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Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
16 references·8 citing·45 second hop
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions (1996)Overnight Rate Innovations as a Measure o…The identification of monetary policy disturbances explaining the liquidity puzzle (1995)The identification of monetar…Interest rates and the channels of monetary transmission: Some sectoral estimates (1995)Interest rates and the channe…The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds (1994)The Effects of Monetary Polic…Chapter 47 Vector autoregressions and cointegration (1994)Chapter 47 Vector autoregress…Vector autoregressions and cointegration (1993)Vector autoregressions and co…Income Velocity and Institutional Change: Some New Time Series Evidence, 1870-1986 (1993)Income Velocity and Instituti…In search of the liquidity effect (1992)In search of the liquidity ef…‘Interpreting the macroeconomic time series facts: The effects of monetary policy’ (1992)‘Interpreting the macroeconom…Identification and the Liquidity Effect of a Monetary Policy Shock (1991)Identification and the Liquid…The Federal Funds Rate and the Channels of Monetary Transnission (1990)The Federal Funds Rate and th…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied (1989)Testing for a Random Walk: A …The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Stochastic Trends and Economic Fluctuations (1987)Stochastic Trends and Economi…ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW (1986)ECONOMETRIC MODELLING WITH CO…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Uncertainty and Multiple Paradigms of the Transmission Mechanism (2021)Uncertainty and Multiple Para…La fiabilité des estimations de l'écart de production au Canada (2021)La fiabilité des estimations …Forecasting Inflation with the M1-VECM: Part Two (2021)Forecasting Inflation with th…The Canadian macroeconomy and the yield curve: A dynamic latent factor approach (2012)The Canadian macroeconomy and…Regime-switching monetary policy in Canada (2010)Regime-switching monetary pol…The M1 Vector-Error-Correction Model: some Extensions and Applications (2001)The M1 Vector-Error-Correctio…Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks (1998)Interpreting Money-Supply and…Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve (1996)Asymmetric Effects of Monetar…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)MONEY, INCOME, AND CAUSALITY (1972)Alternative Explanations of the Money-Income Correlation (1986)Credit, Money, and Aggregate Demand (1988)DOES MONETARY POLICY GENERATE RECESSIONS? (2006)Financial Intermediaries and Monetary Economics (2010)The Transmission of Monetary Policy Shocks (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Long-horizon regressions: theoretical results and applications (2003)New Evidence on Asymmetric Gasoline Price Responses (2003)Vector Autoregressive Models for Multivariate Time Series (2003)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)COINTEGRATION AND UNIT ROOTS (1990)Peasants or Bankers? 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References

  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
  • 1990The Federal Funds Rate and the Channels of Monetary Transnission658 cited
  • 1986ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW631 cited
  • 1992‘Interpreting the macroeconomic time series facts: The effects of monetary policy’487 cited
  • 1995The identification of monetary policy disturbances explaining the liquidity puzzle471 cited
  • 1987Stochastic Trends and Economic Fluctuations343 cited
  • 1993Vector autoregressions and cointegration285 cited
  • 1992In search of the liquidity effect237 cited
  • 1991Identification and the Liquidity Effect of a Monetary Policy Shock179 cited
  • 1994Chapter 47 Vector autoregressions and cointegration152 cited
  • 1994The Effects of Monetary Policy Shocks: Some Evidence from the Flow of Funds137 cited
  • 1995Interest rates and the channels of monetary transmission: Some sectoral estimates121 cited
  • 1989Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval is Varied

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111 cited
  • 1993Income Velocity and Institutional Change: Some New Time Series Evidence, 1870-198673 cited
  • Cited by

    • 2021Uncertainty and Multiple Paradigms of the Transmission Mechanism34 cited
    • 2012The Canadian macroeconomy and the yield curve: A dynamic latent factor approach24 cited
    • 2021Forecasting Inflation with the M1-VECM: Part Two21 cited
    • 2001The M1 Vector-Error-Correction Model: some Extensions and Applications21 cited
    • 2010Regime-switching monetary policy in Canada19 cited
    • 2021La fiabilité des estimations de l'écart de production au Canada17 cited
    • 1998Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks14 cited
    • 1996Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve14 cited