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Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US

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  1. [経済]A prophecy that misread could have been...
    by himaginary in himaginaryの日記 on 2012-11-05 14:00:00

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Cited by:

  1. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
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  11. Berardi, Michele & Galimberti, Jaqueson K., 2013. "A note on exact correspondences between adaptive learning algorithms and the Kalman filter," Economics Letters, Elsevier, vol. 118(1), pages 139-142.
  12. Huang, Yingying & Duan, Kun & Urquhart, Andrew, 2023. "Time-varying dependence between Bitcoin and green financial assets: A comparison between pre- and post-COVID-19 periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
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  14. Punzi, Maria Teresa, 2016. "Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises," FinMaP-Working Papers 61, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  15. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  16. Michael D. Bauer & Eric T. Swanson, 2023. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Macroeconomics Annual, University of Chicago Press, vol. 37(1), pages 87-155.
  17. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, University Library of Munich, Germany.
  18. Kostas Mavromatis, 2020. "Finite Horizons and the Monetary/Fiscal Policy Mix," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 327-378, September.
  19. Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano, 2021. "Time-varying instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 224(2), pages 394-415.
  20. Daniel Kaufmann, 2015. "Nominal stability and Swiss monetary regimes over two centuries," KOF Working papers 15-379, KOF Swiss Economic Institute, ETH Zurich.
  21. Stéphane Lhuissier & Fabien Tripier, 2021. "Regime‐dependent effects of uncertainty shocks: A structural interpretation," Quantitative Economics, Econometric Society, vol. 12(4), pages 1139-1170, November.
  22. Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," Working Papers 789, DNB.
  23. Michael T. Kiley, 2024. "Anchored or Not: How Much Information Does 21st Century Data Contain on Inflation Dynamics?," International Journal of Central Banking, International Journal of Central Banking, vol. 20(1), pages 239-261, February.
  24. Pfarrhofer, Michael, 2023. "Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 27(3), pages 770-793, April.
  25. Luca Gambetti & Jordi Galí, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
  26. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
  27. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
  28. Akbar Komijani & Sayed Mansoor Khalili Araghi & Hossein Abbasinejad & Hossein Tavakolian, 2014. "Time-Varying Monetary Policy Reaction Function: The Case of Iran," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(2), pages 87-103, Spring.
  29. Gnimassoun, Blaise & Joëts, Marc & Razafindrabe, Tovonony, 2017. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," International Economics, Elsevier, vol. 152(C), pages 63-78.
  30. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
  31. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
  32. Michael D Bauer & Carolin E Pflueger & Adi Sunderam, 2024. "Perceptions About Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(4), pages 2227-2278.
  33. Danilo Leiva-Leon & Luis Uzeda, 2023. "Endogenous Time Variation in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 105(1), pages 125-142, January.
  34. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
  35. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, University Library of Munich, Germany.
  36. William Branch & George W. Evans, 2007. "Model Uncertainty and Endogenous Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
  37. Argia M. Sbordone, 2006. "U.S. Wage and Price Dynamics: A Limited-Information Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(3), September.
  38. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
  39. Kenichiro McAlinn, 2021. "Mixed‐frequency Bayesian predictive synthesis for economic nowcasting," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1143-1163, November.
  40. Christiane Baumeister & Gert Peersman, 2013. "The Role Of Time‐Varying Price Elasticities In Accounting For Volatility Changes In The Crude Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1087-1109, November.
  41. Robert A. Hill & Paulo M. M. Rodrigues, 2022. "Forgetting approaches to improve forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1356-1371, November.
  42. Zhang, Guofu & Du, Ziping, 2017. "Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China," Energy, Elsevier, vol. 135(C), pages 249-256.
  43. Castelnuovo, Efrem, 2010. "Tracking U.S. inflation expectations with domestic and global indicators," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
  44. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
  45. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  46. Amir Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2014. "Drifts, Volatilities and Impulse Responses Over the Last Century," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100562, Verein für Socialpolitik / German Economic Association.
  47. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
  48. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association.
  49. Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
  50. Ritschl, Albrecht & Sarferaz, Samad & Uebele, Martin, 2008. "The U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts," Economic History Working Papers 22305, London School of Economics and Political Science, Department of Economic History.
  51. Angela Abbate & Massimiliano Marcellino, 2017. "Macroeconomic activity and risk indicators: an unstable relationship," BAFFI CAREFIN Working Papers 1756, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  52. Francisco Rosende & Matías Tapia, 2015. "Monetary Policy in Chile: Institutions, Objectives,and Instruments," Central Banking, Analysis, and Economic Policies Book Series, in: Ricardo J. Caballero & Klaus Schmidt-Hebbel (ed.),Economic Policies in Emerging-Market Economies Festschrift in Honor of Vittorio Corbo, edition 1, volume 21, chapter 12, pages 263-307, Central Bank of Chile.
  53. Belongia, Michael T. & Ireland, Peter N., 2016. "The evolution of U.S. monetary policy: 2000–2007," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 78-93.
  54. Xianbo Zhou & Zhuoran Chen, 2023. "The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model," Sustainability, MDPI, vol. 15(4), pages 1-20, February.
  55. Christoph Hanck & Robert Czudaj, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Ruhr Economic Papers 0434, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  56. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
  57. Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  58. Zsolt Darvas, 2013. "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(2), pages 363-390, May.
  59. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 97-131, June.
  60. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2020. "Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
  61. In-Koo Cho & Kenneth Kasa, 2017. "Gresham's Law of Model Averaging," American Economic Review, American Economic Association, vol. 107(11), pages 3589-3616, November.
  62. Davide Delle Monache & Andrea De Polis & Ivan Petrella, 2024. "Modeling and Forecasting Macroeconomic Downside Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1010-1025, July.
  63. Dimitris Korobilis, 2013. "Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 157-179, April.
  64. Mavromatis, Konstantinos, 2012. "Markov Switching Monetary Policy in a two-country DSGE Model," Economic Research Papers 270742, University of Warwick - Department of Economics.
  65. Plakandaras, Vasilios & Gupta, Rangan & Wohar, Mark E., 2018. "UK macroeconomic volatility: Historical evidence over seven centuries," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 767-789.
  66. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
  67. Cacciatore, Matteo & Ghironi, Fabio & Stebunovs, Viktors, 2015. "The domestic and international effects of interstate U.S. banking," Journal of International Economics, Elsevier, vol. 95(2), pages 171-187.
  68. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, vol. 96(4), pages 1193-1224, September.
  69. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2017. "An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data," Working Papers 201779, University of Pretoria, Department of Economics.
  70. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021. "Multimodality In Macrofinancial Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
  71. Bampinas, Georgios & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2023. "Oil shocks and investor attention," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 68-81.
  72. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
  73. Lukmanova, Elizaveta & Rabitsch, Katrin, 2018. "New VAR evidence on monetary transmission channels: temporary interest rate versus inflation target shocks," Department of Economics Working Paper Series 274, WU Vienna University of Economics and Business.
  74. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
  75. Ryo Kato & Tatsushi Okuda, 2017. "Market Concentration and Sectoral Inflation under Imperfect Common Knowledge," IMES Discussion Paper Series 17-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
  76. Ruch,Franz Ulrich, 2021. "Neutral Real Interest Rates in Inflation Targeting Emerging and Developing Economies," Policy Research Working Paper Series 9711, The World Bank.
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  81. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  82. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
  83. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
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  114. repec:wrk:wrkemf:20 is not listed on IDEAS
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