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Citations for "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S"

by Timothy Cogley & Thomas J. Sargent

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  1. Antonio Moreno, 2003. "Reaching Inflation Stability," Faculty Working Papers 13/03, School of Economics and Business Administration, University of Navarra.
  2. George Monokroussos, 2011. "Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 519-534, March.
  3. Christine Garnier & Elmar Mertens & Edward Nelson, 2015. "Trend Inflation in Advanced Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 65-136, September.
  4. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  5. Queijo von Heideken, Virginia, 2008. "Monetary Policy Regimes and the Volatility of Long-Term Interest Rates," Working Paper Series 220, Sveriges Riksbank (Central Bank of Sweden).
  6. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53.
  7. Giorgio E. Primiceri, 2006. "Why Inflation Rose and Fell: Policy-Makers' Beliefs and U. S. Postwar Stabilization Policy," The Quarterly Journal of Economics, Oxford University Press, vol. 121(3), pages 867-901.
  8. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, Elsevier.
  9. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  10. Bacchetta, Philippe & van Wincoop, Eric, 2013. "On the unstable relationship between exchange rates and macroeconomic fundamentals," Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
  11. Keating, John W. & Valcarcel, Victor J., 2017. "What's so great about the Great Moderation?," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 115-142.
  12. Martin Kliem & Alexander Kriwoluzky & Samad Sarferaz, 2016. "On the Low‐Frequency Relationship Between Public Deficits and Inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 566-583, April.
  13. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute.
  14. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
  15. Hollmayr, Josef & Matthes, Christian, 2015. "Learning about fiscal policy and the effects of policy uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 142-162.
  16. Davide Debortoli & Ricardo Nunes, 2014. "Monetary Regime Switches and Central Bank Preferences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1591-1626, December.
  17. Malley, Jim & Woitek, Ulrich, 2010. "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1214-1232, July.
  18. WilliamA. Branch & John Carlson & GeorgeW. Evans & Bruce McGough, 2009. "Monetary Policy, Endogenous Inattention and the Volatility Trade-off," Economic Journal, Royal Economic Society, vol. 119(534), pages 123-157, January.
  19. Piero Ferri & Anna Maria Variato, 2007. "Macro Dynamics in a Model with Uncertainty," Working Papers (-2012) 0704, University of Bergamo, Department of Economics.
  20. Tatsuyoshi Okimoto & Katsumi Shimotsu, 2007. "Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity," Working Papers 1138, Queen's University, Department of Economics.
  21. Demertzis, Maria & Marcellino, Massimiliano & Viegi, Nicola, 2008. "A Measure for Credibility: Tracking US Monetary Developments," CEPR Discussion Papers 7036, C.E.P.R. Discussion Papers.
  22. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
  23. Fabio Canova & Matteo Ciccarelli, 2009. "Estimating Multicountry Var Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, August.
  24. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  25. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
  26. Huber, Florian & Punzi, Maria Teresa, 2016. "International housing markets, unconventional monetary policy and the zero lower bound," FinMaP-Working Papers 58, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  27. Luca Benati, 2005. "U.K. Monetary Regimes and Macroeconomic Stylised Facts," Computing in Economics and Finance 2005 107, Society for Computational Economics.
  28. Stelios D. Bekiros & Alessia Paccagnini, 2016. "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(7), pages 613-632, November.
  29. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
  30. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print hal-01411817, HAL.
  31. Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2009. "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," American Economic Review, American Economic Association, vol. 99(1), pages 350-384, March.
  32. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
  33. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
  34. Prüser, Jan & Schlösser, Alexander, 2017. "The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR," Ruhr Economic Papers 708, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  35. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 341-367, March.
  36. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
  37. Koop, Gary & Korobilis, Dimitris, 2011. "UK macroeconomic forecasting with many predictors: Which models forecast best and when do they do so?," Economic Modelling, Elsevier, vol. 28(5), pages 2307-2318, September.
