Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 21215.
Date of creation: Mar 2010
Date of revision:
monetary policy shocks; threshold vector autoregression;
Other versions of this item:
- Martin Mandler, 2010. "Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," MAGKS Papers on Economics 201008, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-CBA-2010-03-20 (Central Banking)
- NEP-MAC-2010-03-20 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometric Society, vol. 64(2), pages 413-30, March.
- Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Mojon, Benoît, 2008.
"When did unsystematic monetary policy have an effect on inflation?,"
European Economic Review,
Elsevier, vol. 52(3), pages 487-497, April.
- Mojon, Benoît, 2005. "When did unsystematic monetary policy have an effect on inflation?," Working Paper Series 0559, European Central Bank.
- Athanasios Orphanides & David W. Wilcox, 1996.
"The opportunistic approach to disinflation,"
Finance and Economics Discussion Series
96-24, Board of Governors of the Federal Reserve System (U.S.).
- Donald W.K. Andrews & Werner Ploberger, 1992.
"Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative,"
Cowles Foundation Discussion Papers
1015, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997.
"Monetary policy shocks: what have we learned and to what end?,"
Working Paper Series, Macroeconomic Issues
WP-97-18, Federal Reserve Bank of Chicago.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- 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, vol. 10(2), pages 1-21, May.
- Calza, Alessandro & Sousa, João, 2005. "Output and inflation responses to credit shocks: are there threshold effects in the euro area?," Working Paper Series 0481, European Central Bank.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.