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Dornbusch s overshooting and the systematic component of monetary policy in SOE-SVARs. (2023). Javed, Naveed ; Groshenny, Nicolas.
In: TEPP Working Paper.
RePEc:tep:teppwp:wp23-08.

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  1. Relative monetary policy and exchange rates. (2024). Karau, Sren.
    In: Discussion Papers.
    RePEc:zbw:bubdps:305278.

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  13. Coefficients SOEs ψy ψπ ψcs ψe AUS 0.64 0.70-3.00 0.10 [0.16;2.84] [0.19;2.51] [-8.48;-0.91] [0.02;0.50] CAN 0.63 0.60-0.90 0.08 [0.19;1.56] [0.19;1.86] [-2.65;-0.33] [0.02;0.31] NZ 0.94 0.81-1.35 0.06 [0.23;3.89] [0.23;5.83] [-7.50;-0.32] [0.01;0.40] NOR 0.41 0.64-2.47 0.11 [0.13;1.22] [0.16;2.52] [-10.21;-0.58] [0.03;0.45] SWE 0.27 0.94-0.74 0.06 [0.07;1.06] [0.26;2.09] [-2.32;-0.23] [0.02;0.19] UK 1.19 2.25-1.74 0.19 [0.33;3.90] [0.65;8.46] [-6.07;-0.57] [0.04;0.44] Table 5: Contemporaneous coefficients in SOE monetary policy equations using sample period from 2000:Q1 to 2019:Q4. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals. K.2 Contemporaneous coefficients in US monetary policy equations.
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  14. Coefficients SOEs ψy ψπ ψe AUS 0.72 0.65 0.09 [0.24;2.20] [0.17;2.75] [0.02;0.35] CAN 0.99 1.32 0.16 [0.24;3.10] [0.37;3.63] [0.05;0.49] NZ 0.87 1.44 0.11 [0.24;3.99] [0.36;5.49] [0.03;0.46] NOR 0.62 1.31 0.16 [0.16;2.73] [0.34;5.80] [0.04;0.69] SWE 0.94 1.92 0.14 [0.21;4.01] [0.58;8.11] [0.04;0.64] UK 1.85 3.64 0.18 [0.54;7.48] [0.79;14.28] [0.05;0.72] Table 1: Contemporaneous coefficients in SOE monetary policy equations using full sample period from 1992:Q1 to 2019:Q4. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals. I.2 Contemporaneous coefficients in US monetary policy equations.
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  15. Coefficients SOEs ψy ψπ ψe AUS 0.72 0.73 0.11 [0.19;2.77] [0.16;2.56] [0.02;0.45] CAN 1.16 1.42 0.24 [0.30;4.00] [0.46;4.36] [0.06;0.70] NZ 0.99 1.67 0.14 [0.29;3.80] [0.45;6.31] [0.04;0.56] NOR 0.79 1.80 0.20 [0.21;3.06] [0.46;6.93] [0.05;0.79] SWE 1.19 2.03 0.15 [0.31;4.65] [0.55;7.90] [0.03;0.72] UK 1.21 2.62 0.14 [0.30;5.12] [0.87;9.29] [0.03;0.65] Table 3: Contemporaneous coefficients in SOE monetary policy equations using shorter sample period from 1992:Q1 to 2008:Q3. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals. J.2 Contemporaneous coefficients in US monetary policy equations.
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  16. Coefficients US/SOEs ψy∗ ψπ∗ ψcs∗ US/AUS 0.41 0.38-0.57 [0.11;0.87] [0.10;1.00] [-1.36;-0.19] US/CAN 0.40 0.39-0.59 [0.14;0.90] [0.11;1.00] [-1.38;-0.17] US/NZ 0.41 0.40-0.57 [0.12;0.99] [0.12;0.99] [-1.42;-0.15] US/NOR 0.43 0.38-0.55 [0.13;0.91] [0.10;0.97] [-1.33;-0.14] US/SWE 0.42 0.39-0.54 [0.12;0.98] [0.10;1.09] [-1.34;-0.16] US/UK 0.43 0.39-0.56 [0.13;0.93] [0.11;1.00] [-1.33;-0.15] Table 2: Contemporaneous coefficients in US monetary policy equations using full sample period from 1992:Q1 to 2019:Q4. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals. J Robustness check 1 J.1 Contemporaneous coefficients in SOE monetary policy equations.
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  17. Coefficients US/SOEs ψy∗ ψπ∗ ψcs∗ US/AUS 0.43 0.48-0.55 [0.14;1.05] [0.16;1.61] [-1.38;-0.16] US/CAN 0.47 0.45 -0.65 [0.12;1.23] [0.10;1.10] [-1.86;-0.21] US/NZ 0.54 0.46-0.60 [0.15;1.39] [0.09;1.38] [-1.44;-0.15] US/NOR 0.40 0.46-0.53 [0.14;1.35] [0.12;1.40] [-1.44;-0.17] US/SWE 0.52 0.44 -0.62 [0.19;1.14] [0.11;1.17] [-1.72;-0.21] US/UK 0.47 0.45-0.59 [0.11;1.39] [0.10;1.39] [-1.70;-0.15] Table 6: Contemporaneous coefficients in US monetary policy equations using sample period from 2000:Q1 to 2019:Q4. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals.
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  18. Coefficients US/SOEs ψy∗ ψπ∗ ψcs∗ US/AUS 0.50 0.67-0.99 [0.14;1.23] [0.18;1.74] [-2.02;-0.29] US/CAN 0.51 0.73-1.01 [0.16;1.24] [0.20;2.02] [-2.09;-0.31] US/NZ 0.53 0.76-0.98 [0.16;1.26] [0.20;2.05] [-2.11;-0.31] US/NOR 0.51 0.75-1.01 [0.15;1.19] [0.21;1.89] [-2.17;-0.30] US/SWE 0.49 0.73-1.01 [0.14;1.20] [0.20;1.84] [-2.12;-0.34] US/UK 0.50 0.72-0.96 [0.15;1.21] [0.21;1.88] [-2.12;-0.28] Table 4: Contemporaneous coefficients in US monetary policy equations using shorter sample period from 1992:Q1 to 2008:Q3. Note: The entries in the table are the posterior median estimates and the entries in the brackets are the respective 68% probability intervals. K Robustness check 2 K.1 Contemporaneous coefficients in SOE monetary policy equations.
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  35. Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions. (2020). Hamilton, James ; Baumeister, Christiane.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302060.

