Publikationsserver
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...
Gespeichert in:
| 发表在: | MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010) |
|---|---|
| 主要作者: | |
| 格式: | Arbeit |
| 语言: | 英语 |
| 出版: |
Philipps-Universität Marburg
2010
|
| 主题: | |
| 在线阅读: | PDF-Volltext |
| 标签: |
添加标签
没有标签, 成为第一个标记此记录!
|
| 总结: | 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. |
|---|---|
| 实物描述: | 12 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0038 |