What Lies Beneath? A Time-varying FAVAR Model for the UK Transmission Mechanism

Colin Ellis · Haroon Mumtaz · Pawel Zabczyk

80 citations0/0 files storedThe Economic Journal

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

In 2011 all ECB publications feature a motif taken from the €100 banknote. NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. This paper can be downloaded without charge from

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1969A General Equilibrium Approach To Monetary Theory 1996Impulse response analysis in nonlinear multivariate models 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach 1988Agency Costs, Net Worth, And Business Fluctuations 1999Chapter 21 The financial accelerator in a quantitative business cycle framework 2005Time Varying Structural Vector Autoregressions and Monetary Policy 2004Interest and Prices 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure

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2015The Macroeconomic Effects of the Sovereign Debt Crisis in the Euro Area 2017Shocks versus Structure: Explaining Differences in Exchange Rate Pass-Through across Countries and Time 2016Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom 2018The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through 2018Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK

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