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...
保存先:
出版年: | MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010) |
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第一著者: | |
フォーマット: | Arbeit |
言語: | 英語 |
出版事項: |
Philipps-Universität Marburg
2010
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主題: | |
オンライン・アクセス: | PDFフルテキスト |
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要約: | 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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物理的記述: | 12 Seiten |
ISSN: | 1867-3678 |
DOI: | 10.17192/es2024.0038 |