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Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR
16 references·6 citing·41 second hop
Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR (2010)Changes in the Transmission of Monetary P…Monetary policy and uncertainty in an empirical small open‐economy model (2010)Monetary policy and uncertain…Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data (2009)Sticky Prices and Monetary Po…Has Monetary Policy Become More Effective? (2006)Has Monetary Policy Become Mo…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach* (2005)Measuring the Effects of Mone…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Some Evidence on the Importance of Sticky Prices (2004)Some Evidence on the Importan…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Optimal monetary policy responses to relative-price changes (2001)Optimal monetary policy respo…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2001)Nominal Rigidities and the Dy…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Unconventional monetary policy in the Euro Area: Shadow rate and light effets (2020)Unconventional monetary polic…Structural analysis with Multivariate Autoregressive Index models (2016)Structural analysis with Mult…Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility (2013)Short-Term GDP Forecasting wi…Dynamic Factor Models: A Review of the Literature (2013)Dynamic Factor Models: A Revi…Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change: A Comparison of Models with Time-Varying Parameters (2012)Forecasting UK GDP Growth, In…Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach (2012)Dynamic Factor Volatility Mod…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Staggered Prices in a Utility-Maximizing Framework (1996)The Science of Monetary Policy: A New Keynesian Perspective (1999)Implications of rational inattention (2003)Five Facts about Prices: A Reevaluation of Menu Cost Models * (2008)Markups and Firm-Level Export Status (2012)Macroeconomics and Reality (1980)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Inflation dynamics: A structural econometric analysis (1999)Inflation targeting as a monetary policy rule (1999)Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Exchange Rate Volatility in a Small Open Economy (2002)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)The Taylor Rule and Optimal Monetary Policy (2001)The Time-Varying Volatility of Macroeconomic Fluctuations (2008)Inflation-Gap Persistence in the US (2009)The Quarterly Journal of Economics (2024)The Role of Monetary Policy (1995)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Impact of Uncertainty Shocks (2009)Phillips Curves, Expectations of Inflation and Optimal Unemployment over Time (1967)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)State-Space Models with Regime Switching (1999)Has the Business Cycle Changed and Why? (2002)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Were There Regime Switches in U.S. Monetary Policy? (2006)Pricing-to-Market, Trade Costs, and International Relative Prices (2008)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)
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References

  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2004Some Evidence on the Importance of Sticky Prices1,579 cited
  • 2001Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy1,448 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2006Has Monetary Policy Become More Effective?768 cited
  • 2003Monetary policy in a data-rich environment702 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*681 cited
  • 2001Optimal monetary policy responses to relative-price changes557 cited
  • 2009Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data426 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models

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388 cited
  • 2010Monetary policy and uncertainty in an empirical small open‐economy model334 cited
  • Cited by

    • 2013Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility46 cited
    • 2012Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach40 cited
    • 2013Dynamic Factor Models: A Review of the Literature27 cited
    • 2016Structural analysis with Multivariate Autoregressive Index models23 cited
    • 2012Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change: A Comparison of Models with Time-Varying Parameters23 cited
    • 2020Unconventional monetary policy in the Euro Area: Shadow rate and light effets22 cited