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
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Place of publication: Wiley-Blackwell Publishing Ltd 2013
published in: Oxford Bulletin of Economics and Statistics
Data of publication: 2013
ISSN: 0305-9049
1468-0084
EISSN: 1468-0084
Discipline: Economics
Statistics
Bibliography: Accès restreint
Online Access: available in Bonn?
Database: Université Catholique de Louvain Institutional Repository DIAL
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