  38. Sharon Kozicki & P.A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Staff Working Papers 06-46, Bank of Canada.
  39. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
  40. Banerjee, A. & Malik, S., 2012. "The changing role of expectations in US monetary policy: A new look using the Livingston Survey," Working papers 376, Banque de France.
  41. Dimitris Korobilis, 2013. "Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models-super-," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(2), pages 157-179, April.
  42. Qureshi, Irfan, 2015. "Monetary Policy Shifts and Central Bank Independence," MPRA Paper 81646, University Library of Munich, Germany, revised Sep 2017.
  43. Florin O. Bilbiie & Roland Straub, 2013. "Asset Market Participation, Monetary Policy Rules, and the Great Inflation," The Review of Economics and Statistics, MIT Press, vol. 95(2), pages 377-392, May.
  44. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, EconWPA.
  45. Paolo Surico, 2005. "Monetary Policy Shifts, Indeterminacy and Inflation Dynamics," Macroeconomics 0504014, EconWPA.
  46. Vasilios Plakandaras & Periklis Gogas & Rangan Gupta & Theophilos Papadimitriou, 2015. "US inflation dynamics on long-range data," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3874-3890, August.
  47. Kostas Mavromatis, 2017. "US monetary regimes and optimal monetary policy in the Euro Area," DNB Working Papers 570, Netherlands Central Bank, Research Department.
  48. Gambetti, Luca & Musso, Alberto, 2017. "The macroeconomic impact of the ECB's expanded asset purchase programme (APP)," Working Paper Series 2075, European Central Bank.
  49. Daniel Kaufmann, 2015. "Nominal stability and Swiss monetary regimes over two centuries," KOF Working papers 15-379, KOF Swiss Economic Institute, ETH Zurich.
  50. Francesco Bianchi & Leonardo Melosi, 2012. "Constrained Discretion and Central Bank Transparency," PIER Working Paper Archive 13-041, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  51. Sharon Kozicki & Peter A. Tinsley, 2005. "Perhaps the FOMC did what it said it did : an alternative interpretation of the Great Inflation," Research Working Paper RWP 05-04, Federal Reserve Bank of Kansas City.
  52. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  53. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
  54. Ciccarelli, Matteo & Rebucci, Alessandro, 2003. "Measuring contagion with a Bayesian, time-varying coefficient model," Working Paper Series 263, European Central Bank.
  55. Ana Beatriz Galvão & Michael Artis & Massimiliano Marcellino, 2007. "The transmission mechanism in a changing world," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.
  56. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
  57. Kosuke Aoki & Takeshi Kimura, 2008. "Central Bank's Two-Way Communication with the Public and Inflation Dynamics," CEP Discussion Papers dp0899, Centre for Economic Performance, LSE.
  58. Luca Gambetti & Jordi Galí, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
  59. Conrad, Christian & Eife, Thomas A., 2012. "Explaining inflation-gap persistence by a time-varying Taylor rule," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 419-428.
  60. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
  61. Michal Franta & Jan Libich & Petr Stehlík, 2012. "Tracking Monetary-Fiscal Interactions across Time and Space," CAMA Working Papers 2012-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  62. Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.
  63. Huang, Yu-Fan, 2015. "Time variation in U.S. monetary policy and credit spreads," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 205-215.
  64. Fabio Milani, 2005. "Adaptive Learning and Inflation Persistence," Working Papers 050607, University of California-Irvine, Department of Economics.
  65. Caterina Mendicino, 2006. "Credit Market and Macroeconomic Volatility," 2006 Meeting Papers 317, Society for Economic Dynamics.
  66. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
  67. Wiggins, Seth & Etienne, Xiaoli, 2015. "US Natural Gas Price Determination: Fundamentals and the Development of Shale," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205788, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  68. Blaise Gnimassoun & Marc Joets & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuation in diversified economies: The case of Canada," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2016-08, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  69. Tobias Straumann & Ulrich Woitek, 2008. "A pioneer of a new monetary policy? Sweden�s price level targeting of the 1930s revisited," IEW - Working Papers 386, Institute for Empirical Research in Economics - University of Zurich.
