메뉴 건너뛰기




Volumn 42, Issue 6, 1998, Pages 1069-1112

Measuring monetary policy with VAR models: An evaluation

Author keywords

Monetary transmission; VAR models

Indexed keywords


EID: 0000428367     PISSN: 00142921     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0014-2921(98)00005-1     Document Type: Article
Times cited : (118)

References (33)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D.W., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-853.
    • (1993) Econometrica , vol.61 , pp. 821-853
    • Andrews, D.W.1
  • 2
    • 85016834058 scopus 로고
    • The Federal Funds Rate and the channels of monetary transmission
    • Bernanke, B.S., Blinder, A., 1992. The Federal Funds Rate and the channels of monetary transmission. American Economic Review 82, 901-921.
    • (1992) American Economic Review , vol.82 , pp. 901-921
    • Bernanke, B.S.1    Blinder, A.2
  • 4
    • 0039122761 scopus 로고    scopus 로고
    • What does the Bundesbank target?
    • NBER, Cambridge, MA
    • Bernanke, B.S., Mihov I., 1996. What does the Bundesbank target? Working paper no. 5764. NBER, Cambridge, MA.
    • (1996) Working Paper No. 5764 , vol.5764
    • Bernanke, B.S.1    Mihov, I.2
  • 5
    • 85034173277 scopus 로고    scopus 로고
    • Using measures of expectations to identify the effects of a monetary policy shock
    • Board of Governors of the Federal Reserve System, Washington, DC
    • Brunner, A., 1996. Using measures of expectations to identify the effects of a monetary policy shock. International Finance Discussion Paper no. 537. Board of Governors of the Federal Reserve System, Washington, DC.
    • (1996) International Finance Discussion Paper No. 537 , vol.537
    • Brunner, A.1
  • 7
    • 0000428728 scopus 로고
    • Liquidity effects and the monetary transmission mechanism
    • Christiane, L.J., Eichenbaum, M., 1992. Liquidity effects and the monetary transmission mechanism. American Economic Review 82, 346-353.
    • (1992) American Economic Review , vol.82 , pp. 346-353
    • Christiane, L.J.1    Eichenbaum, M.2
  • 9
    • 33645261355 scopus 로고    scopus 로고
    • Monetary policy shocks and their consequences: Theory and evidence
    • Christiane, L.J., Eichenbaum, M., Evans, C.L., 1996b. Monetary policy shocks and their consequences: Theory and evidence. Paper presented at ISOM, 1996.
    • (1996) ISOM , vol.1996
    • Christiane, L.J.1    Eichenbaum, M.2    Evans, C.L.3
  • 12
    • 85034180749 scopus 로고    scopus 로고
    • Monetary policy, forward rates and long rates: Does Germany Differ from the United States?
    • CEPR, London
    • Favero, C.A., Pifferi, M., Iacone, F., 1996. Monetary policy, forward rates and long rates: Does Germany Differ from the United States? Discussion paper no. 1456. CEPR, London.
    • (1996) Discussion Paper No. 1456. , vol.1456
    • Favero, C.A.1    Pifferi, M.2    Iacone, F.3
  • 14
    • 84931405892 scopus 로고
    • The dynamic impacts of monetary policy: An exercise in tentative identification
    • Gordon, D., Leeper, E.M., 1994. The dynamic impacts of monetary policy: An exercise in tentative identification. Journal of Political Economy 102, 1228-1247.
    • (1994) Journal of Political Economy , vol.102 , pp. 1228-1247
    • Gordon, D.1    Leeper, E.M.2
  • 16
    • 0031498505 scopus 로고    scopus 로고
    • Narrative and VAR approaches to monetary policy: Common identification problems
    • Leeper, E.M., 1997. Narrative and VAR approaches to monetary policy: Common identification problems. Journal of Monetary Economics, forthcoming.
    • (1997) Journal of Monetary Economics, Forthcoming
    • Leeper, E.M.1
  • 18
    • 49649131398 scopus 로고
    • Expectations and the neutrality of money
    • Lucas, R.E. Jr., 1972. Expectations and the neutrality of money. Journal of Economic Theory 4, 103-124.
    • (1972) Journal of Economic Theory , vol.4 , pp. 103-124
    • Lucas Jr., R.E.1
  • 19
    • 0002498578 scopus 로고
