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Mark Kerssenfischer

Personal Details

First Name:Mark
Middle Name:
Last Name:Kerssenfischer
Suffix:
RePEc Short-ID:pke298
[This author has chosen not to make the email address public]
https://sites.google.com/site/markkerssenfischer
Twitter: @markkersen

Affiliation

Deutsche Bundesbank

Frankfurt, Germany
http://www.bundesbank.de/
RePEc:edi:dbbgvde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kamps, Christophe & Bussière, Matthieu & Niessner, Birgit & Tristani, Oreste & Christoffel, Kai & Kapadia, Sujit & Ferrero, Giuseppe & Gilbert, Niels & Vlassopoulos, Thomas & Motto, Roberto & Gerke, R, 2025. "Report on monetary policy tools, strategy and communication," Occasional Paper Series 372, European Central Bank.
  2. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
  3. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
  4. Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
  5. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
  6. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.

Articles

  1. Kerssenfischer, Mark & Schmeling, Maik, 2024. "What moves markets?," Journal of Monetary Economics, Elsevier, vol. 145(C).
  2. Kerssenfischer, Mark, 2022. "Information effects of euro area monetary policy," Economics Letters, Elsevier, vol. 216(C).
  3. Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
  4. Mark Kerssenfischer, 2019. "The puzzling effects of monetary policy in VARs: Invalid identification or missing information?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(1), pages 18-25, January.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Mark Kerssenfischer, 2019. "The puzzling effects of monetary policy in VARs: Invalid identification or missing information?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(1), pages 18-25, January.

    Mentioned in:

    1. The Puzzling Effects of Monetary Policy in VARs: Invalid Identification or Missing Information? (Journal of Applied Econometrics 2019) in ReplicationWiki ()

Working papers

  1. Kamps, Christophe & Bussière, Matthieu & Niessner, Birgit & Tristani, Oreste & Christoffel, Kai & Kapadia, Sujit & Ferrero, Giuseppe & Gilbert, Niels & Vlassopoulos, Thomas & Motto, Roberto & Gerke, R, 2025. "Report on monetary policy tools, strategy and communication," Occasional Paper Series 372, European Central Bank.

    Cited by:

    1. Luca Baldo & Marco Bernardini, 2025. "What drives policy rate expectations? Evidence from the post-pandemic monetary policy cycle," Temi di discussione (Economic working papers) 1500, Bank of Italy, Economic Research and International Relations Area.
    2. Arden, Lucas & Hauptmeier, Sebastian & Kamps, Christophe, 2025. "Inflation-stabilizing monetary and fiscal policy rules at and away from the lower bound," Journal of Monetary Economics, Elsevier, vol. 156(C).

  2. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.

    Cited by:

    1. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
    2. Lea Best & Benjamin Born & Manuel Menkhoff, 2025. "The Impact of Interest: Firms' Investment Sensitivity to Interest Rates," CESifo Working Paper Series 12167, CESifo.

  3. Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.

    Cited by:

