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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 08-2010)
Main Author: Mandler, Martin
Format: Work
Language:English
Published: Philipps-Universität Marburg 2010
Subjects:
Wirtschaft
threshold vector autoregression
monetary policy shocks
Economics
Online Access:PDF Full Text
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Summary: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.
Physical Description:12 Pages
ISSN:1867-3678
DOI:10.17192/es2024.0038

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