Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models

This article extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor‐augmented vector autoregressive (VAR) model with time‐varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change graduall...

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Bibliographic details
Volume: 75
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Oxford, UK Blackwell Publishing Ltd 01.04.2013
WILEY
Wiley Subscription Services, Inc
published in: Oxford bulletin of economics and statistics Vol. 75; no. 2; pp. 157 - 179
ORCID: 0000-0001-9146-3008
Data of publication: April 2013
ISSN: 0305-9049
1468-0084
EISSN: 1468-0084
Discipline: Economics
Statistics
Mathematics
Bibliography: The author is grateful to John Geweke, Gary Koop, John Maheu, Simon Potter for helpful discussions, and seminar participants at the Rimini Center for Economic Analysis, Banca d'Italia and Université Catholique Louvain for helpful discussions and comments. Comments from the Editor and two anonymous referees have helped to substantially improve this article, for which I am grateful.
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Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Science Citation Index Expanded - 2013
Web of Knowledge
Science Citation Index Expanded
Web of Science - Social Sciences Citation Index - 2013
Web of Science
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