Arbeitspapier

Regime-dependent effects of monetary policy shocks: Evidence from threshold vector autoregressions

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This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy while the inflation response is negative. The paper endogenously determines two distinct regimes, while the literature thus far only considers alternative subsamples.

Language
Englisch

Bibliographic citation
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 08-2010

Classification
Wirtschaft
Monetary Policy
Central Banks and Their Policies
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Subject
monetary policy shocks
threshold vector autoregression
Geldpolitik
Schock
Wirkungsanalyse
Inflation
VAR-Modell
Schätzung
USA

Event
Geistige Schöpfung
(who)
Mandler, Martin
Event
Veröffentlichung
(who)
Philipps-University Marburg, Faculty of Business Administration and Economics
(where)
Marburg
(when)
2010

Handle
Last update
10.03.2025, 11:41 AM CET

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Object type

  • Arbeitspapier

Associated

  • Mandler, Martin
  • Philipps-University Marburg, Faculty of Business Administration and Economics

Time of origin

  • 2010

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