  70. Willi Semmler & Wenlang Zhang, 2004. "Monetary and Fiscal Policy Interactions in the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(2), pages 205-227, June.
  71. John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
  72. Bekiros, Stelios & Gupta, Rangan & Paccagnini, Alessia, 2015. "Oil price forecastability and economic uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 125-128.
  73. 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.
  74. repec:eee:dyncon:v:82:y:2017:i:c:p:67-82 is not listed on IDEAS
  75. Christian Friedrich & Pierre Guérin, 2016. "The Dynamics of Capital Flow Episodes," Staff Working Papers 16-9, Bank of Canada.
  76. Cacciatore, Matteo & Ghironi, Fabio & Stebunovs, Viktors, 2015. "The domestic and international effects of interstate U.S. banking," Journal of International Economics, Elsevier, vol. 95(2), pages 171-187.
  77. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, EconWPA.
  78. Pittaluga, Giovanni Battista & Seghezza, Elena, 2012. "The Great Inflation in Italy: A Political Economy View - La Grande Inflazione in Italia: un’interpretazione alla luce della political economy," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 65(1), pages 65-81.
  79. Argia M. Sbordone, 2006. "U.S. Wage and Price Dynamics: A Limited-Information Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(3), September.
  80. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
  81. Julio A. Carrillo & Gert Peersman & Joris Wauters, 2013. "Endogenous Wage Indexation and Aggregate Shocks," Working Papers 2013-19, Banco de México.
  82. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
  83. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
  84. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
  85. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2011. "Minimal state variable solutions to Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2150-2166.
  86. Fabio Canova & Matteo Ciccarelli, 2002. "Panel Index Var Models: Specification, Estimation, Testing And Leading Indicators," Working Papers. Serie AD 2002-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  87. Knut Are Aastveit & Francesco Furlanetto & Francesca Loria, 2017. "Has the Fed responded to house and stock prices? A time-varying analysis," Working Papers 1713, Banco de España;Working Papers Homepage.
  88. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
  89. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
  90. Alex Brazier & Richard Harrison & Mervyn King & Tony Yates, 2008. "The Danger of Inflating Expectations of Macroeconomic Stability: Heuristic Switching in an Overlapping-Generations Monetary Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 219-254, June.
  91. Castelnuovo, Efrem, 2010. "Tracking U.S. inflation expectations with domestic and global indicators," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
  92. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  93. Koji Takahashi, 2016. "TIPS: The Trend Inflation Projection System and Estimation Results," Bank of Japan Working Paper Series 16-E-18, Bank of Japan.
  94. Eric Eisenstat & Rodney W. Strachan, 2016. "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 805-820, August.
  95. Eddie Gerba & Klemens Hauzenberger, 2013. "Estimating US Fiscal and Monetary Interactions in a Time Varying VAR," Studies in Economics 1303, School of Economics, University of Kent.
  96. Borzykh, Olga, 2016. "Bank lending channel in Russia: A TVP-FAVAR approach," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 96-117.
  97. Çiçek, Serkan & Akar, Cüneyt, 2013. "The asymmetry of inflation adjustment in Turkey," Economic Modelling, Elsevier, vol. 31(C), pages 104-118.
  98. repec:eee:intfor:v:33:y:2017:i:4:p:1025-1043 is not listed on IDEAS
  99. Ilek Alex, 2013. "Learning under signal-to-noise ratio uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 47-83, February.
  100. Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York, revised 01 Feb 2017.
  101. Castelnuovo, Efrem, 2008. "Regime shifts and the stability of backward-looking Phillips curves in open economies," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 40-53, February.
  102. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
  103. Michal Franta & Roman Horvath & Marek Rusnak, 2014. "Evaluating changes in the monetary transmission mechanism in the Czech Republic," Empirical Economics, Springer, vol. 46(3), pages 827-842, May.
  104. Amir Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2014. "Drifts, Volatilities and Impulse Responses Over the Last Century," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100562, Verein für Socialpolitik / German Economic Association.
