Mandler, Martin (2010): Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions|
|Keywords:||monetary policy shocks; threshold vector autoregression|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Martin Mandler|
|Date Deposited:||08. Mar 2010 19:41|
|Last Modified:||19. Feb 2013 21:57|
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