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What do the VARs mean? Measuring the output effects of monetary policy

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Cited by:

  1. Filippo Occhino, 2001. "Monetary Policy Shocks in an Economy with Segmented Markets," Departmental Working Papers 200108, Rutgers University, Department of Economics.
  2. Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
  3. Norrbin, Stefan, 2001. "What Have We Learned from Empirical Tests of the Monetary Transmission Effect," Working Paper Series 121, Sveriges Riksbank (Central Bank of Sweden).
  4. Mohammed, Mikidadu, 2018. "Do Import Tariffs Generate Stagflationary Tendencies?," MPRA Paper 95128, University Library of Munich, Germany, revised 09 Apr 2019.
  5. Michael Artis, 1999. "The UK and EMU," Palgrave Macmillan Books, in: David Cobham & George Zis (ed.), From EMS to EMU: 1979 to 1999 and Beyond, chapter 7, pages 161-180, Palgrave Macmillan.
  6. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
  7. Brissimis, Sophocles N. & Magginas, Nicholas S., 2006. "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1225-1234, September.
  8. Narayan Kundan Kishor & Monique Newiak, 2014. "The Instability In The Monetary Policy Reaction Function And The Estimation Of Monetary Policy Shocks," Contemporary Economic Policy, Western Economic Association International, vol. 32(2), pages 390-402, April.
  9. Ángel Cabrera & Luis Felipe Lagos, 2002. "Monetary Policy in Chile: A Black Box?," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 8, pages 197-246, Central Bank of Chile.
  10. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  11. Carlos José García, 2001. "Políticas de Estabilización en Chile Durante los Noventa," Working Papers Central Bank of Chile 132, Central Bank of Chile.
  12. Christensen, Michael, 2001. "Real supply shocks and the money growth-inflation relationship," Economics Letters, Elsevier, vol. 72(1), pages 67-72, July.
  13. Chakraborty, Lekha, 2015. "Fiscal Seigniorage "Laffer-curve effect" on Central Bank Autonomy in India," Working Papers 15/156, National Institute of Public Finance and Policy.
  14. Dickinson, David & Liu, Jia, 2007. "The real effects of monetary policy in China: An empirical analysis," China Economic Review, Elsevier, vol. 18(1), pages 87-111.
  15. Al-Sharkas, A.A. & Lozi, B.M., 2009. "Effects of Measurement on Inferences: An Application to Money Demand and Related Variables in the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  16. Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 107, University of California, Davis, Department of Economics.
  17. Jiranyakul, Komain, 2009. "Relationship among Money, Prices and Aggregate Output in Thailand," MPRA Paper 46963, University Library of Munich, Germany.
  18. Javier Valles & Jose Vinals, 1999. "On the real effects of the monetary policy: A central banker's view," Working Papers 38, Oesterreichische Nationalbank (Austrian Central Bank).
  19. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
  20. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 18, European Central Bank.
  21. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
  22. Roberto Perotti, 2008. "In Search of the Transmission Mechanism of Fiscal Policy," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 169-226, National Bureau of Economic Research, Inc.
  23. Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June.
  24. Kevin Hoover, 2005. "Economic Theory and Causal Inference," Working Papers 257, University of California, Davis, Department of Economics.
  25. Christina D. Romer & David H. Romer, 2004. "A New Measure of Monetary Shocks: Derivation and Implications," American Economic Review, American Economic Association, vol. 94(4), pages 1055-1084, September.
  26. Karnizova, Lilia, 2010. "News versus sunspot shocks in a New Keynesian model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-27.
  27. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, April.
  28. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
  29. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
  30. Antoniou, Fabio & Fiocco, Raffaele & Guo, Dongyu, 2017. "Asymmetric price adjustments: A supply side approach," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 335-360.
  31. Brämer, Patrick & Gischer, Horst & Richter, Toni & Weiß, Mirko, 2013. "Competition in banks’ lending business and its interference with ECB monetary policy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 144-162.
