Data-driven structural BVAR analysis of unconventional monetary policy

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http://hdl.handle.net/10138/327008

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Puonti , P 2019 , ' Data-driven structural BVAR analysis of unconventional monetary policy ' , Journal of Macroeconomics , vol. 61 , 103131 . https://doi.org/10.1016/j.jmacro.2019.103131

Title: Data-driven structural BVAR analysis of unconventional monetary policy
Author: Puonti, Paivi
Other contributor: University of Helsinki, Economics

Date: 2019-09
Language: eng
Number of pages: 14
Belongs to series: Journal of Macroeconomics
ISSN: 0164-0704
DOI: https://doi.org/10.1016/j.jmacro.2019.103131
URI: http://hdl.handle.net/10138/327008
Abstract: We apply a novel Bayesian structural vector autoregressive method to analyze the macroeconomic effects of unconventional monetary policy in Japan, the US and the euro area. The method exploits statistical properties of the data to uniquely identify the model without restrictions, and thus enables formal assessment of the plausibility of given sign restrictions. Unlike previous research, the data-based analysis reveals differences in the output and price effects of the Bank of Japan's, Federal Reserve's and European Central Bank's balance sheet operations.
Subject: 511 Economics
Unconventional monetary policy
Bayesian structural vector autoregression
Identification
VECTOR AUTOREGRESSIONS
SIGN RESTRICTIONS
IDENTIFICATION
INFERENCE
MODELS
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