  105. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  106. Todd E. Clark & Troy A. Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
  107. Halberstadt, Arne & Krippner, Leo, 2016. "The effect of conventional and unconventional euro area monetary policy on macroeconomic variables," Discussion Papers 49/2016, Deutsche Bundesbank, Research Centre.
  108. Haroon Mumtaz & Paolo Surico, 2015. "The Transmission Mechanism In Good And Bad Times," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1237-1260, November.
  109. Thomas J. Sargent & Noah Williams, 2005. "Impacts of Priors on Convergence and Escapes from Nash Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 360-391, April.
  110. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2005. "Inflation Premium and Oil Price Volatility," Working Papers Central Bank of Chile 350, Central Bank of Chile.
  111. 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.
  112. Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016. "Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
  113. Christopher A. Sims & Tao Zha, 2006. "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
  114. Necati Tekatli, 2007. "Understanding Sources of the Change in International Business Cycles," Working Papers 335, Barcelona Graduate School of Economics.
  115. Francisco Rosende & Matías Tapia, 2015. "Monetary Policy in Chile: Institutions, Objectives,and Instruments," Central Banking, Analysis, and Economic Policies Book Series,in: Ricardo J. Caballero & Klaus Schmidt-Hebbel (ed.), Economic Policies in Emerging-Market Economies Festschrift in Honor of Vittorio Corbo, edition 1, volume 21, chapter 12, pages 263-307 Central Bank of Chile.
  116. Zhu, Yanli & Chen, Haiqiang, 2017. "The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 522-535.
  117. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
  118. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  119. J. Huston McCulloch, 2005. "The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation," Computing in Economics and Finance 2005 239, Society for Computational Economics.
  120. Matthes, Christian & Hollmayr, Josef, 2015. "Tales of Transition Paths: Policy Uncertainty and Random Walks," Working Paper 15-11, Federal Reserve Bank of Richmond.
  121. Zsolt Darvas, 2013. "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(2), pages 363-390, May.
  122. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle: Fact or Artefact?," Macroeconomics 0505015, EconWPA, revised 19 Jul 2005.
  123. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 13(1), pages 97-131, June.
  124. Troy Davig & Eric M. Leeper, 2007. "Generalizing the Taylor Principle," American Economic Review, American Economic Association, vol. 97(3), pages 607-635, June.
  125. Hofmann, Boris & Peersman, Gert & Straub, Roland, 2012. "Time variation in U.S. wage dynamics," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 769-783.
  126. Kim, Chang-Jin & Nelson, Charles R., 2006. "Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1949-1966, November.
  127. de Mello, Luiz & Moccero, Diego, 2011. "Monetary policy and macroeconomic stability in Latin America: The cases of Brazil, Chile, Colombia and Mexico," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 229-245, February.
  128. Katarzyna Rosiak-Lada, 2008. "Stylized Facts of Macroeconomics: the Polish Experience," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 20.
  129. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, vol. 96(4), pages 1193-1224, September.
  130. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
  131. George Hondroyiannis & Sophia Lazaretou, 2007. "Inflation persistence during periods of structural change: an assessment using Greek data," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(5), pages 453-475, December.
  132. Eric Eisenstat & Joshua C. C. Chan & Rodney W. Strachan, 2016. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1638-1665, December.
  133. Esteban Prieto & Sandra Eickmeier & Massimiliano Marcellino, 2016. "Time Variation in Macro‐Financial Linkages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1215-1233, November.
  134. Luca Gambetti & Alberto Musso, 2017. "Loan Supply Shocks and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 764-782, June.
  135. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  136. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
  137. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," FRB Atlanta Working Paper 2007-23, Federal Reserve Bank of Atlanta.
  138. Gary Koop & Lise Tole, 2013. "Forecasting the European carbon market," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 723-741, June.
  139. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
  140. Fabio Canova & Luca Gambetti, 2010. "Do Expectations Matter? The Great Moderation Revisited," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 183-205, July.
