Time variation in an optimal asymmetric preference monetary policy model

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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A NOTE ON TIME VARIATION IN A FORWARD-LOOKING MONETARY POLICY RULE: EVIDENCE FROM EUROPEAN COUNTRIES

Macroeconomic Dynamics ◽

10.1017/s1365100510000866 ◽

2012 ◽

Vol 16 (S3) ◽

pp. 422-437 ◽

Cited By ~ 10

Author(s):

N. Kundan Kishor

Keyword(s):

Monetary Policy ◽

Time Variation ◽

Monetary Economics ◽

Time Varying ◽

Reaction Functions ◽

The United Kingdom ◽

Expected Inflation ◽

Time Varying Parameter ◽

Monetary Policy Reaction Functions ◽

Forward Looking

This paper estimates time-varying forward-looking monetary policy reaction functions for the central banks of France, Germany, Italy, and the United Kingdom. We utilize the framework developed by Kim [Economics Letters91 (2006) 21–26] and Kim and Nelson [Journal of Monetary Economics(2006) 1949–1966] to deal with the issue of endogeneity in a time varying–parameter model. Our results find substantial time variation in the conduct of monetary policy in these four countries, which cannot be adequately captured by the conventional fixed-coefficient approach. Our findings suggest that there was a significant decline in the Bank of France's and the Bank of Italy's response to the German interest rate in 1992, and it coincided with the breakdown of the exchange rate management system in Europe. Our results suggest that the Bank of England was slower than the Bundesbank to increase its response to expected inflation, as its response to inflation became more than one-for-one only in the early 1980s.

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Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model using Ex-Post Data

SSRN Electronic Journal ◽

10.2139/ssrn.607663 ◽

2004 ◽

Author(s):

Chang-Jin Kim ◽

Charles R. Nelson

Keyword(s):

Monetary Policy ◽

Time Varying ◽

Policy Rule ◽

Ex Post ◽

Time Varying Parameter ◽

Monetary Policy Rule ◽

Forward Looking

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

International Journal of Business and Management ◽

10.5539/ijbm.v13n4p149 ◽

2018 ◽

Vol 13 (4) ◽

pp. 149 ◽

Cited By ~ 1

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.

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

International Review of Financial Analysis ◽

10.1016/j.irfa.2019.101382 ◽

2019 ◽

Vol 65 ◽

pp. 101382 ◽

Cited By ~ 8

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

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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Journal of the Japanese and International Economies ◽

10.1016/j.jjie.2011.07.004 ◽

2011 ◽

Vol 25 (3) ◽

pp. 225-245 ◽

Cited By ~ 62

Author(s):

Jouchi Nakajima ◽

Munehisa Kasuya ◽

Toshiaki Watanabe

Keyword(s):

Monetary Policy ◽

Bayesian Analysis ◽

Autoregressive Model ◽

Japanese Economy ◽

Time Varying ◽

Vector Autoregressive Model ◽

Parameter Vector ◽

Vector Autoregressive ◽

Time Varying Parameter

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Monetary Policy and Time Varying Parameter Vector Autoregression Model

Procedia Economics and Finance ◽

10.1016/s2212-5671(15)01423-9 ◽

2015 ◽

Vol 32 ◽

pp. 496-502 ◽

Cited By ~ 3

Author(s):

Andreea Roşoiu

Keyword(s):

Monetary Policy ◽

Vector Autoregression ◽

Time Varying ◽

Parameter Vector ◽

Vector Autoregression Model ◽

Time Varying Parameter ◽

Autoregression Model

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Common time variation of parameters in reduced-form macroeconomic models

Studies in Nonlinear Dynamics & Econometrics ◽

10.1515/snde-2014-0064 ◽

2015 ◽

Vol 0 (0) ◽

Cited By ~ 1

Author(s):

Dalibor Stevanovic

Keyword(s):

Time Variation ◽

Reduced Form ◽

Time Varying ◽

Vector Autoregressions ◽

Macroeconomic Models ◽

Variation Of Parameters ◽

Common Time ◽

Time Varying Parameter ◽

Low Dimension ◽

Structural Vector

AbstractStandard time varying parameter (TVP) models usually assume independent stochastic processes. In this paper, I show that the number of underlying sources of parameters’ time variation is likely to be small, and provide empirical evidence for factor structure amongst TVPs of popular macroeconomic models. In order to test for the presence of low dimension sources of time variation in parameters and estimate their magnitudes, I develop the factor time varying parameter (Factor-TVP) framework and apply it to [Primiceri, G.E. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,”

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