Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century

DOI10.3982/QE475zbMath1396.91502OpenAlexW2510962046MaRDI QIDQ4586269

Pooyan Amir-Ahmadi, Mu-Chun Wang, Christian Matthes

Publication date: 12 September 2018

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe475

zbMATH Keywords

time variationmeasurement errorBayesian VARU.S. monetary policy

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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