    • Econometric policy evaluation: A critique
    • Brunner, K., Meltzer, A. (Eds.), North-Holland, Amsterdam
    • Lucas, R.E. Jr., 1976. Econometric policy evaluation: a critique. In: Brunner, K., Meltzer, A. (Eds.), The Phillips Curve and Labor Markets. North-Holland, Amsterdam.
    • (1976) The Phillips Curve and Labor Markets
    • Lucas Jr., R.E.1
  • 20
    • 0001491925 scopus 로고
    • Parsimonious modelling of yield curves
    • Nelson, C.R., Siegel, A.F., 1987. Parsimonious modelling of yield curves. Journal of Business 60, 473-489.
    • (1987) Journal of Business , vol.60 , pp. 473-489
    • Nelson, C.R.1    Siegel, A.F.2
  • 21
    • 0000867933 scopus 로고
    • Does monetary policy matter? a new test in the spirit of Friedman and Schwartz
    • Blanchard, O.J., Fischer, S. (Eds.), MIT Press, Cambridge, MA
    • Romer, C.D., Romer, D.H., 1989. Does monetary policy matter? A new test in the spirit of Friedman and Schwartz. In: Blanchard, O.J., Fischer, S. (Eds.), NBER Macroeconomics Annual 1989. MIT Press, Cambridge, MA, pp. 121-170.
    • (1989) NBER Macroeconomics Annual , vol.1989 , pp. 121-170
    • Romer, C.D.1    Romer, D.H.2
  • 23
    • 0038322872 scopus 로고    scopus 로고
    • Do measures of monetary policy in a VAR make sense?
    • Bank of Italy, Rome
    • Rudebusch, G.D., 1996. Do measures of monetary policy in a VAR make sense? Temi di Discussione n. 269. Bank of Italy, Rome.
    • (1996) Temi di Discussione N. 269 , vol.269
    • Rudebusch, G.D.1
  • 24
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims, C.A., 1980. Macroeconomics and reality. Econometrica 48, 1-18.
    • (1980) Econometrica , vol.48 , pp. 1-18
    • Sims, C.A.1
  • 25
    • 44049115762 scopus 로고
    • Interpreting the macroeconomic time-series facts: The effects of monetary policy
    • Sims, C.A., 1992. Interpreting the macroeconomic time-series facts: The effects of monetary policy. European Economic Review 36, 975-1011.
    • (1992) European Economic Review , vol.36 , pp. 975-1011
    • Sims, C.A.1
  • 27
    • 0000745315 scopus 로고
    • Inference in linear time-series models with some unit roots
    • Sims, C.A., Stock, J.H., Watson, M., 1990. Inference in linear time-series models with some unit roots. Econometrica 58, 113-144.
    • (1990) Econometrica , vol.58 , pp. 113-144
    • Sims, C.A.1    Stock, J.H.2    Watson, M.3
  • 30
    • 38249020248 scopus 로고
    • The simultaneous-equations model revisited. Statistical adequacy and identification
    • Spanos, A., 1990. The simultaneous-equations model revisited. Statistical adequacy and identification. Journal of Econometrics 44, 87-105.
    • (1990) Journal of Econometrics , vol.44 , pp. 87-105
    • Spanos, A.1
  • 31
    • 70350105390 scopus 로고
    • Unit roots, structural breaks and trends
    • Engle, R.F., McFadden, D.L. (Eds.), Chapter 46. North-Holland, Amsterdam
    • Stock, J., 1994. Unit roots, structural breaks and trends. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Applied Econometrics, vol. IV, Chapter 46. North-Holland, Amsterdam, pp. 2740-2841.
    • (1994) Handbook of Applied Econometrics , vol.4 , pp. 2740-2841
    • Stock, J.1
  • 32
    • 0001763917 scopus 로고
    • The identification of monetary policy disturbances. Explaining the liquidity puzzle
    • Strongin, S., 1995. The identification of monetary policy disturbances. Explaining the liquidity puzzle. Journal of Monetary Economics 35, 463-497.
    • (1995) Journal of Monetary Economics , vol.35 , pp. 463-497
    • Strongin, S.1
  • 33
    • 0004041087 scopus 로고
    • Estimating and interpreting forward interest rates: Sweden 1992 1994
    • CEPR, London
    • Svensson, L.E., 1994. Estimating and interpreting forward interest rates: Sweden 1992 1994. Discussion paper no. 1051. CEPR, London.
    • (1994) Discussion Paper No. 1051 , vol.1051
    • Svensson, L.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.