Figures and Tables from this paper
9 Citations
Inflation Dynamics of Financial Shocks
- Economics, Mathematics
- 2020
We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this…
A BVAR Analysis on Channels of Monetary Policy Transmission in Brazil
- EconomicsInternational Journal of Economics and Finance
- 2022
This article measures the responses of GDP and inflation to a positive shock of the variables that make up the channels of transmission of monetary policy. The results of impulse-response functions…
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
- EconomicsSSRN Electronic Journal
- 2021
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dynamics of the VAR…
Bank of Finland Discussion Paper 4/ 2020
- Economics
- 2017
We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. in ation once frequency-domain information is taken into account. We do so by decomposing the…
Unconventional Monetary Policy and Wealth Inequalities in Great Britain
- Economics
- 2020
This paper explores whether unconventional monetary policy operations have redistributive effects on household wealth. Drawing on household balance sheet data from the Wealth and Asset Survey, we…
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions
- Mathematics
- 2020
Likelihood inference in structural vector autoregressions with independent non-Gaussian shocks leads to parametric identification and efficient estimation at the risk of inconsistencies under…
Geleneksel olmayan para politikası uygulamaları döneminde Dolar-TL’nin volatilite dinamiklerinin incelenmesi: Asimetrik stokastik volatilite modeline dayalı analizler
- Physics
- 2020
Bu calismada geleneksel olmayan para politikasi uygulamalarinin soz konusu oldugu donemde Dolar-TL volatilitesinin temel dinamikleri incelenmistir. Calismada student t dagilimi varsayimi altinda…
SPILLOVERS OF GLOBAL LIQUIDITY AND MONETARY POLICY DIVERGENCE FROM ADVANCED ECONOMIES TO VIETNAM
- EconomicsThe Singapore Economic Review
- 2022
This paper studies the spillovers of global liquidity and monetary policy divergence from advanced economies to Vietnam. Applying the structural Bayesian Vector Auto-Regressive model with Sims–Zha…
References
SHOWING 1-10 OF 35 REFERENCES
Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area
- EconomicsSSRN Electronic Journal
- 2011
I estimate the dynamic effects of respectively traditional interest rate innovations and unconventional monetary policy actions on the Euro area economy. The results show that the Eurosystem can…
Evaluating Asset�?Market Effects of Unconventional Monetary Policy: A Multi�?Country Review
- Economics
- 2014
This paper examines the effects of unconventional monetary policy by the Federal Reserve, Bank of England, European Central Bank and Bank of Japan on bond yields, stock prices and exchange rates. We…
GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES
- EconomicsMacroeconomic Dynamics
- 2017
We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVAR) model for the US post-WWII quarterly data. The…
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
- Economics, Mathematics
- 2008
Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying restrictions in a standard structural vector autoregressive…
Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.
- Economics
- 2016
We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The…
Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility
- Economics
- 2003
Quantitative Easing and Unconventional Monetary Policy – An Introduction
- Economics
- 2012
This article assesses the impact of Quantitative Easing and other unconventional monetary policies followed by central banks in the wake of the financial crisis that began in 2007. We consider the…
The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis
- Economics
- 2012
This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the…
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
- Economics
- 2012
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007–09 via a time-varying parameter structural VAR model. We…