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Monetary transmission mechanism in a small open economy : a Bayesian structural VAR approach

Bhuiyan, Rokon (contributor) - 2008

This paper develops an open-economy Bayesian structural VAR model for Canada in order to estimate the effects of monetary policy shocks, using the overnight target rate as the policy instrument. I allow the policy variable and the financial variables of the model to interact simultaneously with...

Persistent link: https://www.econbiz.de/10003768853

Structural estimates of the South African sacrifice ratio

Gereziher, Hayelom Yrgaw; Nuru, Naser Yenus - 2021

This paper estimates the output cost of fighting inflation-the sacrifice ratio-for the South African economy using quarterly data spanning the period 1998Q1-2019Q3. To compute the sacrifice ratio, the structural vector autoregressive model developed by Cecchetti and Rich (2001) based on...

Persistent link: https://www.econbiz.de/10012422994

Estimating the Effects of Fiscal Policy in OECD Countries

Perotti, Roberto - 2021

This paper studies the effects of fiscal policy on GDP, prices and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its mains results can be summarized as follows; 1) The effects of fiscal policy on GDP and its components have become substantially weaker in...

Persistent link: https://www.econbiz.de/10013320219

The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s

Akram, Qaisar Farooq - 2016

We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable petroleum revenues, a switch from exchange rate to inflation targeting and...

Persistent link: https://www.econbiz.de/10012998261

Identifying a forward-looking monetary policy in an open economy

Bhuiyan, Rokon - 2009

the monetary policy variable of this forecast-augmented VAR model suggest that forecasted variables play a greater role … instantaneously increases the market interest rate as well as the forecast of the market interest rate. The policy shock also … appreciates both the British pound and the forecast of the pound on impact. On the other hand, the policy shock lowers expected …

Persistent link: https://www.econbiz.de/10010290458

Should Uncertain Monetary Policy-Makers Do Less?

Martin, Benjamin; Salmon, Chris - 1999

This paper examines the empirical importance of parameter uncertainty for monetary policy-making in the United Kingdom, using a method pioneered by Brian Sack of the U.S. Federal Reserve. Using a VAR model of the U.K. economy and an assumed quadratic loss function for the policy-maker, an...

Persistent link: https://www.econbiz.de/10014184297

Has the Adoption of Inflation Targeting Represented a Regime Switch? Empirical Evidence from Sweden

Creel, Jerome - 2009

We study whether the adoption of inflation targeting (IT) has constituted a regime switch in Sweden using a Markov-Switching VAR technique. We assess, based on two different specifications, the relative preference for inflation in the monetary reaction function and the capacity of IT to reduce...

Persistent link: https://www.econbiz.de/10013157820

Has the Adoption of Inflation Targeting Represented a Regime Switch? Empirical Evidence from Canada, Sweden and the UK

Creel, Jerome - 2008

Empirical evidence on inflation targeting (IT) outcomes has been mixed so far, mainly because most of the assessments have been based on a control group methodology in a period where differences between IT and non-IT countries were insignificant. In this paper, we study IT impact over time and...

Persistent link: https://www.econbiz.de/10012722580

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - 2019

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...

Persistent link: https://www.econbiz.de/10011962843

Monetary Policy Effects in Output and Prices : Evidence for the Dominican Republic Using a Structural VAR Approach

Jimenez Polanco, Miguel - 2018

In this paper we provide new evidence of the transmission mechanism of monetary policy in Dominican Republic using a Structural Vector Autoregressive methodology where we incorporate carefully a set of constraints on contemporary relationships composed of domestic and external variables. Using...

Persistent link: https://www.econbiz.de/10012930442