A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy
| Autor: | Florian Huber, Manfred M. Fischer |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Exploit 502025 Ökonometrie media_common.quotation_subject Monetary economics jel:F41 Recession Vector autoregression 0502 economics and business Business cycle Economics 050207 economics Set (psychology) 050205 econometrics media_common Markov chain jel:C30 502018 Macroeconomics 05 social sciences Monetary policy jel:E32 502018 Makroökonomie jel:E52 Regime switching 101026 Time series analysis 101026 Zeitreihenanalyse 502025 Econometrics Statistics Probability and Uncertainty Non-linear FAVAR business cycles monetary policy structural model Social Sciences (miscellaneous) |
| Zdroj: | Oxford Bulletin of Economics and Statistics. 80:575-604 |
| ISSN: | 0305-9049 |
| DOI: | 10.1111/obes.12227 |
| Popis: | This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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