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Identification of monetary policy shocks in Japan using sign restrictions within the TVP-VAR framework
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Identification of monetary policy shocks in Japan using sign restrictions within the TVP-VAR framework (2011)Identification of monetary policy shocks …Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (2011)Time-Varying Parameter VAR Mo…Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011)Bayesian analysis of time-var…Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces (2010)Transmission of Government Sp…Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Some Issues in Using Sign Restrictions for Identifying Structural VARs (2007)Some Issues in Using Sign Res…Effects of the Quantitative Easing Policy: A Survey of Empirical Analyses (2006)Effects of the Quantitative E…What caused the early millennium slowdown? Evidence based on vector autoregressions (2005)What caused the early millenn…What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What are the effects of monet…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Monetary disturbances matter for business fluctuations in the G-7 (2002)Monetary disturbances matter …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…The Robustness of Identified VAR Conclusions About Money (1998)The Robustness of Identified …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…5 Stochastic volatility (1996)5 Stochastic volatility[Bayesian Analysis of Stochastic Volatility Models]: Reply (1994)[Bayesian Analysis of Stochas…Econometric policy evaluation: A critique (1976)Macroeconomics and Reality (1980)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Understanding the Effects of Government Spending on Consumption (2007)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The federal funds rate and the channels of monetary transmission (1989)Discretion versus policy rules in practice (1993)Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2011)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)A Monetary History of the United States, 1867-1960 (2017)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020)Geopolitical risk and dynamic connectedness between commodity markets (2022)What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)Large time-varying parameter VARs (2013)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)Panel Vector Autoregressive Models: A Survey (2013)
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References

  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 19965 Stochastic volatility1,189 cited
  • 2002Monetary disturbances matter for business fluctuations in the G-7749 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited
  • 2005What caused the early millennium slowdown? Evidence based on vector autoregressions389 cited
  • 2011Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy307 cited
  • 1998The Robustness of Identified VAR Conclusions About Money197 cited
  • 1994[Bayesian Analysis of Stochastic Volatility Models]: Reply196 cited
  • 2006Effects of the Quantitative Easing Policy: A Survey of Empirical Analyses188 cited

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  • 2007Some Issues in Using Sign Restrictions for Identifying Structural VARs133 cited
  • 2010Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces128 cited
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