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Citations for "Measuring Monetary Policy with VAR Models: An Evaluation"

by Bagliano, Fabio-Cesare & Favero, Carlo A.

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  1. Joshua D. Angrist & Òscar Jordà & Guido Kuersteiner, 2013. "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," NBER Working Papers 19355, National Bureau of Economic Research, Inc.
  2. Hilde C. Bjørnland, 2005. "Monetary policy and the illusionary exchange rate puzzle," Working Paper 2005/11, Norges Bank.
  3. Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008. "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics 08/19, University of Canterbury, Department of Economics and Finance.
  4. Pirovano, Mara, 2012. "Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states," Economic Systems, Elsevier, vol. 36(3), pages 372-390.
  5. Vespignani, Joaquin L. & Ratti, Ronald A, 2013. "Chinese monetary expansion and the U.S. economy: A note‎," MPRA Paper 46961, University Library of Munich, Germany.
  6. Matteo Ciccarelli & Alessandro Rebucci, 2002. "The Transmission Mechanism of European Monetary Policy; Is there Heterogeneity? Is+L2203 it Changing Over Time?," IMF Working Papers 02/54, International Monetary Fund.
  7. Kamal, Mona, 2010. "Empirical Investigation of Fiscal Policy Shocks in the UK," MPRA Paper 26473, University Library of Munich, Germany.
  8. Necati Tekatli, 2007. "Understanding Sources of the Change in International Business Cycles," Working Papers 335, Barcelona Graduate School of Economics.
  9. R.Fiorentini & R.Tamborini, 2000. "Monetary policy, credit and aggregate supply: the evidence from Italy," General Economics and Teaching 0004008, EconWPA.
  10. Georgiadis, Georgios, 2014. "Towards an explanation of cross-country asymmetries in monetary transmission," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 66-84.
  11. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
  12. Douch, Mohamed, 2005. "The macroeconomic effects of monetary policy and financial crisis," MPRA Paper 1120, University Library of Munich, Germany.
  13. Eugenio Gaiotti, 1999. "The transmission of monetary policy shocks in Italy," Temi di discussione (Economic working papers) 363, Bank of Italy, Economic Research and International Relations Area.
  14. Barakchian, S. Mahdi & Crowe, Christopher, 2013. "Monetary policy matters: Evidence from new shocks data," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 950-966.
  15. Hanson, Michael S., 2004. "The "price puzzle" reconsidered," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1385-1413, October.
  16. Vespignani, Joaquin L. & Ratti, Ronald A., 2013. "Chinese Monetary Expansion and the US Economy," Working Papers 16874, University of Tasmania, School of Economics and Finance, revised 05 Aug 2013.
  17. Paul Beaudry & Bernd Lucke, 2009. "Letting Different Views about Business Cycles Compete," NBER Working Papers 14950, National Bureau of Economic Research, Inc.
  18. V. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 1998. "Institutional Change, Inflation Targeting and the Stability of Interest Rate Reaction Functions," Working Papers 9815, Business School - Economics, University of Glasgow, revised Aug 1998.
  19. Anna Florio, 2005. "Asymmetric monetary policy: empirical evidence for Italy," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 751-764.
  20. Pierre L. Siklos, 2007. "The FedÕs Reaction to the Stock Market During the Great Depression: Fact or Artefact?," Working Paper Series 33-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  21. Sophocles N. Brissimis & Nicholas S. Magginas, 2004. "Forward-Looking Information in VAR Models and the Price Puzzle," Working Papers 10, Bank of Greece.
  22. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 58-83, March.
  23. Tuan Anh Phan, 2014. "Output Composition of the Monetary Policy Transmission Mechanism: Is Australia Different?," Crawford School Research Papers 1403, Crawford School of Public Policy, The Australian National University.
  24. Eric JONDEAU & Hervé LE BIHAN, 2002. "Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies," Annales d'Economie et de Statistique, ENSAE, issue 67-68, pages 357-388.
  25. de Mello, Luiz & Moccero, Diego, 2011. "Monetary policy and macroeconomic stability in Latin America: The cases of Brazil, Chile, Colombia and Mexico," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 229-245, February.
  26. Gospodinov, Nikolay & Jamali, Ibrahim, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," Working Paper 2014-14, Federal Reserve Bank of Atlanta.
  27. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers IES 2012/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2012.
  28. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2000. "Does Institutional Change Really Matter? Inflation Targets, Central Bank Reform and Interest Rate Policy in the OECD Countries," CESifo Working Paper Series 278, CESifo Group Munich.
  29. Kaminska, Iryna, 2008. "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England working papers 357, Bank of England.
  30. Ingo Fender, 2000. "The impact of corporate risk management on monetary policy transmission: some empirical evidence," BIS Working Papers 95, Bank for International Settlements.
  31. repec:dgr:uvatin:20110145 is not listed on IDEAS
  32. Erdenebat Bataa & Marwan Izzeldin & Denise Osborn, 2015. "Changes in the global oil market," Working Papers 75761696, Lancaster University Management School, Economics Department.