  141. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  142. Hilde C. Bjørnland & Leif Anders Thorsrud, 2015. "Commodity prices and fiscal policy design: Procyclical despite a rule," Working Papers No 5/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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  144. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
  145. Cinzia Alcidi & Alessandro Flamini & Andrea Fracasso, 2011. "Policy Regime Changes, Judgment and Taylor rules in the Greenspan Era," Economica, London School of Economics and Political Science, vol. 78(309), pages 89-107, January.
  146. George Monokroussos, 2006. "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006 390, Society for Computational Economics.
  147. Stefan Neuwirth, 2017. "Time-varying mixed frequency forecasting: A real-time experiment," KOF Working papers 17-430, KOF Swiss Economic Institute, ETH Zurich.
  148. Canova, Fabio & Ciccarelli, Matteo, 2006. "Estimating multi-country VAR models," Working Paper Series 603, European Central Bank.
  149. Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
  150. Rondina, Francesca, 2012. "The role of model uncertainty and learning in the US postwar policy response to oil prices," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 1009-1041.
  151. Nick Bloom, 2006. "The Impact of Uncertainty Shocks: Firm Level Estimation and a 9/11 Simulation," CEP Discussion Papers dp0718, Centre for Economic Performance, LSE.
  152. Benoît Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
  153. Dibartolomeo, Giovanni & Rossi, Lorenza & Tancioni, Massimiliano, 2004. "Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison," MPRA Paper 1094, University Library of Munich, Germany, revised Jun 2006.
  154. Joshua C.C. Chan, 2015. "The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling," CAMA Working Papers 2015-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  155. Leonardo Melosi, 2017. "Signalling Effects of Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 84(2), pages 853-884.
  156. Bel, Koen & Paap, Richard, 2016. "Modeling the impact of forecast-based regime switches on US inflation," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1306-1316.
  157. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
  158. Atanas Christev & Yue Kang, 2015. "Money and Inflation: Is Monetary Policy Useful?," Manchester School, University of Manchester, vol. 83, pages 30-50, September.
  159. Guido Ascari & Paolo Bonomolo & Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
  160. Michal Franta, 2011. "Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework," IMES Discussion Paper Series 11-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  161. Kevin Lansing, 2009. "Time Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 304-326, April.
  162. Meredith Beechey & Pär Österholm, 2012. "The Rise and Fall of U.S. Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 55-86, September.
  163. Dawid Johannes van Lill, 2017. "Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes," Working Papers 704, Economic Research Southern Africa.
  164. Harashima, Taiji, 2008. "A Microfounded Mechanism of Observed Substantial Inflation Persistence," MPRA Paper 10668, University Library of Munich, Germany.
  165. James M. Nason & Gregor W. Smith, 2013. "Reverse Kalman filtering U.S. inflation with sticky professional forecasts," Working Papers 13-34, Federal Reserve Bank of Philadelphia.
  166. Christiane Baumeister & Gert Peersman, 2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
  167. Chan, Joshua C.C., 2013. "Moving average stochastic volatility models with application to inflation forecast," Journal of Econometrics, Elsevier, vol. 176(2), pages 162-172.
  168. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
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  170. Lendvai, Julia, 2006. "Inflation dynamics and regime shifts," Working Paper Series 684, European Central Bank.
  171. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  172. Jean Boivin & Marc P. Giannoni, 2007. "Global Forces and Monetary Policy Effectiveness," NBER Chapters,in: International Dimensions of Monetary Policy, pages 429-478 National Bureau of Economic Research, Inc.
  173. Toshitaka Sekine & Yuki Teranishi, 2008. "Inflation Targeting and Monetary Policy Activism," IMES Discussion Paper Series 08-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  174. Juan F. Jimeno & Esther Moral & Lorena Saiz, 2006. "Structural breaks in labor productivity growth: the United States vs. the European Union," Working Papers 0625, Banco de España;Working Papers Homepage.
