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Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions

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  • Mandler, Martin

Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/21215/
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File URL: http://mpra.ub.uni-muenchen.de/21347/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21215.

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Date of creation: Mar 2010
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Handle: RePEc:pra:mprapa:21215

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Keywords: monetary policy shocks; threshold vector autoregression;

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  1. Mojon, Benoît, 2008. "When did unsystematic monetary policy have an effect on inflation?," European Economic Review, Elsevier, Elsevier, vol. 52(3), pages 487-497, April.
  2. Athanasios Orphanides & David W. Wilcox, 1996. "The opportunistic approach to disinflation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-24, Board of Governors of the Federal Reserve System (U.S.).
  3. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
  4. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1015, Cowles Foundation for Research in Economics, Yale University.
  5. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 296, University of Rochester - Center for Economic Research (RCER).
  6. Calza Alessandro & Sousa João, 2006. "Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 10(2), pages 1-21, May.
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