IDEAS home Printed from https://ideas.repec.org/r/cpr/ceprdp/2333.html
   My bibliography  Save this item

Monetary Policy Misspecification in VAR Models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. K. Farrant & G. Peersman, 2005. "Is the exchange rate a shock absorber or a source of shocks? New empirical evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/285, Ghent University, Faculty of Economics and Business Administration.
  2. Canova, Fabio, 2002. "Validating Monetary DSGE Models through VARs," CEPR Discussion Papers 3442, C.E.P.R. Discussion Papers.
  3. Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
  4. An, Lian & Kim, Gil & Ren, Xiaomei, 2014. "Is devaluation expansionary or contractionary: Evidence based on vector autoregression with sign restrictions," Journal of Asian Economics, Elsevier, vol. 34(C), pages 27-41.
  5. Canova, Fabio & de Nicolo, Gianni, 2003. "On the sources of business cycles in the G-7," Journal of International Economics, Elsevier, vol. 59(1), pages 77-100, January.
  6. Chang, Yongsung & Schorfheide, Frank, 2003. "Labor-supply shifts and economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1751-1768, November.
  7. Radim Boháček & Hugo Rodríguez Mendizábal, 2007. "Credit Markets and the Propagation of Monetary Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1429-1455, September.
  8. Arratibel, Olga & Michaelis, Henrike, 2013. "The Impact of Monetary Policy and Exchange Rate Shocks in Poland: Evidence from a Time-Varying VAR," Discussion Papers in Economics 21088, University of Munich, Department of Economics.
  9. Kuhelika De & Ryan A. Compton & Daniel C. Giedeman & Gary A. Hoover, 2021. "Macroeconomic shocks and racial labor market differences," Southern Economic Journal, John Wiley & Sons, vol. 88(2), pages 680-704, October.
  10. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
  11. Lian An & Jian Wang, 2012. "Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions," Open Economies Review, Springer, vol. 23(2), pages 359-380, April.
  12. Bergin, Paul R. & Glick, Reuven & Wu, Jyh-Lin, 2017. "“Conditional PPP” and real exchange rate convergence in the euro area," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 78-92.
  13. Lian An & Yoonbai Kim, 2010. "Sources of Exchange Rate Movements in Japan: Is the Exchange Rate a Shock‐Absorber or a Source of Shock?," Review of International Economics, Wiley Blackwell, vol. 18(2), pages 265-276, May.
  14. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel vector autoregressive models: a survey," Working Paper Series 1507, European Central Bank.
  15. Eric M. Leeper & Jennifer E. Roush, 2003. "Putting \\"M\\" back in monetary policy," Proceedings, Federal Reserve Bank of Cleveland, pages 1217-1264.
  16. Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
  17. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2010. "Asset prices, exchange rates and the current account," European Economic Review, Elsevier, vol. 54(5), pages 643-658, July.
  18. Mansur, Alfan, 2015. "Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model," MPRA Paper 94018, University Library of Munich, Germany, revised 09 Jun 2015.
  19. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
  20. Alejandro Gaytán & Jesús González-García, 2007. "Cambios estructurales en el mecanismo de transmisión de la política monetaria en México: un enfoque VAR no lineal," Monetaria, CEMLA, vol. 0(4), pages 367-404, octubre-d.
  21. Martin Menner & Hugo Rodríguez Mendizábal, 2008. "On the Identification of Monetary (and Other) Shocks," Finnish Economic Papers, Finnish Economic Association, vol. 21(1), pages 39-56, Spring.
  22. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  23. Tuan Khai Vu, 2015. "Exchange Rate Regimes and the Sources of Real Exchange Rate Fluctuations: Evidence from East Asia," Discussion Papers 31, Meisei University, School of Economics.
  24. Kuhelika De & Ryan A. Compton & Daniel C. Giedeman & Gary A. Hoover, 2019. "Macroeconomic Shocks and Racial Labour Market Differences in the U.S," CESifo Working Paper Series 8004, CESifo.
  25. Eric M. Leeper & Tao Zha, 2000. "Assessing simple policy rules: a view from a complete macro model," FRB Atlanta Working Paper 2000-19, Federal Reserve Bank of Atlanta.
  26. Andrew Mountford & Harald Uhlig, 2009. "What are the effects of fiscal policy shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
  27. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
  28. Giordani, Paolo, 2004. "An alternative explanation of the price puzzle," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1271-1296, September.