  32. Kevin D. Hoover & Òscar Jordà, 2001. "Measuring systematic monetary policy," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 113-144.
  33. Vîntu, Denis, 2022. "The Relationship between Inflation, Interest Rate, Unemployment and Economic Growth," MPRA Paper 112931, University Library of Munich, Germany, revised Feb 2022.
  34. Tatjana Dahlhaus & Luca Gambetti, 2018. "Noisy Monetary Policy," Staff Working Papers 18-23, Bank of Canada.
  35. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 0002, European Central Bank.
  36. John W. Keating & Isaac K. Kanyama, 2015. "Is sticky price adjustment important for output fluctuations?," Review of Keynesian Economics, Edward Elgar Publishing, vol. 3(3), pages 392-418, July.
  37. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004. "The European business cycle," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 1-44, January.
  38. José Ignacio Castillo Manzano & Fernando González Laxe & Lourdes López Valpuesta, 2006. "Una Introducción al Análisis del Tráfico de Contenedores mediante los Vectores Autoregresivos," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 5, pages 1-23, January.
  39. Christian Calmes & Frederic Dufourt, 2000. "Nominal Dynamics in Expected Market-Clearing Models," Cahiers de recherche CREFE / CREFE Working Papers 126, CREFE, Université du Québec à Montréal.
  40. Denis VÎNTU, 2022. "Modeling The Dynamic Equilibrium Under The Policy Of Adjusting The Interest Rate And Taylor'S Rule Of National Bank Of Moldova (Nbm)," Management Strategies Journal, Constantin Brancoveanu University, vol. 55(1), pages 171-194.
  41. Canale, Rosaria Rita & Napolitano, Oreste, 2009. "The recessive attitude of EMU policies: reflections on the italian experience, 1998–2008," MPRA Paper 20207, University Library of Munich, Germany.
  42. Biswajit Maitra, 2011. "Anticipated Money, Unanticipated Money and Output Variations in Singapore," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 118-133.
  43. Raymond Y.C. Tse & John Raftery, 2001. "The effects of money supply on construction flows," Construction Management and Economics, Taylor & Francis Journals, vol. 19(1), pages 9-17, January.
  44. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
  45. Yao Chen & Nuno Palma & Felix Ward, 2022. "Goldilocks: American precious metals and the Rise of the West," Tinbergen Institute Discussion Papers 22-063/VI, Tinbergen Institute, revised 15 Feb 2023.
  46. Dong, Feng & Wen, Yi, 2019. "Long and Plosser meet Bewley and Lucas," Journal of Monetary Economics, Elsevier, vol. 102(C), pages 70-92.
  47. Fabio Milani & John Treadwell, 2012. "The Effects of Monetary Policy “News” and “Surprises”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1667-1692, December.
  48. Juan J. Dolado & Ramón María-Dolores, 2001. "An empirical study of the cyclical effects of monetary policy in Spain (1977-1997)," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 3-30, January.
  49. Radchenko, Stanislav & Shapiro, Dmitry, 2011. "Anticipated and unanticipated effects of crude oil prices and gasoline inventory changes on gasoline prices," Energy Economics, Elsevier, vol. 33(5), pages 758-769, September.
  50. Lekha Chakraborty, 2018. "Monetary Seigniorage in an Emerging Economy: Empirical Evidences," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(5), pages 135-144, May.
  51. Halkos, George, 2010. "Financial and real sector interactions:the case of Greece," MPRA Paper 24391, University Library of Munich, Germany.
  52. Vîntu, Denis, 2022. "An Optimizing IS-LM Model Specification with Inflation Targeting. Microeconomic Evidence for Price Adjustment," MPRA Paper 112805, University Library of Munich, Germany, revised Dec 2021.
  53. Martins Bitans & Dainis Stikuts & Ivars Tillers, 2003. "Transmission of Monetary Shocks in Latvia," Working Papers 2003/01, Latvijas Banka.