  175. Knut Are Aastveit & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2014. "Have standard VARs remained stable since the crisis?," Working Paper 2014/13, Norges Bank.
  176. Timothy Cogley & Thomas J. Sargent, 2005. "The conquest of US inflation: Learning and robustness to model uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 528-563, April.
  177. Guido Ascari & Argia M. Sbordone, 2014. "The Macroeconomics of Trend Inflation," Journal of Economic Literature, American Economic Association, vol. 52(3), pages 679-739, September.
  178. Dedola, Luca & Neri, Stefano, 2007. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 512-549, March.
  179. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper 2014-21, Federal Reserve Bank of Atlanta.
  180. Luca Benati & Thomas A. Lubik, 2013. "The time-varying Beveridge curve," Working Paper 13-12, Federal Reserve Bank of Richmond.
  181. William Gatt, 2016. "Time variation, asymmetry and threshold effect in Malta's Phillips curve," CBM Working Papers WP/02/2016, Central Bank of Malta.
  182. Sargent, Thomas & Surico, Paolo, 2008. "Monetary policies and low-frequency manifestations of the quantity theory," Discussion Papers 26, Monetary Policy Committee Unit, Bank of England.
  183. Shen, Chung-Hua & Lin, Kun-Li & Guo, Na, 2016. "Hawk or dove: Switching regression model for the monetary policy reaction function in China," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 94-111.
  184. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
  185. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
  186. Teles, Vladimir Kühl & Zaidan, Marta, 2010. "Taylor principle and inflation stability in emerging market countries," Journal of Development Economics, Elsevier, vol. 91(1), pages 180-183, January.
  187. Henzel, Steffen R., 2013. "Fitting survey expectations and uncertainty about trend inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 172-185.
  188. Levin, Andrew T. & Piger, Jeremy M. & Natalucci, Fabio M., 2004. "Explicit inflation objectives and macroeconomic outcomes," Working Paper Series 383, European Central Bank.
  189. William Martin & Robert Rowthorn, 2004. "Will Stability Last?," CESifo Working Paper Series 1324, CESifo Group Munich.
  190. Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
  191. Carboni, Giacomo & Ellison, Martin, 2007. "Learning and the Great Inflation," CEPR Discussion Papers 6250, C.E.P.R. Discussion Papers.
  192. Hans KREMERS & Andreas LOESCHEL, "undated". "The Strategic Implications of Setting Border Tax Adjustments," EcoMod2010 259600097, EcoMod.
  193. Altavilla, Carlo & Ciccarelli, Matteo, 2009. "The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area," Working Paper Series 1089, European Central Bank.
  194. Florian Huber & Daniel Kaufmann, 2015. "Trend Fundamentals and Exchange Rate Dynamics," KOF Working papers 15-393, KOF Swiss Economic Institute, ETH Zurich.
  195. Márcio Laurini & João Frois Caldeira, 2012. "Some Comments on a Macro-Finance Model with Stochastic Volatility," IBMEC RJ Economics Discussion Papers 2012-04, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  196. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
  197. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
  198. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2007. "Monetary Policy under Rule-of-Thumb Consumers and External Habits," Money Macro and Finance (MMF) Research Group Conference 2006 1, Money Macro and Finance Research Group.
  199. Bilbiie, Florin O., 2004. "The great inflation, limited asset markets participation and aggregate demand: FED policy was better than you think," Working Paper Series 408, European Central Bank.
  200. McAdam, Peter & McNelis, Paul, 2005. "Forecasting inflation with thick models and neural networks," Economic Modelling, Elsevier, vol. 22(5), pages 848-867, September.
  201. 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.
  202. Ellis W. Tallman, 2003. "Monetary policy and learning: Some implications for policy and research," Economic Review, Federal Reserve Bank of Atlanta, issue Q3, pages 1-9.
  203. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  204. Juselius, Mikael, 2008. "Testing the New Keynesian Model on U.S. and Euro Area Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 2, pages 1-26.
  205. S. Avouyi-Dovi & C. Labonne & R. Lecat & S. Ray, 2017. "Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets," Working papers 620, Banque de France.