    1. Rai, Anoop & Rojer, Guido & Susanna, Edirel, 2021. "Central bank transparency and market reaction in Brazil, Chile, and Colombia," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    2. Hülsewig, Oliver & Rottmann, Horst, 2021. "Euro area house prices and unconventional monetary policy surprises," Economics Letters, Elsevier, vol. 205(C).
    3. Marco Pinchetti & Andrzej Szczepaniak, 2021. "Global spillovers of the Fed information effect," Bank of England working papers 952, Bank of England.
    4. Kapp, Daniel & Kristiansen, Kristian, 2021. "Euro area equity risk premia and monetary policy: a longer-term perspective," Working Paper Series 2535, European Central Bank.
    5. Hubert, Paul & Labondance, Fabien, 2021. "The signaling effects of central bank tone," European Economic Review, Elsevier, vol. 133(C).
    6. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
    7. Andrejs Zlobins, 2024. "On the time-varying effects of the ECB’s asset purchases," Empirical Economics, Springer, vol. 66(6), pages 2593-2623, June.
    8. Magdalena Grothe, 2023. "Monetary Policy Spillovers to Polish Financial Markets," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 1-10.
    9. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    10. Andrejs Zlobins, 2021. "Macroeconomic effects of the ECB’S forward guidance," Empirical Economics, Springer, vol. 61(5), pages 2587-2611, November.
    11. Franz, Thorsten, 2020. "Central bank information shocks and exchange rates," Discussion Papers 13/2020, Deutsche Bundesbank.
    12. Fabian Fink & Lukas Frei & Thomas Maag & Tanja Zehnder, 2020. "The impact of SNB monetary policy on the Swiss franc and longer-term interest rates," Working Papers 2020-01, Swiss National Bank.
    13. Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
    14. Martin Baumgärtner & Jens Klose, 2021. "Why central banks announcing liquidity injections is more effective than forward guidance," International Finance, Wiley Blackwell, vol. 24(2), pages 236-256, August.
    15. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    16. Hülsewig, Oliver & Rottmann, Horst, 2021. "Euro area periphery countries' fiscal policy and monetary policy surprises," Weidener Diskussionspapiere 81, University of Applied Sciences Amberg-Weiden (OTH).
    17. Kugler, Peter, 2020. "The Short-Run Impact of Interest Rates on Exchange Rates: Results for the Swiss franc Against the Euro and US Dollar from Daily Data 2001-2011," Working papers 2020/01, Faculty of Business and Economics - University of Basel.
    18. Adam Elbourne, 2019. "SVARs, the central bank balance sheet and the effects of unconventional monetary policy in the euro area," CPB Discussion Paper 407, CPB Netherlands Bureau for Economic Policy Analysis.
    19. Daniel Gründler & Eric Mayer & Johann Scharler, 2021. "Monetary Policy Announcements, Information Schocks, and Exchange Rate Dynamics," Working Papers 2021-16, Faculty of Economics and Statistics, Universität Innsbruck.
    20. Breitenlechner, Max & Gründler, Daniel & Scharler, Johann, 2021. "Unconventional monetary policy announcements and information shocks in the U.S," Journal of Macroeconomics, Elsevier, vol. 67(C).
    21. Victoria Bannikova, 2022. "Modelling Monetary Surprises Impact on Exchange Rate in Euro Area: Role of Revision of Expectations," Russian Journal of Money and Finance, Bank of Russia, vol. 81(3), pages 3-21, September.
    22. Patrick Hirsch & Lars P. Feld & Ekkehard A. Köhler, 2023. "Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations," CESifo Working Paper Series 10285, CESifo.
    23. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
    24. van der Zwan, Terri & Kole, Erik & van der Wel, Michel, 2024. "Heterogeneous macro and financial effects of ECB asset purchase programs," Journal of International Money and Finance, Elsevier, vol. 143(C).
    25. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    26. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
    27. Grothe, Magdalena, . "Wpływ zagranicznej polityki pieniężnej na rynki finansowe w Polsce," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2023(2).
    28. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
    29. Gürkaynak, Refet S. & Kara, A. Hakan & Kısacıkoğlu, Burçin & Lee, Sang Seok, 2021. "Monetary policy surprises and exchange rate behavior," Journal of International Economics, Elsevier, vol. 130(C).
    30. Siekmann, Helmut & Wieland, Volker, 2020. "The ruling of the Federal Constitutional Court concerning the public sector purchase program: A practical way forward," IMFS Working Paper Series 140, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    31. Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
    32. Parle, Conor, 2022. "The financial market impact of ECB monetary policy press conferences — A text based approach," European Journal of Political Economy, Elsevier, vol. 74(C).
    33. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    34. Michael Smolyansky & Gustavo A. Suarez, 2021. "Non-monetary news in Fed announcements: Evidence from the corporate bond market," Finance and Economics Discussion Series 2021-010r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.
    35. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    36. Murgia, Lucia M., 2020. "The effect of monetary policy shocks on macroeconomic variables: Evidence from the Eurozone," Economics Letters, Elsevier, vol. 186(C).
    37. Eminidou, Snezana & Zachariadis, Marios, 2022. "Firms’ expectations and monetary policy shocks in the euro area," Journal of International Money and Finance, Elsevier, vol. 122(C).
    38. Andrejs Zlobins, 2020. "ZLB and Beyond: Real and Financial Effects of Low and Negative Interest Rates in the Euro Area," Working Papers 2020/06, Latvijas Banka.

  4. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.

    Cited by:

