Palgrave Handbook of Econometrics: Applied Econometrics

832 The Econometrics of Monetary Policy between these features and the deep parameters of the model. Finally, this relation- shi ...

Carlo Favero 833 in a paper by Christiano, Eichenbaum and Evans (1998). There are three relevant steps: monetary policy shocks ...

834 The Econometrics of Monetary Policy from which we can derive the relation between the variance-covariance matrices ofut(obse ...

Carlo Favero 835 of alternative theoretical structures and imply a minimal assumption on the lag of the impact of monetary polic ...

836 The Econometrics of Monetary Policy variables included in the VAR is driven by the theoretical model. This is natural: if th ...

Carlo Favero 837 of the monetary policy maker. The “price puzzle” has been attributed to the mis- specification of the four-vari ...

838 The Econometrics of Monetary Policy into dynamic systems tend to include noninvertible moving average components and structu ...

Carlo Favero 839 was proposed as a set of modern model evaluation tools. These were gener- ated by pairing the tradition of mode ...

840 The Econometrics of Monetary Policy where: =∗(θ)+ u=u∗(θ)+u. The DSGE restrictions are imposed on the VAR by definin ...

Carlo Favero 841 which shows that the smallerλ, the closer the estimates are to the OLS estimates of an unrestricted VAR, the hi ...

842 The Econometrics of Monetary Policy do not do too badly when judged by the metric of theλtest. It would be important to have ...

Carlo Favero 843 residuals and evaluation of forecasting performance. However, when the Bayesian approach is applied to the DSGE ...

844 The Econometrics of Monetary Policy two approaches. The open question is which type of VARs are most appropriate for the eco ...

Carlo Favero 845 wherex ̃tis the output gap,π ̃tis the inflation rate,R ̃tis the short-term interest rate andg ̃tand ̃ztare two ...

846 The Econometrics of Monetary Policy  1 = ⎡ ⎢ ⎢⎢ ⎢ ⎢⎢ ⎢ ⎢⎢ ⎢⎢ ⎣ 00000 000 00000 000 00 ρR 00 000 00000 000 0000 ρG 000 00000 ...

Carlo Favero 847 Importantly, the analysis of determinacy of the equilibria led to the discovery that a central bank can need f ...

848 The Econometrics of Monetary Policy Christiano, L.J., M. Eichenbaum and C.L. Evans (1996a) The effects of monetary policy sh ...

Carlo Favero 849 Hendry, D.F., J.N.J. Muellbauer and T.A. Murphy (1990) The econometrics of DHSY. In J.D. Hey and D. Winch (eds. ...

850 The Econometrics of Monetary Policy Stock, J. and M. Watson (2002) Macroeconomic forecast in using diffusion indexes.Journal ...

17 Macroeconometric Modeling for Policy Gunnar Bårdsen and Ragnar Nymoen Abstract The first part of this chapter sets out a cohe ...