Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
Author:Liu, Laura 

Working Paper
Monetary Policy across Space and Time

In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude ...
Working Paper , Paper 18-14

Working Paper
Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features a large cross-sectional dimension N but short time series T. Due to the short T, traditional methods have difficulty in disentangling the heterogeneous parameters from the shocks, which contaminates the estimates of the heterogeneous parameters. To tackle this problem, I assume that there is an underlying distribution of heterogeneous parameters, ...
Finance and Economics Discussion Series , Paper 2018-036

Monetary Policy across Space and Time

Many major macroeconomic events have occurred across multiple countries. This Economic Brief looks at similarities and differences among the euro area, the United Kingdom, and the United States and finds that macroeconomic variables tend to become more interconnected during periods of financial distress. Movements in monetary policy are highly correlated across all three regions. In addition, inflation and unemployment become less responsive to monetary policy shocks over time.
Richmond Fed Economic Brief , Issue August


FILTER BY Content Type

Working Paper 2 items

Briefing 1 items

FILTER BY Jel Classification

C11 1 items

C14 1 items

C23 1 items

C53 1 items

C54 1 items

E30 1 items

show more (3)