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What Lies Beneath? A Time-varying FAVAR Model for the UK Transmission Mechanism
16 references·16 citing·41 second hopsampled
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References

  • 1969A General Equilibrium Approach To Monetary Theory5,340 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach4,628 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations4,382 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2004Interest and Prices2,583 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 1963Capital Theory and Investment Behavior2,191 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1963THE LIFE CYCLE HYPOTHESIS OF SAVING: AGGREGATE IMPLICATIONS AND TESTS2,011 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
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements

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1,566 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • Cited by

    • 2015The Macroeconomic Effects of the Sovereign Debt Crisis in the Euro Area87 cited
    • 2017Shocks versus Structure: Explaining Differences in Exchange Rate Pass-Through across Countries and Time48 cited
    • 2016Monetary Policy Transmission in an Open Economy: New Data and Evidence from the United Kingdom46 cited
    • 2018The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through44 cited
    • 2018Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK41 cited
    • 2020Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions36 cited
    • 2020Changing transmission of monetary policy on disaggregate inflation in India34 cited
    • 2021Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model31 cited
    • 2020Unconventional Monetary Policy and Wealth Inequalities in Great Britain*30 cited
    • 2022What are the International Channels Through Which a Us Policy Shock is Transmitted to the World Economies? Evidence from a Time Varying FAVAR26 cited
    • 2017Monetary Policy in the Capitals of Capital22 cited
    • 2019Is fiscal policy effective in Brazil? An empirical analysis21 cited
    • 2018Heterogeneous effects in the international transmission of the US monetary policy: a factor-augmented VAR perspective21 cited
    • 2021Shock-dependent exchange rate pass-through: Evidence based on a narrative sign approach for Japan18 cited
    • 2016Monetary versus Macroprudential Policies Causal Impacts of Interest Rates and Credit Controls in the Era of the UK Radcliffe Report18 cited
    • 2016A century of macro-financial linkages17 cited