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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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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010) |
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| Autor principal: | |
| Formato: | Arbeit |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2010
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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| Resumo: | 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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| Descrição Física: | 12 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0038 |