7 papers
From Tone to Trajectory: Continuous Sentiment and the Shape of Monetary Policy Communication
Martin Feldkircher, Márton Kardos, Kristoffer Laigaard Nielbo
Central bank press conferences are not merely information releases --- they are structured narratives. We study whether the shape of sentiment within a statement, not just its aver…
Integration or fragmentation? A closer look at euro area financial markets
Martin Feldkircher, Karin Klieber
This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-auto…
Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs
Martin Feldkircher, Florian Huber, Gary Koop +1
Panel Vector Autoregressions (PVARs) are a popular tool for analyzing multi-country datasets. However, the number of estimated parameters can be enormous, leading to computational…
Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession
Martin Feldkircher, Florian Huber, Michael Pfarrhofer
The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks eng…
How does monetary policy affect income inequality in Japan? Evidence from grouped data
Martin Feldkircher, Kazuhiko Kakamu
We examine the effects of monetary policy on income inequality in Japan using a novel econometric approach that jointly estimates the Gini coefficient based on micro-level grouped…
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?
Martin Feldkircher, Luis Gruber, Florian Huber +1
We assess the relationship between model size and complexity in the time-varying parameter VAR framework via thorough predictive exercises for the Euro Area, the United Kingdom and…