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Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions
This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy whil...
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| Publié dans: | MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010) |
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| Auteur principal: | |
| Format: | Arbeit |
| Langue: | anglais |
| Publié: |
Philipps-Universität Marburg
2010
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| Sujets: | |
| Accès en ligne: | Texte intégral en PDF |
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| Résumé: | This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy while the inflation response is negative. The paper endogenously determines two distinct regimes, while the literature thus far only considers alternative subsamples. |
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| Description matérielle: | 12 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0038 |