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Citations for "VAR analysis and the Great Moderation"

by Benati, Luca & Surico, Paolo

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  1. Anton Nakov & Andrea Pescatori, 2007. "Oil and the Great Moderation," Banco de Espa�a Working Papers 0735, Banco de Espa�a.
  2. Efrem Castelnuovo & Luca Fanelli, 2014. "Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test," Melbourne Institute Working Paper Series wp2014n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  3. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
  4. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, 05.
  5. Martin Mandler, 2010. "Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions," MAGKS Papers on Economics 201012, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  6. Mehrotra, Aaron & Sánchez-Fung, José R., 2009. "Assessing McCallum and Taylor rules in a cross-section of emerging market economies," BOFIT Discussion Papers 23/2009, Bank of Finland, Institute for Economies in Transition.
  7. Fabio Canova & Luca Gambetti, 2007. "Do expectations matter? The Great Moderation revisited," Economics Working Papers 1084, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2009.
  8. Kosuke Aoki & Takeshi Kimura, 2008. "Central bank's two-way communication with the public and inflation dynamics," LSE Research Online Documents on Economics 25483, London School of Economics and Political Science, LSE Library.
  9. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
  10. Fanelli, Luca, 2012. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, vol. 170(1), pages 153-163.
  11. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
  12. Benati, Luca & Mumtaz, Haroon, 2007. "U.S. evolving macroeconomic dynamics: a structural investigation," Working Paper Series 0746, European Central Bank.
  13. Tagkalakis, Athanasios, 2011. "Fiscal policy and financial market movements," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 231-251, January.
  14. Benoît Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
  15. Edward Nelson, 2009. "An Overhaul of Doctrine: The Underpinning of UK Inflation Targeting," Economic Journal, Royal Economic Society, vol. 119(538), pages F333-F368, 06.
  16. Benati, Luca, 2010. "Are policy counterfactuals based on structural VAR's reliable?," Working Paper Series 1188, European Central Bank.
  17. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2015. "Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 126-154.
  18. Buch Claudia M & Doepke Joerg & Stahn Kerstin, 2009. "Great Moderation at the Firm Level? Unconditional vs. Conditional Output Volatility," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(1), pages 1-27, May.
  19. Barnett, Alina & Straub, Roland, 2008. "What drives U.S. current account fluctuations?," Working Paper Series 0959, European Central Bank.
  20. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-33, November.
  21. B. Hofmann & G. Peersman & R. Straub, 2010. "Time Variation in U.S. Wage Dynamics," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/691, Ghent University, Faculty of Economics and Business Administration.
  22. Martina Cecioni & Stefano Neri, 2011. "The monetary transmission mechanism in the euro area: has it changed and why?," Temi di discussione (Economic working papers) 808, Bank of Italy, Economic Research and International Relations Area.
  23. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2013. "How Optimal is US Monetary Policy?," Stirling Economics Discussion Papers 2013-05, University of Stirling, Division of Economics.
  24. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  25. Papadamou, Stephanos & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2015. "Central bank transparency and the interest rate channel: Evidence from emerging economies," Economic Modelling, Elsevier, vol. 48(C), pages 167-174.
  26. Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
  27. Jaromir Baxa & Roman Horvath & Borek Vasicek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers 2010/02, Czech National Bank, Research Department.
  28. Minford, Patrick & Ou, Zhirong & Wickens, Michael, 2012. "Revisiting the Great Moderation: policy or luck?," Cardiff Economics Working Papers E2012/9, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2014.
  29. Aviad Tur-Sinai, 2014. "Adaptation patterns and consumer behavior as a dependency on terror," Mind and Society: Cognitive Studies in Economics and Social Sciences, Fondazione Rosselli, vol. 13(2), pages 257-269, November.
  30. Fabio Milani, 2007. "Learning and Time-Varying Macroeconomic Volatility," Working Papers 070802, University of California-Irvine, Department of Economics.
  31. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011,10, Christian-Albrechts-University of Kiel, Department of Economics.
  32. Marcelo Ferman, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," FMG Discussion Papers dp678, Financial Markets Group.
  33. Stelios Bekiros & Alessia Paccagnini, 2013. "Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models," Working Papers 236, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
  34. Stelios Bekiros & Alessia Paccagnini, 2014. "Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model," Working Papers 2014-183, Department of Research, Ipag Business School.
  35. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series 14113, Department of Economics, Norwegian University of Science and Technology.
  36. Galvão, Ana Beatriz C & Marcellino, Massimiliano, 2010. "Endogenous Monetary Policy Regimes and the Great Moderation," CEPR Discussion Papers 7827, C.E.P.R. Discussion Papers.
  37. Francesco Nucci & Marianna Riggi, 2009. "The Great Moderation and Changes in the Structure of Labor Compensation," Working Papers 124, University of Rome La Sapienza, Department of Public Economics.
  38. Benati, Luca, 2009. "Would the Bundesbank have prevented the Great Inflation in the United States?," Working Paper Series 1134, European Central Bank.
  39. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
  40. Sachsida, Adolfo & Divino, Jose Angelo & Cajueiro, Daniel Oliveira, 2011. "Inflation, unemployment, and the time consistency of the US monetary policy," Structural Change and Economic Dynamics, Elsevier, vol. 22(2), pages 173-179, June.
  41. Francesco Bianchi, 2010. "Regime Switches, Agents' Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," Working Papers 10-39, Duke University, Department of Economics.
  42. Keen, Steve, 2013. "A monetary Minsky model of the Great Moderation and the Great Recession," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 221-235.
  43. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  44. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  45. Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013. "Changes in the effects of monetary policy on disaggregate price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 543-560.
  46. Ko, Jun-Hyung & Murase, Koichi, 2013. "Great Moderation in the Japanese economy," Japan and the World Economy, Elsevier, vol. 27(C), pages 10-24.
  47. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
  48. Buch, Claudia M. & Döpke, Jörg & Stahn, Kerstin, 2008. "Great moderation at the firm level? Unconditional versus conditional output volatility," Discussion Paper Series 1: Economic Studies 2008,13, Deutsche Bundesbank, Research Centre.
  49. Norhana Endut & James Morley & Pao-Lin Tien, 2015. "The Changing Transmission Mechanism of U.S. Monetary Policy," Discussion Papers 2015-03, School of Economics, The University of New South Wales.
  50. Stelios D. Bekiros & Alessia Paccagnini, 2013. "Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model," Working Paper Series 22_13, The Rimini Centre for Economic Analysis.
  51. Bezemer, Dirk & Grydaki, Maria, 2014. "Financial fragility in the Great Moderation," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 169-177.
  52. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Research Discussion Papers 20/2008, Bank of Finland.
  53. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
  54. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
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