  33. Michael T. Owyang & Howard J. Wall, 2004. "Structural breaks and regional disparities in the transmission of monetary policy," Working Papers 2003-008, Federal Reserve Bank of St. Louis.
  34. Hilde C. Bjørnland, 2009. "Monetary policy and exchange rate overshooting: Dornbusch was right after all," Working Paper 2009/09, Norges Bank.
  35. Jan Gottschalk & Florian Höppner, 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.
  36. repec:dgr:uvatin:2011145 is not listed on IDEAS
  37. Christopher Adam & Peter Montiel, 2012. "Financial Architecture and the Monetary Transmission Mechanism in Tanzania," Economics Series Working Papers WPS/2012-03, University of Oxford, Department of Economics.
  38. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
  39. Aiyar, Shekhar & Calomiris, Charles & Wieladek, Tomasz, 2014. "How does credit supply respond to monetary policy and bank minimum capital requirements?," Bank of England working papers 508, Bank of England.
  40. Razzak, Weshah, 2013. "New Zealand Labour Market Dynamics Pre- and post-global financial crisis," MPRA Paper 52462, University Library of Munich, Germany.
  41. Mayes, David G. & Viren, Matti, 1998. "The Exchange Rate and Monetary Conditions in the Euro Area," Research Discussion Papers 27/1998, Bank of Finland.
  42. Matteo Modena, 2008. "The Term Structure and the Expectations Hypothesis: a Threshold Model," Working Papers 2008_36, Business School - Economics, University of Glasgow.
  43. Pedro Raffy Vartanian, 2008. "Choques monetários e cambiais sob regimes de câmbio flutuante nos países membros do Mercosul: há indícios de convergência macroeconômica?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211410580, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  44. Simone Casellina & Mariacristina Uberti, 2008. "Optimal Monetary Policy and Long-term Interest Rate Dynamics: Taylor Rule Extensions," Computational Economics, Society for Computational Economics, vol. 32(1), pages 183-198, September.
  45. Giordani, Paolo, 2001. "An Alternative Explanation of the Price Puzzle," Working Paper Series 125, Sveriges Riksbank (Central Bank of Sweden).
  46. Andrew Ang & Sen Dong, 2005. "No-Arbitrage Taylor Rules," 2005 Meeting Papers 22, Society for Economic Dynamics.
  47. Maria Christidou & Panagiotis Konstantinou, 2011. "Housing Market and the Transmission of Monetary Policy: Evidence from U.S. States," Discussion Paper Series 2011_14, Department of Economics, University of Macedonia, revised Sep 2011.
  48. Riccardo Bonci & Francesco Columba, 2008. "Monetary Policy Effects: New Evidence from the Italian Flow of Funds," Temi di discussione (Economic working papers) 678, Bank of Italy, Economic Research and International Relations Area.
  49. Magnus Saxegaard, 2006. "Excess Liquidity and the Effectiveness of Monetary Policy; Evidence From Sub-Saharan Africa," IMF Working Papers 06/115, International Monetary Fund.
  50. Sun, Rongrong, 2014. "What Measures Chinese Monetary Policy?," MPRA Paper 58514, University Library of Munich, Germany.
  51. Karsten Ruth, 2007. "Interest rate reaction functions for the euro area," Empirical Economics, Springer, vol. 33(3), pages 541-569, November.
  52. Thanabalasingam Vinayagathasan, 2013. "Monetary Policy and the Real Economy: A Structural VAR Approach for Sri Lanka," GRIPS Discussion Papers 13-13, National Graduate Institute for Policy Studies.
  53. Ruth, Karsten, 2008. "Macroeconomic forecasting in the EMU: Does disaggregate modeling improve forecast accuracy?," Journal of Policy Modeling, Elsevier, vol. 30(3), pages 417-429.
  54. Hilde C. Bjørnland & Dag Henning Jacobsen, 2009. "The role of house prices in the monetary policy transmission mechanism in small open economies," Working Paper 2009/06, Norges Bank.
  55. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2014. "Liquidity expansion in China and the U.S. economy," MPRA Paper 59338, University Library of Munich, Germany.
  56. Jan Gottschalk, 2001. "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers 1072, Kiel Institute for the World Economy.
  57. Disyatat, Piti & Vongsinsirikul, Pinnarat, 2003. "Monetary policy and the transmission mechanism in Thailand," Journal of Asian Economics, Elsevier, vol. 14(3), pages 389-418, June.
  58. Giorgio Valente, 2003. "Monetary policy rules and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 525-535.
  59. Bjørnland, Hilde C., 2005. "Monetary policy and exchange rate interactions in a small open economy," Memorandum 31/2005, Oslo University, Department of Economics.
  60. Demary, Markus, 2009. "The Link between Output, Inflation, Monetary Policy and Housing Price Dynamics," MPRA Paper 15978, University Library of Munich, Germany.
  61. Kashif Munir & Abdul Qayyum, 2014. "Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach," Empirical Economics, Springer, vol. 46(3), pages 843-864, May.