  54. Fernando Alvarez & Francesco Lippi, 2014. "Persistent Liquidity Effects and Long-Run Money Demand," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(2), pages 71-107, April.
  55. Breitung, Jörg, 1998. "Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen," SFB 373 Discussion Papers 1998,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  56. Kevin D. Hoover & Òscar Jordà, 2001. "Measuring systematic monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 83(Jul), pages 113-144.
  57. Bachmeier, Lance, 2008. "Monetary policy and the transmission of oil shocks," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1738-1755, December.
  58. Dreger, Christian & Schumacher, Christian, 2002. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models?," Discussion Paper Series 26321, Hamburg Institute of International Economics.
  59. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal.
  60. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 228, European Central Bank.
  61. Kahn, Michael & Kandel, Shmuel & Sarig, Oded, 2002. "Real and nominal effects of central bank monetary policy," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1493-1519, November.
  62. Syed M. Harun & M. Kabir Hassan & Tarek S. Zaher, 2005. "Effect of Monetary Policy on Commercial Banks Across Different Business Conditions," Multinational Finance Journal, Multinational Finance Journal, vol. 9(1-2), pages 99-128, March-Jun.
  63. Fabio Milani & John Treadwell, 2012. "The Effects of Monetary Policy “News” and “Surprises”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1667-1692, December.
  64. W. A. Razzak, 2016. "New Zealand Labor Market Dynamics: Pre- and Post-global Financial Crisis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 49-79, September.
  65. Andrea Stella, 2014. "The Magnitude of Menu Costs: A Structural Estimation," 2014 Meeting Papers 436, Society for Economic Dynamics.
  66. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 0018, European Central Bank.
  67. Rómulo A. Chumacero, 2005. "A Toolkit for Analyzing Alternative Policies in the Chilean Economy," Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.),General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 8, pages 261-302, Central Bank of Chile.
  68. Adam Elbourne & Jakob de Haan & Jakob de Haan, 2004. "Asymmetric Monetary Transmission in EMU: The Robustness of VAR Conclusions and Cecchetti’s Legal Family Theory," CESifo Working Paper Series 1327, CESifo.
  69. Masagus M. Ridhwan & Henri L. F. Groot & Piet Rietveld & Peter Nijkamp, 2014. "The Regional Impact of Monetary Policy in Indonesia," Growth and Change, Wiley Blackwell, vol. 45(2), pages 240-262, June.
  70. Matteo Iacoviello, 2002. "House Prices and Business Cycles in Europe: a VAR Analysis," Boston College Working Papers in Economics 540, Boston College Department of Economics.
  71. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
  72. Ricardo Reis, 2008. "Comment on "In Search of the Transmission Mechanism of Fiscal Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 227-236, National Bureau of Economic Research, Inc.
  73. Huchet, Marilyne, 2003. "Does single monetary policy have asymmetric real effects in EMU?," Journal of Policy Modeling, Elsevier, vol. 25(2), pages 151-178, February.
  74. Khamfula, Y., 2006. "Output Growth and Monetary Policy Interaction in a Common Monetary Area: Forecasting with VEC Models in Namibia, Lesotho, South Africa and Swaziland, 1981-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
  75. Mohammed, Mikidadu, 2018. "Do import tariffs generate stagflationary tendencies?," EconStor Preprints 181674, ZBW - Leibniz Information Centre for Economics, revised 2018.
  76. Bruneau, Catherine & De Bandt, Olivier, 2003. "Monetary and fiscal policy in the transition to EMU: what do SVAR models tell us?," Economic Modelling, Elsevier, vol. 20(5), pages 959-985, September.
  77. repec:onb:oenbwp:y::i:38:b:1 is not listed on IDEAS
  78. Ismail O. FASANYA & Adegbemi B.O ONAKOYA & Mariam A. AGBOLUAJE, 2013. "Does Monetary Policy Influence Economic Growth in Nigeria?," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(5), pages 635-646, May.
