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Identifying monetary policy shocks via changes in volatility

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

Persistent link: https://www.econbiz.de/10003338299

Identifying monetary policy shocks via changes in volatility

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2006

Persistent link: https://www.econbiz.de/10003364334

Simulation evidence on theory-based and statistical identification under volatility breaks

Herwartz, Helmut; Plödt, Martin - In: Oxford bulletin of economics and statistics 78 (2016) 1, pp. 94-112

Persistent link: https://www.econbiz.de/10011494636

Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance

Liao, Wenting; Ma, Jun; Zhang, Chengsi - In: Journal of applied econometrics 38 (2023) 7, pp. 989-1006

Persistent link: https://www.econbiz.de/10014474382

Partially anticipated monetary policy shocks : are they stabilizing or destabilizing?

Offick, Sven; Wohltmann, Hans-Werner - In: Jahrbücher für Nationalökonomie und Statistik 236 (2016) 1, pp. 95-127

Persistent link: https://www.econbiz.de/10011486776

Drifts and volatilities under measurement error : assessing monetary policy shocks over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Quantitative economics : QE ; journal of the … 7 (2016) 2, pp. 591-611

Persistent link: https://www.econbiz.de/10011612106

Macroeconomic fluctuations and the forward yield curve

Chirinos, Ana María; Pagliacci, Carolina - 2014

Persistent link: https://www.econbiz.de/10010472044

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

A monetary policy asset pricing model

Caballero, Ricardo J.; Simsek, Alp - 2023

Persistent link: https://www.econbiz.de/10014331559

Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999 - 2000

Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001

Persistent link: https://www.econbiz.de/10001584428