Bootstrapped linear VAR results identify significant predictors across equations. Yt‑1 strongly predicts y (0.923, p=0.000), Tf e‑1 (0.127, p=0.049), ebpt ‑1 (–0.669, p=0.013), and Yt‑2 (0.403, p=0.002). The second equation shows Tt‑1 (0.599, p=0.000) and ebps‑2 (0.272, p=0.003) as significant. Tf i‑1 (0.944, p=0.000) and ebp (1.004, p=0.000) are significant in the third and fourth equations, respectively. Other coefficients are not statistically significant. A figure illustrates impulse responses to a monetary shock over 20 quarters for output gap, inflation, federal funds rate, and excess bond premium, with regime distinctions based on inflation thresholds. The paper, authored by Dimitris Christopoulos, Peter McAdam, and Elias Tzavalis, is freely available from ECB, SSRN, and RePEc, with reproduction requiring written authorization.
© European Central Bank, 2025.
Summary derived from the ECB website (https://www.ecb.europa.eu ).
Made by AI. If you spot anything of concern write us at contact@cybach.com. We’ll promptly correct irregularities.