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The Low-Frequency Impact of Daily Monetary Policy Shocks
16 references·1 citing·44 second hop
The Low-Frequency Impact of Daily Monetary Policy Shocks (2011)The Low-Frequency Impact of Daily Monetar…A two-step estimator for large approximate dynamic factor models based on Kalman filtering (2011)A two-step estimator for larg…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Estimation and Inference of Impulse Responses by Local Projections (2005)Estimation and Inference of I…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…A new coincident index of business cycles based on monthly and quarterly series (2002)A new coincident index of bus…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Measuring Monetary Policy (1998)Measuring Monetary PolicyDo Measures of Monetary Policy in a VAR Make Sense (1998)Do Measures of Monetary Polic…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)The Effects of Monetary Polic…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …Macroeconomics and Reality (1980)Macroeconomics and RealityMarkov-switching mixed-frequency VAR models (2014)Markov-switching mixed-freque…New Indexes of Coincident and Leading Economic Indicators (1989)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Large Bayesian vector auto regressions (2009)Prior Selection for Vector Autoregressions (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Econometric policy evaluation: A critique (1976)The federal funds rate and the channels of monetary transmission (1989)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)New Eurocoin: Tracking Economic Growth in Real Time (2010)Now-Casting and the Real-Time Data Flow (2013)Discretion versus policy rules in practice (1993)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Macroeconomic Shocks and Their Propagation (2016)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Measuring Geopolitical Risk (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)Interpreting the macroeconomic time series facts (1992)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Financial Accelerator and the Flight to Quality (1996)Oil price shocks and stock market activity (1999)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2005Estimation and Inference of Impulse Responses by Local Projections4,629 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 1998Do Measures of Monetary Policy in a VAR Make Sense629 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s

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595 cited
  • 2011A two-step estimator for large approximate dynamic factor models based on Kalman filtering480 cited
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    • 2014Markov-switching mixed-frequency VAR models32 cited