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Noisy monetary policy announcements (replication data)
Replication files for: Dahlhaus, T. and Gambetti L., Noisy Monetary Policy Announcements, Journal of Applied Econometrics. MainProg_JAE.m replicates the analysis in Section... -
Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled... -
(Un)expected monetary policy shocks and term premia (replication data)
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on... -
Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
The ECB’s New Monetary Policy Strategy
The ECB updated its monetary policy strategy for the first time in 18 years in July 2021. Therein, the ECB announced that it is willing to accept a transitory period of moderate... -
The Possible Unemployment Cost of Average Inflation Below a Credible Target. ...
These are the replication files for Oraby (JCRE, 2022). The paper aims to replicate Svensson (American Economic Journal: Macroeconomics, 2015). Abstract: This paper replicates... -
COVID-19 and Financial Markets: A Panel Analysis for European Countries (data)
The data set presented here provides granular data on monetary, fiscal and European policy responses to the first wave of the Covid-crisis for a large set of 29 European...