  79. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
  80. Guglielmo Maria Caporale & Margarita Katsimi & Nikitas Pittis, 2002. "Causality Links between Consumer and Producer Prices: Some Empirical Evidence," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 703-711, January.
  81. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, February.
  82. Ryan Chahrour & Kyle Jurado, 2017. "Recoverability," Boston College Working Papers in Economics 935, Boston College Department of Economics.
  83. Gottschalk, Jan, 2001. "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers 1072, Kiel Institute for the World Economy (IfW Kiel).
  84. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
  85. George E. HALKOS & Marianna K. TRIGONI, 2010. "231 Financial And Real Sector Interactions: The Case Of Greece," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
  86. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
  87. Hassapis, Christis & Kalyvitis, Sarantis, 2002. "Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 543-575.
  88. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Economics Letters, Elsevier, vol. 121(2), pages 247-251.
  89. Nicolaas Groenewold, 2012. "Australia and the GFC: Saved by Astute Fiscal Policy?," Economics Discussion / Working Papers 12-28, The University of Western Australia, Department of Economics.
  90. Koichiro Kamada & Tomohiro Sugo, 2006. "Evaluating Japanese Monetary Policy under the Non-negativity Constraint on Nominal Short-term Interest Rates," Bank of Japan Working Paper Series 06-E-17, Bank of Japan.
  91. Gordon de Brouwer & Luci Ellis, 1998. "Forward-looking Behaviour and Credibility: Some Evidence and Implications for Policy," RBA Research Discussion Papers rdp9803, Reserve Bank of Australia.
  92. Bao-jun Tang & Pi-qin Gong & Cheng Shen, 2017. "Factors of carbon price volatility in a comparative analysis of the EUA and sCER," Annals of Operations Research, Springer, vol. 255(1), pages 157-168, August.
  93. Ante Babić, 2000. "The Monthly Transaction Money Demand in Croatia," Working Papers 5, The Croatian National Bank, Croatia.
  94. Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 624, University of California, Davis, Department of Economics.
  95. Chris Loewald & Konstantin Makrelov & Ekaterina Pirozhkova, 2022. "TheshorttermcostsofreducingtrendinflationinSouthAfrica," Working Papers 11029, South African Reserve Bank.
  96. Muhammad Sadiq Ansari, 2007. "An Empirical Investigation of Cost Efficiency in the Banking Sector of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 209-231.
  97. Chakraborty, Lekha S, 2014. "Monetary Seigniorage in an Emerging Economy: Is there a scope for "free lunch" in financing public investment?," MPRA Paper 67497, University Library of Munich, Germany, revised 2015.
  98. Höppner, Florian & Gottschalk, Jan, 2001. "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Kiel Working Papers 1074, Kiel Institute for the World Economy (IfW Kiel).
  99. Schumacher Christian & Dreger Christian, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 731-750, December.
  100. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 2, European Central Bank.
  101. Kevin Hoover, 2005. "Economic Theory and Causal Inference," Working Papers 64, University of California, Davis, Department of Economics.
  102. Groenewold, Nicolaas, 2018. "Australia saved from the financial crisis by policy or by exports?," Journal of Policy Modeling, Elsevier, vol. 40(1), pages 118-135.
  103. Roberto Perotti, 2012. "The Effects of Tax Shocks on Output: Not So Large, but Not Small Either," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 214-237, May.
  104. Gottschalk, Jan & Höppner, Florian, 2001. "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Bonn Econ Discussion Papers 21/2001, University of Bonn, Bonn Graduate School of Economics (BGSE).
  105. Kuppers, Markus, 2001. "Curtailing the black box: German banking groups in the transmission of monetary policy," European Economic Review, Elsevier, vol. 45(10), pages 1907-1930, December.
  106. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
  107. Keating, John W., 2000. "Macroeconomic Modeling with Asymmetric Vector Autoregressions," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 1-28, January.
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