  62. Hasko, Harri, 2007. "‘Some unpleasant fiscal arithmetic’: the role of monetary and fiscal policy in public debt dynamics since the 1970s," Research Discussion Papers 28/2007, Bank of Finland.
  63. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia.
  64. International Monetary Fund, 2008. "Is Monetary Policy Effective When Credit is Low?," IMF Working Papers 08/288, International Monetary Fund.
  65. Hilde C. Bjørnland & Dag Henning Jacobsen, 2012. "House prices and stock prices: Different roles in the U.S. monetary transmission mechanism," Working Papers 0006, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  66. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
  67. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  68. Klaeffling, Matt, 2003. "Monetary policy shocks - a nonfundamental look at the data," Working Paper Series 0228, European Central Bank.
  69. 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.
  70. Jan Gottschalk & Willem Van Zandweghe, 2001. "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany," Kiel Working Papers 1068, Kiel Institute for the World Economy.
  71. Beenstock, Michael & Azoulay, Eddy & Offenbacher, Akiva & Sulla, Olga, 2003. "A macroeconometric model with oligopolistic banks: monetary control, inflation and growth in Israel," Economic Modelling, Elsevier, vol. 20(3), pages 455-486, May.
  72. Riccardo Bonci & Francesco Columba, 2007. "The Effects Of Monetary Policy Shocks On Flow Of Funds:The Italian Case," Money Macro and Finance (MMF) Research Group Conference 2006 75, Money Macro and Finance Research Group.
  73. Pham The Anh, 2007. "Nominal Rigidities and The Real Effects of Monetary Policy in a Structural VAR Model," Working Papers 06, Development and Policies Research Center (DEPOCEN), Vietnam.
  74. Delavari, Majid & Mohammadali, Hanieh & Naderi, Esmaeil & Gandali Alikhani, Nadiya, 2011. "The sources of Iran's Business Cycles," MPRA Paper 46756, University Library of Munich, Germany.
  75. Aiyar, Shekhar & Calomiris , Charles W & Wieladek, Tomasz, 2012. "Does macropru leak? Evidence from a UK policy experiment," Bank of England working papers 445, Bank of England.
  76. Koivu, Tuuli, 2012. "Monetary policy, asset prices and consumption in China," Economic Systems, Elsevier, vol. 36(2), pages 307-325.
  77. MEZUI-MBENG, Pamphile, 2010. "Tramsission de la politique monétaire: le cas des pays de la CEMAC
    [Monetary policy transmission: the case of the CEMAC]
    ," MPRA Paper 26032, University Library of Munich, Germany.
  78. Kakes, Jan, 1998. "Monetary transmission and business cycle asymmetry," Research Report 98C36, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  79. Girardin, Eric & Moussa, Zakaria, 2011. "Quantitative easing works: Lessons from the unique experience in Japan 2001–2006," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 461-495, October.
  80. 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.
  81. Ramos, Raul & Clar, Miquel & Surinach, Jordi, 1999. "EMU: some unanswered questions," ERSA conference papers ersa99pa220, European Regional Science Association.
  82. Giovannetti, Giorgia & Marimon, Ramon, 1998. "An EMU with Different Transmission Mechanisms," CEPR Discussion Papers 2016, C.E.P.R. Discussion Papers.
  83. Paolo Chiades & Leonardo Gambacorta, 2004. "The Bernanke and Blinder Model in an Open Economy: The Italian Case," German Economic Review, Verein für Socialpolitik, vol. 5(1), pages 1-34, 02.
  84. Luis Carranza & Jose E. Galdon-Sanchez & Javier Gomez-Biscarri, 2010. "Understanding the Relationship between Financial Development and Monetary Policy," Review of International Economics, Wiley Blackwell, vol. 18(5), pages 849-864, November.
  85. Bjørnland , Hilde & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Research Discussion Papers 17/2005, Bank of Finland.
  86. Ono, Shigeki, 2013. "The effects of foreign exchange and monetary policies in Russia," Economic Systems, Elsevier, vol. 37(4), pages 522-541.
  87. 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.
  88. Bagliano, Fabio C. & Favero, Carlo A., 1999. "Information from financial markets and VAR measures of monetary policy," European Economic Review, Elsevier, vol. 43(4-6), pages 825-837, April.
  89. Catherine Bac, 2001. "Arbitrage entre fluctuations de l'inflation et de l'activité au niveau de la zone "euro"," Économie et Prévision, Programme National Persée, vol. 150(4), pages 47-58.
  90. Peersman, Gert, 2002. "Monetary policy and long term interest rates in Germany," Economics Letters, Elsevier, vol. 77(2), pages 271-277, October.
  91. Eric Monnet, 2012. "Monetary policy without interest rates. Evidence from France’s Golden Age (1948-1973) using a narrative approach," Working Papers 0032, European Historical Economics Society (EHES).
  92. Jan Gottschalk & Willem Van Zandweghe, 2003. "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? An Investigation into the Case of Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 55-81, March.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.