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Exogenous uncertainty and the identification of structural vector autoregress...
We provide necessary and sufficient conditions for the identification (point-identification) of structural vector autoregressions (SVARs) with external instruments considering... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
Country-Specific Euro Area Government Bond Yield Reactions to ECB's Non-Stand...
This paper employs event study methods to evaluate the effects of ECB's non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area...