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  207. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2009. "Understanding Markov-switching rational expectations models," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1849-1867, September.
  208. Sujit Kapadia, 2005. "Optimal Monetary Policy under Hysteresis," Economics Series Working Papers 250, University of Oxford, Department of Economics.
  209. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
  210. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
  211. repec:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1 is not listed on IDEAS
  212. Ellington, Michael & Florackis, Chris & Milas, Costas, 2017. "Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 93-117.
  213. William T Gavin, 2007. "Recent Developments in Monetary Macroeconomics and US Dollar Policy," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 49-56, August.
  214. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
  215. Korobilis, Dimitris & Gilmartin, Michelle, 2010. "The dynamic effects of U.S. monetary policy on state unemployment," MPRA Paper 27596, University Library of Munich, Germany.
  216. Canova, Fabio & Favero, Carlo A., 2005. "Monetary Policy in the Euro Area: Lessons from Five Years of ECB and Implications for Turkey," CEPR Discussion Papers 5101, C.E.P.R. Discussion Papers.
  217. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
  218. Benjamin Wong, 2013. "The Evolution of the U.S. Output-Inflation Tradeoff," CAMA Working Papers 2013-70, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  219. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, C.E.P.R. Discussion Papers.
  220. repec:cml:incocp:2sp-1 is not listed on IDEAS
  221. Cantore, C. & Ferroni, F. & León-Ledesma, M A., 2011. "Interpreting the Hours-Technology time-varying relationship," Working papers 351, Banque de France.
  222. repec:wly:japmet:v:31:y:2016:i:7:p:1276-1290 is not listed on IDEAS
  223. Abbate, Angela & Marcellino, Massimiliano, 2016. "Point, interval and density forecasts of exchange rates with time-varying parameter models," CEPR Discussion Papers 11559, C.E.P.R. Discussion Papers.
  224. Haroon Mumtaz & Konstantinos Theodoridis, 2014. "The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis," Working Papers 735, Queen Mary University of London, School of Economics and Finance.
  225. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
  226. Kozicki, Sharon & Tinsley, P.A., 2005. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1985-2015, November.
  227. John C. Williams, 2006. "Inflation persistence in an era of well-anchored inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue oct13.
  228. Jakob de Haan & Marco Hoeberichts & Renske Maas & Federica Teppa, 2016. "Inflation in the euro area and why it matters," DNB Occasional Studies 1403, Netherlands Central Bank, Research Department.
  229. Antonello D'Agostino & Paolo Surico, 2012. "A Century of Inflation Forecasts," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1097-1106, November.
  230. Efrem Castelnuovo & Paolo Surico, 2010. "Monetary Policy, Inflation Expectations and The Price Puzzle," Economic Journal, Royal Economic Society, vol. 120(549), pages 1262-1283, December.
  231. Gary Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York.
  232. Tang, Hsiao Chink & Liu, Philip & Cheung, Eddie C., 2013. "Changing impact of fiscal policy on selected ASEAN countries," Journal of Asian Economics, Elsevier, vol. 24(C), pages 103-116.
  233. Benjamin Wong, 2013. "Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?," CAMA Working Papers 2013-59, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  234. Boivin, Jean, 2006. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1149-1173, August.
  235. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  236. Bijsterbosch, Martin & Falagiarda, Matteo, 2014. "Credit supply dynamics and economic activity in euro area countries: a time-varying parameter VAR analysis," Working Paper Series 1714, European Central Bank.
  237. Timo Teräsvirta, 2909. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
  238. Faccini, Renato & Mumtaz, Haroon & Surico, Paolo, 2016. "International fiscal spillovers," Journal of International Economics, Elsevier, vol. 99(C), pages 31-45.
  239. Qian, Hang, 2015. "Inequality Constrained State Space Models," MPRA Paper 66447, University Library of Munich, Germany.
