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Information from financial markets and VAR measures of monetary policy

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Author Info
Bagliano, Fabio C.
Favero, Carlo A.

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File URL: http://www.sciencedirect.com/science/article/B6V64-3WRBN38-C/2/0e66e2a13e152519de462964729b6448
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Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 43 (1999)
Issue (Month): 4-6 (April)
Pages: 825-837
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Handle: RePEc:eee:eecrev:v:43:y:1999:i:4-6:p:825-837

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Allan D. Brunner, 1996. "Using measures of expectations to identify the effects of a monetary policy shock," International Finance Discussion Papers 537, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Fabio C. Bagliano & Carlo A. Favero & Francesco Franco, . "Measuring Monetary Policy in Open Economies," Working Papers 133, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  3. Frank Smets, 1997. "Measuring monetary policy shocks in France, Germany and Italy: The role of the exchange rate," BIS Working Papers 42, Bank for International Settlements. [Downloadable!]
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  4. Glenn D. Rudebusch, 1996. "Do measures of monetary policy in a VAR make sense?," Working Papers in Applied Economic Theory 96-05, Federal Reserve Bank of San Francisco.
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  5. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October. [Downloadable!] (restricted)
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  6. Martin Eichenbaum & Charles Evans, 1992. "Some empirical evidence on the effects of monetary policy shocks on exchange rates," Working Paper Series, Macroeconomic Issues 92-32, Federal Reserve Bank of Chicago.
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  7. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June. [Downloadable!] (restricted)
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  8. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August. [Downloadable!] (restricted)
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  10. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies. [Downloadable!]
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  12. Grilli, Vittorio & Roubini, Nouriel, 1996. "Liquidity models in open economies: Theory and empirical evidence," European Economic Review, Elsevier, vol. 40(3-5), pages 847-859, April. [Downloadable!] (restricted)
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  13. Grilli, Vittorio & Roubini, Nouriel, 1992. "Liquidity and exchange rates," Journal of International Economics, Elsevier, vol. 32(3-4), pages 339-352, May. [Downloadable!] (restricted)
  14. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June. [Downloadable!] (restricted)
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  15. Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996. "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February. [Downloadable!] (restricted)
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  16. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jeromin Zettelmeyer, 2003. "The Impact of Monetary Policy on the Bilateral Exchange Rate: Chile versus the United States," IMF Working Papers 03/71, International Monetary Fund. [Downloadable!]
  2. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003. "Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity," CEIS Research Paper 23, Tor Vergata University, CEIS. [Downloadable!]
    Other versions:
  3. J.M. Berk, 2000. "Consumers' Inflation Expectations and Monetary Policy in Europe," DNB Staff Reports (discontinued) 55, Netherlands Central Bank. [Downloadable!]
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  4. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," NBER Working Papers 9660, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Carlo Favero & Francesco Giavazzi, 2007. "Debt and the effects of fiscal policy," Working Papers 07-4, Federal Reserve Bank of Boston. [Downloadable!]
    Other versions:
  6. Bastos, Fabiano & Angelo Divino, Jose, 2009. "Exchange rate and output fluctuations in the small open economy of Mauritius," Policy Research Working Paper Series 5065, The World Bank. [Downloadable!]
  7. Igor MASTEN, 2002. "How Important Is the Shock-Absorbing Role of the Real Exchange Rate?," Economics Working Papers ECO2002/06, European University Institute. [Downloadable!]
  8. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece. [Downloadable!]
    Other versions:
  9. Giuseppe De Arcangelis & Giorgio Di Giorgio, 1999. "Monetary Policy Shocks and Transmission in Italy: A VAR Analysis," Economics Working Papers 446, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  10. Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007. "Oil supply news in a VAR: Information from financial markets," Temi di discussione (Economic working papers) 632, Bank of Italy, Economic Research Department. [Downloadable!]
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