Monetary Policy Regime Shifts: New Evidence from Time-Varying Interest-Rate Rules

2007 ◽  
Author(s):  
Carmine Trecroci ◽  
Matilde Vassalli
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Regime Shifts ◽  
Time Varying ◽  
Interest Rate Rules ◽  
Policy Regime ◽  
New Evidence

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

scholarly journals The effects of monetary policy regime shifts on the term structure of interest rates

2015 ◽  
Vol 19 (2) ◽  
Author(s):  
Azamat Abdymomunov ◽  
Kyu Ho Kang
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Term Structure ◽  
Regime Shifts ◽  
Policy Regime ◽  
Policy Regimes ◽  
Term Structure Model ◽  
Price Of Risk ◽  
Free Dynamic ◽  
Do So

AbstractWe investigate how the entire term structure of interest rates is influenced by changes in monetary policy regimes. To do so, we develop and estimate an arbitrage-free dynamic term-structure model which accounts for regime shifts in monetary policy and price of risk. Our results for US data from 1985 through 2008 indicate that (

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