Structural shocks and the comovements between output and interest rates

DOI10.1016/J.JEDC.2010.02.008MaRDI QIDQ976532zbMATH OpenOpenAlexFDO

Authors Elmar Mertens

Publication date 11 June 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2010.02.008

zbMATH Keywords

business cyclesinterest ratesstructural VARnews shocksbandpass filter

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• Business Cycle Accounting
• Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Error Bands for Impulse Responses
• Expectation Traps and Monetary Policy
• Large Sample Properties of Generalized Method of Moments Estimators
• Low frequency filtering and real business cycles
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• What do interest rates reveal about the functioning of real business cycle models ?

Cited in

(3)

• Technological innovations and the interest rate
• Estimation of structural changes in nonlinear time series models by using particle filters and genetic programming
• Responses in output to monetary shocks and the interest rate: A rational expectations model with working capital

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