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Citations for "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach"

by Ben S. Bernanke & Jean Boivin & Piotr Eliasz

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  1. Magdalena Morgese Borys & Roman Horvath, 2007. "The Effects of Monetary Policy in the Czech Republic: An Empirical Study," CERGE-EI Working Papers wp339, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  2. Smith, Ron P. & Zoega, Gylfi, 2008. "Global Factors, Unemployment Adjustment and the Natural Rate," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 2, pages 1-29.
  3. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
  4. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
  5. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
  6. Aiolfi, Marco & Catão, Luis A.V. & Timmermann, Allan, 2011. "Common factors in Latin America's business cycles," Journal of Development Economics, Elsevier, vol. 95(2), pages 212-228, July.
  7. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
  8. repec:pra:mprapa:67187 is not listed on IDEAS
  9. Potter Simon M., 2000. "A Nonlinear Model of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(2), pages 1-11, July.
  10. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  11. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006 47, Society for Computational Economics.
  12. Peter J. Klenow & Jonathan L. Willis, 2006. "Real rigidities and nominal price changes," Research Working Paper RWP 06-03, Federal Reserve Bank of Kansas City.
  13. M. Ayhan Kose & Christopher Otrok & Eswar Prasad, 2012. "Global Business Cycles: Convergence Or Decoupling?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 511-538, 05.
  14. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group.
  15. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  16. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  17. Hirokazu Ishise Nao Sudo, 2013. "Inventory‐Theoretic Money Demand and Relative Price Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 299-326, 03.
  18. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Economics Working Papers ECO2008/15, European University Institute.
  19. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1319-1347, October.
  20. Konstantins Benkovskis & Andrejs Bessonovs & Martin Feldkircher & Julia Wörz, 2011. "The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary: Evidence from a FAVAR Model," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 8-36.
  21. Arvid Raknerud & Bjørn Helge Vatne, 2013. "The relations between bank-funding costs, retail rates, and loan volumes. Evidence form Norwegian microdata," Discussion Papers 742, Statistics Norway, Research Department.
  22. Jean Boivin & Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc.
  23. Hwee Kwan Chow & Keen Meng Choy, 2008. "Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Economic Growth Centre Working Paper Series 0802, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  24. Efrem Castelnuovo & Paolo Surico, 2006. "The price puzzle: fact or artefact?," Bank of England working papers 288, Bank of England.
  25. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2004. "Similarities and Convergence in G7 Cycles," CEPR Discussion Papers 4534, C.E.P.R. Discussion Papers.
  26. Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications 4810, Inter-American Development Bank, Research Department.
  27. Klenow, Peter J. & Willis, Jonathan L., 2007. "Sticky information and sticky prices," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 79-99, September.
  28. Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area," Working Paper Series 0725, European Central Bank.
  29. Thoma, Mark, 2008. "Structural change and lag length in VAR models," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 965-976, September.
  30. Rokon Bhuiyan, 2012. "Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 1037-1061, August.
  31. Boivin, Jean & Giannoni, Marc P. & Mihov, Ilian, 2006. "Sticky prices and monetary policy: Evidence from disaggregated US data," CFS Working Paper Series 2007/14, Center for Financial Studies (CFS).
  32. Ho, Steven Wei & Zhang, Ji & Zhou, Hao, 2014. "Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets," Globalization and Monetary Policy Institute Working Paper 211, Federal Reserve Bank of Dallas.
  33. Dong He & Wei Liao, 2011. "Asian Business Cycle Synchronisation," Working Papers 062011, Hong Kong Institute for Monetary Research.
  34. Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk, 2007. "Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information," Tinbergen Institute Discussion Papers 07-028/4, Tinbergen Institute.
  35. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
  36. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," William Davidson Institute Working Papers Series wp1038, William Davidson Institute at the University of Michigan.
  37. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank, Research Centre.
  38. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
  39. William T. Gavin & Kevin L. Kliesen, 2006. "Forecasting inflation and output: comparing data-rich models with simple rules," Working Papers 2006-054, Federal Reserve Bank of St. Louis.
  40. McCallum, Andrew & Smets, Frank, 2007. "Real wages and monetary policy transmission in the euro area," Kiel Working Papers 1360, Kiel Institute for the World Economy (IfW).
  41. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
  42. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, C.E.P.R. Discussion Papers.
  43. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre.
  44. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, EconWPA.
  45. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
  46. Christopher Otrok & Ayhan Kose & Mario J. Crucini, 2009. "What are the driving forces of international business cycles," 2009 Meeting Papers 820, Society for Economic Dynamics.
  47. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
  48. Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, vol. 23(4), pages 655-677.
  49. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
  50. Fabrizio Coricelli & Bal??zs ??gert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
  51. Seok-Kyun Hur, 2005. "Money Growth and Interest Rates," NBER Working Papers 11102, National Bureau of Economic Research, Inc.
  52. Massimiliano Marcellino & George Kapetanios, 2006. "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  53. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
  54. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
  55. de Bandt, O. & Barhoumi, K. & Bruneau, C., 2010. "The international transmission of house price shocks," Working papers 274, Banque de France.
  56. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
  57. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
  58. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  59. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
  60. Dennis J. Fixler & Jeremy J. Nalewaik, 2007. "News, noise, and estimates of the "true" unobserved state of the economy," Finance and Economics Discussion Series 2007-34, Board of Governors of the Federal Reserve System (U.S.).
  61. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  62. Shuyun May Li & Roshan Perera & Kalvinder Shields, 2013. "Misspecification, Identification or Measurement? Another Look at the Price Puzzle," Department of Economics - Working Papers Series 1169, The University of Melbourne.
  63. Amarasekara, Chandranath, 2008. "The Impact of Monetary Policy on Economic Growth and Inflation in Sri Lanka," MPRA Paper 64866, University Library of Munich, Germany.
  64. George Kapetanios & Vincent Labhard & Simon Price, 2007. "Forecast combination and the Bank of England’s suite of statistical forecasting models," Bank of England working papers 323, Bank of England.
  65. Anton, Roman, 2015. "Monetary Development and Transmission in the Eurosystem," MPRA Paper 67323, University Library of Munich, Germany, revised 08 Oct 2015.
  66. Klenow, Peter J. & Willis, Jonathan L., 2007. "Sticky information and sticky prices," Journal of Monetary Economics, Elsevier, vol. 54(Supplemen), pages 79-99, September.
  67. Kaabia, Olfa & Abid, Ilyes & Mkaouar, Farid, 2016. "The dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow," Economic Modelling, Elsevier, vol. 58(C), pages 642-654.
  68. Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011. "How do banks' funding costs affect interest margins?," Discussion Papers 665, Statistics Norway, Research Department.
  69. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 15-23, June.
  70. Roberta Fiori & Simonetta Iannotti, 2010. "On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach," Temi di discussione (Economic working papers) 779, Bank of Italy, Economic Research and International Relations Area.
  71. Checo, Ariadne & Pradel, Salome & Ramirez, Francisco A., 2015. "Measuring the Effects of the ‘Normalization’ of US Monetary Policy on Central America and the Dominican Republic," MPRA Paper 68293, University Library of Munich, Germany.
  72. Diego Bastourre & Jorge Carrera & Javier Ibarlucia & Mariano Sardi, 2012. "Common Drivers in Emerging Market Spreads and Commodity Prices," BCRA Working Paper Series 201257, Central Bank of Argentina, Economic Research Department.
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