    1. Boer, Lukas & Lütkepohl, Helmut, 2021. "Qualitative versus quantitative external information for proxy vector autoregressive analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    2. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
    3. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    4. Wei Zhang, 2024. "Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series," Papers 2409.08354, arXiv.org, revised Aug 2025.
    5. Gries, Thomas & Mitschke, Alexandra, 2019. "Systemic instability of the interbank credit market: A contribution to a resilient financial system," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203582, Verein für Socialpolitik / German Economic Association.
    6. Lütkepohl, Helmut & Schlaak, Thore, 2021. "Heteroskedastic Proxy Vector Autoregressions," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242399, Verein für Socialpolitik / German Economic Association.
    7. Anwar, Cep Jandi, 2021. "Heterogeneity Effect of Central Bank Independence on Asset Prices: Evidence from Selected Developing Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 65-80.
    8. Hoshino, Satoshi & Ida, Daisuke, 2025. "Stock prices and monetary policy: Analysis of a Bayesian DSGE model," Economic Modelling, Elsevier, vol. 148(C).
    9. Lake, A., 2020. "Behavioural Finance at Home: Testing Deviations of House Prices from their Fundamental Values," Cambridge Working Papers in Economics 20104, Faculty of Economics, University of Cambridge.
    10. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    11. Anthony Olugbenga ADARAMOLA & Peter Akinyemi KAYODE, 2022. "Is Monetary Policy - Stock Price Behaviour Effect Sector-Sensitive? Evidence From Nigeria," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 7(3), pages 171-193.
    12. Christophe Blot & Fabien Labondance, 2021. "Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound," Working Papers 2021-03, CRESE.
    13. Akkaya, Yıldız & Bitter, Lea & Brand, Claus & Fonseca, Luís, 2024. "A statistical approach to identifying ECB monetary policy," Working Paper Series 2994, European Central Bank.
    14. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    15. Helmut Lütkepohl & Aleksei Netsunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Discussion Papers of DIW Berlin 1729, DIW Berlin, German Institute for Economic Research.
    16. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Working Papers hal-03403075, HAL.
    17. Bettendorf, Timo, 2025. "Disentangling supply-side and demand-side effects of uncertainty shocks on U.S. financial markets: Identification using prices of gold and oil," Discussion Papers 10/2025, Deutsche Bundesbank.
    18. Mirela Sorina Miescu & Giorgio Motta & Dario Pontiggia & Raffaele Rossi, 2023. "The Expansionary Effects Of Housing Credit Supply Shocks," Working Papers 399832231, Lancaster University Management School, Economics Department.
    19. Kaelo Ntwaepelo & Grivas Chiyaba, 2022. "Financial Stability Surveillance Tools: Evaluating the Performance of Stress Indices," Economics Discussion Papers em-dp2022-06, Department of Economics, University of Reading.
    20. Jonas Meier, 2020. "Multivariate Distribution Regression," Diskussionsschriften dp2023, Universitaet Bern, Departement Volkswirtschaft.
    21. Bianco, Timothy & Herrera, Ana María, 2025. "Monetary policy and credit flows: A tale of two effective lower bounds," Journal of Economic Dynamics and Control, Elsevier, vol. 175(C).
    22. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
    23. Helmut Herwartz & Simone Maxand & Hannes Rohloff, 2022. "The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-53, December.
    24. Sharif, Taimur & Bouteska, Ahmed & Zoynul Abedin, Mohammad & Cotturone, Saulo, 2025. "An enquiry into the monetary policy and stock market shocks in the US," International Review of Economics & Finance, Elsevier, vol. 98(C).
    25. Mirela Miescu & Haroon Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 280730188, Lancaster University Management School, Economics Department.
    26. Takumah, Wisdom, 2023. "Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors," MPRA Paper 117897, University Library of Munich, Germany, revised 10 Jul 2023.

Articles

  1. Kerssenfischer, Mark & Schmeling, Maik, 2024. "What moves markets?," Journal of Monetary Economics, Elsevier, vol. 145(C).
    See citations under working paper version above.
  2. Kerssenfischer, Mark, 2022. "Information effects of euro area monetary policy," Economics Letters, Elsevier, vol. 216(C).

    Cited by:

    1. Sangyup Choi & Kimoon Jeong & Jiseob Kim, 2024. "Asymmetric Mortgage Channel of Monetary Policy: Refinancing as a Call Option," Working papers 2024rwp-228, Yonsei University, Yonsei Economics Research Institute.
    2. Bobasu, Alina & Ciccarelli, Matteo & Notarpietro, Alessandro & Ambrocio, Gene & Auer, Simone & Bonfim, Diana & Bottero, Margherita & Brázdik, František & Buss, Ginters & Byrne, David & Casalis, André , 2025. "Monetary policy transmission: a reference guide through ESCB models and empirical benchmarks," Occasional Paper Series 377, European Central Bank.
    3. Marco Pinchetti & Andrzej Szczepaniak, 2021. "Global spillovers of the Fed information effect," Bank of England working papers 952, Bank of England.
    4. Akkaya, Yıldız & Bitter, Lea & Brand, Claus & Fonseca, Luís, 2024. "A statistical approach to identifying ECB monetary policy," Working Paper Series 2994, European Central Bank.
    5. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    6. Karau, Sören, 2024. "Relative monetary policy and exchange rates," Discussion Papers 40/2024, Deutsche Bundesbank.
    7. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
    8. Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2023. "The Energy-Price Channel of (European) Monetary Policy," Discussion Papers of DIW Berlin 2033, DIW Berlin, German Institute for Economic Research.
    9. Sinem Kandemir & Peter Tillmann, 2023. "Not all ECB meetings are created equal," MAGKS Papers on Economics 202312, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    10. Carlos Alba & Julio A. Carrillo & Raúl Ibarra, 2024. "Information Effects of US Monetary Policy Announcements on Emerging Economies: Evidence from Mexico," Working Papers 2024-14, Banco de México.
    11. Marco Moreno & Simone Cima, 2024. "Monetary policy shocks and their effects across the wealth distribution: evidence from new European data," Trinity Economics Papers tep0524, Trinity College Dublin, Department of Economics, revised Mar 2025.
    12. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    13. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2024. "Is There an Information Channel of Monetary Policy?," Discussion Papers of DIW Berlin 2084, DIW Berlin, German Institute for Economic Research.
    14. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

