scholarly journals International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression

2019 ◽  
Vol 65 ◽  
pp. 101382 ◽  
Author(s):  
Nikolaos Antonakakis ◽  
David Gabauer ◽  
Rangan Gupta
Keyword(s):  
Monetary Policy ◽  
Vector Autoregression ◽  
Time Varying ◽  
Parameter Vector ◽  
Time Varying Parameter ◽  
International Monetary Policy ◽  
Monetary Policy Spillovers

THE CONNECTEDNESS BETWEEN THE SENTIMENT INDEX AND STOCK RETURN VOLATILITY UNDER COVID-19: A TIME-VARYING PARAMETER VECTOR AUTOREGRESSION APPROACH

2021 ◽  
pp. 1-32
Author(s):  
WENTING ZHANG ◽  
SHIGEYUKI HAMORI
Keyword(s):  
Stock Return ◽  
Vector Autoregression ◽  
Return Volatility ◽  
Time Varying ◽  
Parameter Vector ◽  
Vector Autoregression Model ◽  
Stock Return Volatility ◽  
Time Varying Parameter ◽  
Autoregression Model ◽  
The Impact

We analyze the connectedness between the sentiment index and the return and volatility of the crude oil, stock and gold markets by employing the time-varying parameter vector autoregression model vis-à-vis the coronavirus disease (COVID-19) epidemic. Our sentiment index is constructed via text mining technology. We also employ a network to visualize and better understand the structure of the connectedness. The results confirm that the sentiment index is the net pairwise directional connectedness receiver, while the infectious disease equity market volatility tracker is the transmitter. Furthermore, the impact of the COVID-19 pandemic on the total connectedness of volatility is unprecedented.

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

scholarly journals Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application

2016 ◽  
Vol 101 (04) ◽  
pp. 323-352 ◽  
Author(s):  
Thomas Lubik ◽  
◽  
Christian Matthes ◽  
Keyword(s):  
Time Varying ◽  
Parameter Vector ◽  
Vector Autoregressions ◽  
Time Varying Parameter

International Monetary Policy Spillovers

2018 ◽  
Vol 30 (1) ◽  
pp. 87-104 ◽  
Author(s):  
Dennis Nsafoah ◽  
Apostolos Serletis
Keyword(s):  
Monetary Policy ◽  
International Monetary Policy ◽  
Monetary Policy Spillovers

scholarly journals Time variation in an optimal asymmetric preference monetary policy model

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Steven P. Cassou ◽  
Jesús Vázquez
Keyword(s):  
Monetary Policy ◽  
Empirical Evidence ◽  
Time Variation ◽  
Time Varying ◽  
Policy Model ◽  
Time Varying Parameter

AbstractThis paper considers a time varying parameter extension of the Ruge-Murcia’s (Ruge-Murcia, F. J. 2003. “Does the Barro-Gordon Model Explain the Behavior of us Inflation? A Reexamination of the Empirical Evidence.”

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