Data-driven structural BVAR analysis of unconventional monetary policy

Visa fullständig post



Permalänk

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

Citation

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

Titel: Data-driven structural BVAR analysis of unconventional monetary policy
Författare: Puonti, Paivi
Upphovmannens organisation: Economics
Financial and Macroeconometrics
Datum: 2019-09
Språk: eng
Sidantal: 14
Tillhör serie: Journal of Macroeconomics
ISSN: 0164-0704
DOI: https://doi.org/10.1016/j.jmacro.2019.103131
Permanenta länken (URI): http://hdl.handle.net/10138/327008
Abstrakt: 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
Referentgranskad: Ja
Licens: cc_by
Användningsbegränsning: openAccess
Parallelpublicerad version: publishedVersion


Filer under denna titel

Totalt antal nerladdningar: Laddar...

Filer Storlek Format Granska
1_s2.0_S016407041830346X_main.pdf 1.260Mb PDF Granska/Öppna

Detta dokument registreras i samling:

Visa fullständig post