arXiv 10 Nov 2023 · Econometrics · 3 citations (OpenAlex)
arXiv:2311.05883 · PDF · DOI · OpenAlex · Extracted main text
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first regime, systematic monetary policy follows a Taylor rule extended by the term spread, effectively curbing inflation. In the second regime, occurring after 2000 and gaining more persistence after the global financial and COVID crises, it is characterized by a money-augmented Taylor rule. This regime's unconventional monetary policy provides economic stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy of the second regime, inflation would be over one percentage point higher on average after 2008.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Baumeister, C., Benati, L (2013) Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero… | 1.000 | 8 | 4 | 100% |
| 2 | Belongia, M.T., Ireland, P.N (2015) Interest Rates and Money in the Measurement of Monetary Policy | 1.000 | 6 | 3 | 100% |
| 3 | Feldkircher, M., Huber, F (2018) Unconventional U.S. Monetary Policy: New Tools, Same Channels? | 0.928 | 4 | 3 | 100% |
| 4 | Liu, P., Mumtaz, H., Theodoridis, K., Zanetti, F (2019) Changing Macroeconomic Dynamics at the Zero Lower Bound | 0.843 | 3 | 3 | 100% |
| 5 | Tillmann, P (2020) Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks | 0.843 | 3 | 3 | 100% |
| 6 | Sims, C.A., Zha, T (2006) Were There Regime Switches in U.S. Monetary Policy? | 0.811 | 4 | 2 | 100% |
| 7 | Lütkepohl, H., Woźniak, T (2020) Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity | 0.737 | 3 | 2 | 100% |
| 8 | Vázquez, J., María-Dolores, R., no, J.M.L (2013) On the informational role of term structure in the US monetary policy rule | 0.737 | 3 | 2 | 100% |
| 9 | Wu, J.C., Xia, F.D (2016) Measuring the macroeconomic impact of monetary policy at the zero lower bound | 0.737 | 3 | 2 | 100% |
| 10 | Diebold, F.X., Rudebusch, G.D., Boragan Aruoba, S (2006) The macroeconomy and the yield curve: A dynamic latent factor approach | 0.737 | 3 | 2 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility | 0.405 | 1 | 1 |