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  36. Inquiry on the transmission of U.S. aggregate shocks to Mexico: A SVAR approach. (2020). Elizondo, Rocio ; Carrillo, Julio ; Hernandez-Roman, Luis G.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:104:y:2020:i:c:s026156061930018x.

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  37. Shifts in monetary policy and exchange rate dynamics: Is Dornbuschs overshooting hypothesis intact, after all?. (2020). Rüth, Sebastian ; Ruth, Sebastian K.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:126:y:2020:i:c:s002219962030060x.

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  38. Revisiting the effects of monetary policy shocks: Evidence from SVAR with narrative sign restrictions. (2020). Yang, Yang ; Cheng, Kai.
    In: Economics Letters.
    RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303591.

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  39. Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates. (2020). Schiman, Stefan ; Badinger, Harald.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8558.

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  40. Combining sign and parametric restrictions in SVARs by utilising Givens rotations. (2020). Huh, Hyeon-seung ; Hyeon-Seung, Huh ; Lance, Fisher.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:24:y:2020:i:3:p:19:n:6.

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  41. Does the Liquidity Trap Exist?. (2020). Rubio-Ramirez, Juan F ; Mojon, Benoit ; Lhuissier, Stéphane.
    In: Working papers.
    RePEc:bfr:banfra:762.

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  42. Forward Guidance Matters: disentangling monetary policy shocks. (2020). Ferreira, Leonardo.
    In: Working Papers Series.
    RePEc:bcb:wpaper:530.

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  43. Disentanglement of natural interest rate shocks and monetary policy shocks nexus. (2019). Kurovskiy, Gleb.
    In: MPRA Paper.
    RePEc:pra:mprapa:97547.

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  44. An Analysis for New Institutionality in Science, Technology and Innovation in Colombia Using a Structural Vector Autoregression Model. (2019). Cotte Poveda, Alexander ; Pardo Martinez, Clara ; Ronderos, Nicolas.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xxii:y:2019:i:2:p:218-228.

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  45. The comovement and causality between stock market cycle and business cycle in China: Evidence from a wavelet analysis. (2019). Kong, Xianli ; Liu, Xi-Hua ; Si, Deng-Kui.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:83:y:2019:i:c:p:17-30.

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  46. Interest Rates, Money, and Economic Activity. (2019). Serletis, Apostolos ; Dery, Cosmas.
    In: Working Papers.
    RePEc:clg:wpaper:2019-16.

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  47. Subjective Models of the Macroeconomy: Evidence from Experts and Representative Samples. (2019). Roth, Christopher ; Andre, Peter ; Wohlfart, Johannes ; Pizzinelli, Carlo.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7850.

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  48. Stock Market Cycle and Business Cycle in China: Evidence from a Bootstrap Rolling Window Approach. (2019). Li, Yi-Na ; Bai, LU.
    In: Review of Economics & Finance.
    RePEc:bap:journl:190303.

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  49. Shifts in Monetary Policy and Exchange Rate Dynamics: Is Dornbuschs Overshooting Hypothesis Intact, After all?. (2019). Rüth, Sebastian ; Ruth, Sebastian K.
    In: Working Papers.
    RePEc:awi:wpaper:0673.

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  50. What Do Monetary Contractions Do? Evidence From Large, Unanticipated Tightenings. (2018). Willems, Tim.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/211.

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