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Forward-looking information in VAR models and the price puzzle · Study

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ArticleForward-looking information in VAR models and the price puzzle

Sophocles N. Brissimis2006

Article2006

Forward-looking information in VAR models and the price puzzle

Sophocles N. Brissimis · Nicholas S. Magginas

85 citations·0/0 files stored·Journal of Monetary Economics

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Monetary Policy and Economic Impact Market Dynamics and Volatility Economic theories and models

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References

1993Discretion versus policy rules in practice 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1998Monetary Policy Shocks: What Have We Learned and to What End?2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market 1992Interpreting the macroeconomic time series facts 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 1998Measuring Monetary Policy

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2005Wage Rigidity and Monetary Union 2007Regional Integration Challenges in South East Europe: Banking Sector Trends 2012Transmission Lags of Monetary Policy: A Meta-Analysis 2019Can monetary policy stabilise food inflation? Evidence from advanced and emerging economies 2022EMU Strategies: Lessons from Past Experience in View of EU Enlargement 2011The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

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2022Forward-Looking Information in VAR Models and the Price Puzzlepreprint · 31 shared references 2014Monetary Policy Shocks and Foreign Investment Income: Evidence from a Large Bayesian VARarticle · 11 shared references 2010Monetary Policy Matters: New Evidence Based on a New Shock Measurepreprint · 11 shared references 2016Semiparametric Estimates of Monetary Policy Effects: String Theory Revisitedarticle · 10 shared references 2006Global and National Macroeconometric Modellingbook · 10 shared references 2010The Fed and the Stock Market: An Identification Based on Intraday Futures Dataarticle · 10 shared references

Details

Year2006

Typearticle

Published2006-06-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations85

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jmoneco.2005.05.014

openalex_workW2083336621

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2005Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan

2008The effects of monetary policy in the Czech republic:an empirical study