  240. Bijsterbosch, Martin & Falagiarda, Matteo, 2015. "The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 93-115.
  241. Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
  242. Yamin Ahmad & Olena Mykhaylova, 2015. "Exploring International Differences in Inflation Dynamics," Working Papers 1509, College of the Holy Cross, Department of Economics.
  243. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
  244. Attinasi, Maria Grazia & Metelli, Luca, 2017. "Is fiscal consolidation self-defeating? A panel-VAR analysis for the Euro area countries," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 147-164.
  245. Cantore, Cristiano & Ferroni, Filippo & León-Ledesma, Miguel A., 2017. "The dynamics of hours worked and technology," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 67-82.
  246. Juan Francisco Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," FRB Atlanta Working Paper 2005-27, Federal Reserve Bank of Atlanta.
  247. Hollmayr, Josef & Matthes, Christian, 2014. "Dynamics of Monetary-Fiscal Interaction under Learning," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100609, Verein für Socialpolitik / German Economic Association.
  248. Sharon Kozicki & P. Tinsley, 2006. "Minding the Gap: Central Bank Estimates of the Unemployment Natural Rate," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 295-327, May.
  249. Gijsbert Suren & Guilherme Moura, 2012. "Heteroskedastic Dynamic Factor Models: A Monte Carlo Study," Economics Bulletin, AccessEcon, vol. 32(4), pages 2884-2898.
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  251. Kim, Dukpa, 2014. "Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility," Economics Letters, Elsevier, vol. 123(3), pages 282-286.
  252. Pesce, Antonio, 2014. "International (spillovers in) macrofinancial linkages and the decoupling phenomenon," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 41-67.
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  254. Ko, Jun-Hyung & Murase, Koichi, 2013. "Great Moderation in the Japanese economy," Japan and the World Economy, Elsevier, vol. 27(C), pages 10-24.
  255. Kang Kyu Ho & Kim Chang-Jin & Morley James, 2009. "Changes in U.S. Inflation Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-23, September.
  256. Lai, Hung-Cheng & Wang, Kuan-Min, 2014. "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, vol. 41(C), pages 156-165.
  257. Keating, John & Valcarcel, Victor, 2012. "Greater moderations," Economics Letters, Elsevier, vol. 115(2), pages 168-171.
  258. Christiane Baumeister & Eveline Durinck & Gert Peersman, "undated". "Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area," Discussion Papers 08/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  259. Paolo Surico, 2008. "Monetary policy shifts and inflation dynamics," Bank of England working papers 338, Bank of England.
  260. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  261. Shin, Minchul & Zhong, Molin, 2017. "Does realized volatility help bond yield density prediction?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 373-389.
  262. Lee, Jiho, 2012. "Are structural parameters of DSGE models stable in Korea?," Journal of Asian Economics, Elsevier, vol. 23(1), pages 50-59.
  263. repec:rim:rimwps:26-08 is not listed on IDEAS
  264. Fabio Canova & Luca Gambetti, 2004. "On the Time Variations of US Monetary Policy: Who is right?," Money Macro and Finance (MMF) Research Group Conference 2004 96, Money Macro and Finance Research Group.
  265. Clements, Michael P., 2016. "Real-time factor model forecasting and the effects of instability," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 661-675.
  266. Zsolt Darvas, 2006. "Monetary Transmission in the New EU Member States: Evidence from Time-Varying Coefficient Vector Autoregression," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 140-155.
  267. Andersson, Fredrik N. G., 2008. "Long Run Inflation Indicators – Why the ECB got it Right," Working Papers 2008:17, Lund University, Department of Economics.
  268. Christiane Baumeister & Eveline Durinck & Gert Peersman, "undated". "Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area," Discussion Papers 08/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  269. repec:eee:jimfin:v:79:y:2017:i:c:p:115-135 is not listed on IDEAS
  270. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
  271. Poyesh Bahadori Jahromi & Hojatallah Goudarzi, 2014. "The Study of Co-Integration and Casual Relationship Between Macroeconomic Variables and Insurance Penetration Ratio," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(7), pages 853-863, July.
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