Search

Content Types

Topics

JEL Codes

Locations

Departments

Authors

Sources

Statuses

Published After

Published Before

62 Results

Monetary Policy Transmission during Financial Crises: An Empirical Analysis

Staff Working Paper 2014-21 Tatjana Dahlhaus
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.

The Effects of Oil Price Uncertainty on the Macroeconomy

Staff Working Paper 2012-40 Soojin Jo
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.

The Role of Credit in International Business Cycles

Staff Working Paper 2012-36 TengTeng Xu
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.

China’s Emergence in the World Economy and Business Cycles in Latin America

The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of international business cycles to Latin America.

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.

The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada

Staff Working Paper 2011-2 Garima Vasishtha, Philipp Maier
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.

Estimating DSGE-Model-Consistent Trends for Use in Forecasting

The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format.

Estimation and Inference by the Method of Projection Minimum Distance

Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47

Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching

Staff Discussion Paper 2007-12 Michael Dolega
The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […]
Content Type(s): Staff research, Staff discussion papers Topic(s): Productivity JEL Code(s): C, C3, C32, O, O4, O5, O51
Go To Page