  29. Aleksandra Nocoń, 2020. "Sustainable Approach to the Normalization Process of the UK’s Monetary Policy," Sustainability, MDPI, vol. 12(21), pages 1-14, November.
  30. De, Kuhelika & Sun, Wei, 2020. "Is the exchange rate a shock absorber or a source of shocks? Evidence from the U.S," Economic Modelling, Elsevier, vol. 89(C), pages 1-9.
  31. Jan Prüser & Alexander Schlösser, 2020. "On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(5), pages 1217-1237, October.
  32. Prüser, Jan & Schlösser, Alexander, 2018. "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers 761, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  33. Eric M. Leeper & Tao Zha, 2001. "Assessing simple policy rules: a view from a complete macroeconomic model," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 83-112.
  34. Enders, Zeno & Müller, Gernot J. & Scholl, Almuth, 2011. "How do fiscal and technology shocks affect real exchange rates?: New evidence for the United States," Journal of International Economics, Elsevier, vol. 83(1), pages 53-69, January.
  35. Juvenal, Luciana, 2011. "Sources of exchange rate fluctuations: Are they real or nominal?," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 849-876, September.
  36. Gaytán González Alejandro & González García Jesús R., 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers 2006-06, Banco de México.
  37. Wei Sun & Lian An, 2012. "Assessing China'S Renminbi Peg To The U.S. Dollar: The Case For Greater Rmb Exchange Rate Flexibility," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 57(01), pages 1-18.
  38. Andrew Mountford, 2005. "Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 597-621, October.
  39. Oscar Díaz Q. & Marco Laguna V., 2007. "Factores que explican la reducción de las tasas pasivas de interés en el sistema bancario boliviano," Monetaria, CEMLA, vol. 0(4), pages 331-366, octubre-d.
  40. Azzouzi, asmae & Bousselhamia, Ahmed, 2019. "Impact Des Variations Du Taux De Change Reel Sur L'Economie Marocaine : Une Approche Svar A Des Restrictions De Signes [Impact Of Real Exchange Rate Variations On The Moroccan Economy: A Svar Appro," MPRA Paper 110397, University Library of Munich, Germany.
  41. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS) 971, University of Warwick, Department of Economics.
  42. Fidora, Michael & Chudik, Alexander, 2011. "Using the global dimension to identify shocks with sign restrictions," Working Paper Series 1318, European Central Bank.
  43. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
  44. Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 315-349.
  45. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
  46. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society.
  47. Fidora, Michael & Bracke, Thierry, 2008. "Global liquidity glut or global savings glut? A structural VAR approach," Working Paper Series 911, European Central Bank.
  48. Mustafa Caglayan & Kostas Mouratidis & Elham Saeidinezhad, 2011. "Monetary policy effects on output and exchange rates: Results from US, UK and Japan," Working Papers 2011016, The University of Sheffield, Department of Economics.
  49. Mthuli Ncube & Eliphas Ndou, 2013. "Working Paper 169 - Monetary Policy and Exchange Rate Shocks on South African Trade Balance," Working Paper Series 448, African Development Bank.
  50. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
  51. Narayana, N.S.S. & Ghosh, Probal P., 2005. "Macroeconomic Simulation Results for India based on VEC/VAR Models," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 60(4), pages 1-40.
  52. Bracke, Thierry & Fidora, Michael, 2012. "The macro-financial factors behind the crisis: Global liquidity glut or global savings glut?," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 185-202.
  53. Canova, Fabio & Nicolo, Gianni De, 2002. "Monetary disturbances matter for business fluctuations in the G-7," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
  54. Alexander Chudik & Michael Fidora, 2012. "How the global perspective can help us identify structural shocks," Staff Papers, Federal Reserve Bank of Dallas, issue Dec.
  55. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank.
  56. RAMDE, Fousseni, 2015. "Institution, investissements et croissance dans l’UEMOA: une approche panel VAR [Institution, investments and growth in WAEMU: a panel VAR approach]," MPRA Paper 82417, University Library of Munich, Germany, revised 01 Jun 2017.
  57. Klaeffling, Matt, 2003. "Macroeconomic modelling of monetary policy," Working Paper Series 257, European Central Bank.
  58. repec:hum:wpaper:sfb649dp2005-037 is not listed on IDEAS
  59. Farrant, Katie & Peersman, Gert, 2006. "Is the Exchange Rate a Shock Absorber or a Source of Shocks? New Empirical Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 939-961, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.