목차
Title page
Contents
Abstract 2
Non-technical summary 3
I. Introduction 5
II. Framework 10
II.A. Model specification 10
II.B. The state variable 12
II.C. Nonlinear Structural Impulse Responses 13
III. Identification of the Monetary Policy Shocks 14
III.A. Monetary Policy Surprises: Nonlinear Regression 15
III.B. Additional Issues 17
IV. The Impact of Monetary Policy Shocks 19
V. On the Difference with Tenreyro and Thwaites (2016) 23
V.A. Tenreyro and Thwaites (2016) and the STVAR 23
V.B. Tenreyro and Thwaites (2016) and the TVAR 26
V.C. High-frequency policy surprises and local projections 27
VI. Robustness Checks 28
VII. Conclusions 29
References 30
Acknowledgements 48
Table 1. Predictive Regressions using Macroeconomic and Financial Data 46
Table 2. State-Dependent Responses of Asset Prices at Impact and Six Months Ahead 47
Figure 1. Underlying Real GDP Growth and 18-month Moving Average 37
Figure 2. Underlying Real GDP Growth and Orthogonolised Monetary Policy Surprises 38
Figure 3. Nonlinear Impact of Monetary Policy Shocks 39
Figure 4. Nonlinear Impact of Monetary Policy Shocks on the Yield Curve 40
Figure 5. Nonlinear Impact of Monetary Policy Shocks on Expenditute Aggregates 41
Figure 6. Policy Surprises versus Methods in Recessions and Expansions 42
Figure 7. Romer-Romer Surprises in Recessions and Expansions 43
Figure 8. Robustness Checks of the Baseline Model: State-Dependent IRFs 44
Figure 9. State-Dependent IRFs using alternative Nonlinear Models 45
