Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

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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Detaylı Bibliyografya
Yayımlandı:MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010)
Yazar: Mandler, Martin
Materyal Türü: Arbeit
Dil:İngilizce
Baskı/Yayın Bilgisi: Philipps-Universität Marburg 2010
Konular:
Wirtschaft
threshold vector autoregression
monetary policy shocks
Economics
Online Erişim:PDF Tam Metin
Etiketler: Etiketle
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Diğer Bilgiler
Özet: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.
Fiziksel Özellikler:12 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0038

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