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Forward-looking information in VAR models and the price puzzle
16 references·16 citing·37 second hopsampled
Forward-looking information in VAR models and the price puzzle (2006)Forward-looking information in VAR models…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Monetary policy in a data-rich environment (2003)Monetary policy in a data-ric…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach (2000)Exchange rate anomalies in th…Optimal Monetary Policy Inertia (1999)Optimal Monetary Policy Inert…Monetary Policy Shocks: What Have We Learned and to What End? 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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 1999Optimal Monetary Policy Inertia998 cited
  • 2000Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach916 cited
  • 1997Identifying monetary policy in a small open economy under flexible exchange rates793 cited
  • 2003Monetary policy in a data-rich environment

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702 cited
  • 1984The information in the term structure659 cited
  • Cited by

    • 2005Wage Rigidity and Monetary Union86 cited
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    • 2012Transmission Lags of Monetary Policy: A Meta-Analysis60 cited
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    • 2022EMU Strategies: Lessons from Past Experience in View of EU Enlargement54 cited
    • 2011The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields52 cited
    • 2005Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan46 cited
    • 2008The effects of monetary policy in the Czech republic:an empirical study40 cited
    • 2022Econometric Modelling at the Bank of Greece39 cited
    • 2004The drachma, foreign creditors, and the international monetary system: tales of a currency during the 19th and the early 20th centuries36 cited
    • 2022Measuring Liquidity in the Greek Government Securities Market36 cited
    • 2010Monetary shocks, exchange rates and trade balances: Evidence from inflation targeting countries35 cited
    • 2022Aggregate Supply and Demand, the Real Exchange Rate and Oil Price Denomination35 cited
    • 2022The Comparative Performance of Q-Type and Dynamic Models of Firm Investment: Empirical Evidence from the UK34 cited
    • 2022The European Union GDP Forecast Rationality Under Asymmetric Preferences28 cited
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