Data-driven structural BVAR analysis of unconventional monetary policy

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dc.contributor.author Puonti, Paivi
dc.date.accessioned 2021-02-24T15:41:01Z
dc.date.available 2021-02-24T15:41:01Z
dc.date.issued 2019-09
dc.identifier.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
dc.identifier.other PURE: 127216570
dc.identifier.other PURE UUID: 8c80f701-a1bb-42f4-8e2e-b1ec5e1fcc30
dc.identifier.other WOS: 000485852900011
dc.identifier.uri http://hdl.handle.net/10138/327008
dc.description.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. en
dc.format.extent 14
dc.language.iso eng
dc.relation.ispartof Journal of Macroeconomics
dc.rights cc_by
dc.rights.uri info:eu-repo/semantics/openAccess
dc.subject 511 Economics
dc.subject Unconventional monetary policy
dc.subject Bayesian structural vector autoregression
dc.subject Identification
dc.subject VECTOR AUTOREGRESSIONS
dc.subject SIGN RESTRICTIONS
dc.subject IDENTIFICATION
dc.subject INFERENCE
dc.subject MODELS
dc.title Data-driven structural BVAR analysis of unconventional monetary policy en
dc.type Article
dc.contributor.organization Economics
dc.contributor.organization Financial and Macroeconometrics
dc.description.reviewstatus Peer reviewed
dc.relation.doi https://doi.org/10.1016/j.jmacro.2019.103131
dc.relation.issn 0164-0704
dc.rights.accesslevel openAccess
dc.type.version publishedVersion

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