003981316
Persistent link: https://www.econbiz.de/10001720960
Persistent link: https://www.econbiz.de/10003608129
Persistent link: https://www.econbiz.de/10012319299
Persistent link: https://www.econbiz.de/10012429907
This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....
Persistent link: https://www.econbiz.de/10014209706