We consider the influence of domestic and U.S. macro-economic news surprises on daily bond yields over the January 1999 to January 2018 period for four advanced negative interest rate policy (NIRP) economies—Germany, Japan, Sweden, and Switzerland...
Journal of Applied Econometrics 37(4) 722-745 2022年6月 [査読有り]
This study proposes a method to identify factor-augmented vector autoregression models without imposing uncorrelatedness or any timing restrictions among observed and unobserved factors in the vector autoregression system. To this end, we utilize ...
This paper examines changes in the effects of unconventional monetary policies in the United States. To this end, we estimate a Markov-switching VAR model with absorbing regimes to capture possible structural changes. Our results detect regime cha...