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Cited by 20 publications
(18 citation statements)
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“…The responses of all the other variables in the TVP-VAR are qualitatively similar to those inGali and Gambetti (2015) andCaraiani and Calin (2018), and are available upon request from the authors.…”
mentioning
confidence: 79%
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“…The responses of all the other variables in the TVP-VAR are qualitatively similar to those inGali and Gambetti (2015) andCaraiani and Calin (2018), and are available upon request from the authors.…”
mentioning
confidence: 79%
“…These variables have been obtained from FRED database of the Federal Reserve Bank of St. Louis. However, as suggested by Caraiani and Calin (2018), given the zero lower bound situation of the monetary policy instrument in the wake of the "Great Recession", we use the shadow short rate developed by Wu and Xia (2016) between 2009:1 to 2015:4. Note that, the shadow short rate is the nominal interest rate that would prevail in the absence of its effective lower bound, with it derived by modelling the (three-factors) term structure of the yield curve, and has been shown by Wu and Xia (2016) to be a close approximation of the effective Federal funds rate during the conventional periods of monetary policy decision-making.…”
Section: Datamentioning
confidence: 99%
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“…In addition to this, the case of energy markets has been generally ignored up to present in the corresponding literature. Future studies could perform more in-depth analyses about the formation of bubbles, while discussing the opportunity and limits of monetary policy measures (or other policy measures, including fiscal ones) that could counter bubble formation in energy market, see similar studies for the housing market, [30], or for the stock market, [14,25].…”
Section: Discussion Of Resultsmentioning
confidence: 99%
“…The results for the aggregate case, i.e., the case of the United States, are based on an updated data sample of the original study by [14] that includes data up to the end of 2016 and considers the shadow interest rate. We have already compared the results obtained by using the shadow rate against those acquired when using the federal funds rate in a recent study, see [25], underlining that there are some substantial differences with respect to the sign of asset price responses. At the same time, the magnitude of the response of asset bubbles is much lower, (by 3 percentage points) when using the shadow interest rate.…”
Section: Comparing the Energy Sector To The Aggregate Economymentioning
confidence: 99%