The Dynamics of the Monetary Policy Volatility: A Spectrum-vector Autoregressive Approach
<p>This paper investigates the impact of the international and domestic volatility of monetary policy shocks on the economy of New Zealand using the spectrum-SVAR approach. We enrich the SVAR model by using time-varying global and domestic volatility as endogenous variables. The results show t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2019-02-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/6749 |