Monetary policy shocks, inflation persistence, and long memory
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DOI: 10.1016/j.jmacro.2017.10.006
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More about this item
Keywords
Fractional integration; FIVAR model; Impulse response; Variance decomposition;All these keywords.
JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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