  3. Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
    See citations under working paper version above.
  4. Mark Kerssenfischer, 2019. "The puzzling effects of monetary policy in VARs: Invalid identification or missing information?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(1), pages 18-25, January.

    Cited by:

    1. Lorenti, A.Nicolás & Mora-Ruano, Rubén & Fernández Romero, Daniel & Angoitia Grijalba, Miguel, 2025. "Fiscal Forecast Errors in the Eurozone: The Influence of Independent Fiscal Institutions (IFIs) and Monetary Policy," Hacienda Pública Española / Review of Public Economics, IEF, vol. 254(3), pages 119-156, September.
    2. Yang, Yang & Zhang, Jiqiang, 2021. "Effects of monetary policy on the exchange rates: A Time-varying analysis," Finance Research Letters, Elsevier, vol. 43(C).
    3. Martin Bruns, 2019. "Proxy VAR models in a data-rich environment," University of East Anglia School of Economics Working Paper Series 2019-03, School of Economics, University of East Anglia, Norwich, UK..
    4. Enzinger, Matthias & Gechert, Sebastian & Heimberger, Philipp & Prante, Franz & Romero, Daniel Fernández, 2025. "The overstated effects of conventional monetary policy on output and prices," OSF Preprints 72cen_v2, Center for Open Science.
    5. Stefan Schiman-Vukan & Harald Badinger, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," WIFO Working Papers 608, WIFO.
    6. Kerssenfischer, Mark, 2019. "Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203524, Verein für Socialpolitik / German Economic Association.
    7. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    8. Giorgia De Nora, 2021. "Factor Augmented Vector-Autoregression with narrative identification. An application to monetary policy in the US," Working Papers 934, Queen Mary University of London, School of Economics and Finance.
    9. Carsen Jentsch & Kurt Graden Lunsford, 2019. "Asymptotically Valid Bootstrap Inference for Proxy SVARs," Working Papers 19-08, Federal Reserve Bank of Cleveland.
    10. Paul Hubert & Frédérique Savignac, 2023. "Monetary Policy and Labor Income Inequality: the Role of Extensive and Intensive Margins," Working papers 913, Banque de France.
    11. Dominik Bertsche, 2019. "The effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approachThe effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approach," Working Paper Series of the Department of Economics, University of Konstanz 2019-06, Department of Economics, University of Konstanz.
    12. Bruns, Martin, 2021. "Proxy Vector Autoregressions in a Data-rich Environment," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    13. Maurizio Daniele & Julie Schnaitmann, 2019. "A Regularized Factor-augmented Vector Autoregressive Model," Papers 1912.06049, arXiv.org.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (6) 2016-10-16 2019-03-04 2019-11-04 2022-06-27 2024-07-15 2025-07-14. Author is listed
  2. NEP-MAC: Macroeconomics (6) 2016-10-16 2017-05-07 2019-03-04 2019-11-04 2022-06-27 2025-07-14. Author is listed
  3. NEP-CBA: Central Banking (4) 2017-05-07 2019-03-04 2019-11-04 2025-07-14
  4. NEP-MON: Monetary Economics (4) 2016-10-16 2017-05-07 2019-03-04 2019-11-04
  5. NEP-FMK: Financial Markets (2) 2022-06-27 2024-07-15
  6. NEP-MST: Market Microstructure (2) 2022-06-27 2024-07-15
  7. NEP-ECM: Econometrics (1) 2017-05-07
  8. NEP-FDG: Financial Development and Growth (1) 2022-06-27

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