The transmission of international shocks: A factor-augmented VAR approach

Journal of Money, Credit and Banking

Volumn 41, Issue SUPPL. 1, 2009, Pages 71-100

  Mumtaz, Haroon ^a   Surico, Paolo ^a  

^a BANK OF ENGLAND   (United Kingdom)

Author keywords

FAVAR; Identification; International transmission; Large information; Open economy anomalies

Indexed keywords

EID: 58849123275     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2008.00199.x     Document Type: Conference Paper

References (28)

1. Artis, M., F. Canova, J. Galí, F. Giavazzi, R. Portes, L. Reichlin, H. Uhlig, and P. Weil 2003 Business Cycle Dating Committee of the Centre for Economic Policy Research CEPR London.
2. Balke, N., and Mark Wynne 2007 The Relative Price Effects of Monetary Shocks Journal of Macroeconomics, 29, 19 36.
3. Bernanke, B. S., J. Boivin, and P. Eliasz 2005 Measuring Monetary Policy: A Factor Augmented Vector Autoregressive (FAVAR) Approach Quarterly Journal of Economics, 120, 387 422.
4. Boivin, J., and M. Giannoni Forthcoming Global Forces and Monetary Policy Effectiveness, Chapter in NBER Volume on International Dimensions of Monetary Policy, Mark Gertler and Jordi Galì Giannoni, and I. Mihov Forthcoming Sticky Prices and Monetary Policy. Evidence from Disaggregated US Data American Economic Review.
5. Canova, F. (2005 The Transmission of US Shocks to Latin America Journal of Applied Econometrics, 20, 229 51.
6. Castelnuovo, E., and P. Surico 2006 The Price Puzzle: Fact or Artifact Bank of England Working Paper No. 288.
7. Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans 1996 The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds Review of Economics and Statistics, 78, 16 34.
8. Cushman, D. O., and T. Zha 1997 Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rate Journal of Monetary Economics, 39, 433 48.
9. D'Agostino, A., and P. Surico Forthcoming Does Global Liquidity Help to Forecast US Inflation Journal of Money, Credit and Banking.
10. Dees, S., F. di Mauro, V. Smith, and H. Pesaran 2007 Exploring the International Linkages of the Euro Area: A Global VAR Analysis Journal of Applied Econometrics, 22, 1 38.
11. Doan, T. (2004 New Developments in VARs RATS™ Technical Reports and Papers.
12. Eichenbaum, M., and C. L. Evans 1995 Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates Quarterly Journal of Economics, 110, 975 1010.
13. Faust, J., and J. H. Rogers 2003 Monetary Policy's Role in Exchange Rate Behavior Journal of Monetary Economics, 50, 1403 23.
14. Grilli, V., and N. Roubini 1995 Liquidity and Exchange Rates: Puzzling Evidence from the G-7 Countries Working Paper, Yale University.
15. Kim, S. (2001 International Transmission of U.S. Monetary Policy Shocks: Evidence from VAR's Journal of Monetary Economics, 48, 339 72.
16. Kim, S., and N. Roubini 2000 Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach Journal of Monetary Economics, 45, 561 86.
17. Kose, K. A., C. Otrok, and C. H. Whiteman 2003 International Business Cycles: World, Region and Country Specific Factors American Economic Review, 93, 1216 39.
18. Laganá, G., and A. Mountford 2005 Measuring Monetary Policy in the UK: A Factor-Augmented Vector Autoregression Model Approach Manchester School, 73, 77 98.
19. Miniane, J., and J. H. Rogers 2007 Capital Controls and the International Transmission of U.S. Money Shock Journal of Money, Credit and Banking, 39, 1003 35.
20. Office of National Statistics 2007 Consumer Trends HMSO.
21. Rogoff, K. (2003 Globalization and Global Disinflation, Presented at Jackson Hole Conference on 'Monetary Policy and Uncertainty: Adapting to a Changing Economy' Federal Reserve Bank of Kansas City.
22. Rubio-Ramírez, J., D. Waggoner, and T. Zha 2005 Markov-Switching Structural Vector Autoregressions: Theory and Application Federal Reserve Bank of Atlanta Working Paper No. 2005-27.
23. Rüffer, R., and L. Stracca 2006 What Is Global Liquidity and Does It Matter European Central Bank Working Paper No. 696.
24. Scholl, A., and H. Uhlig 2005 New Evidence on the Puzzles - Results from Agnostic Identification on Monetary Policy and Exchange Rates SFB 649 Discussion Paper 2005-037, Humboldt University.
25. Sims, C. A., and T. Zha 1998 Bayesian Methods for Dynamic Multivariate Models International Economic Review, 39, 949 68.
26. Sims, C. A., and T. Zha 2006 Were There Regime Switches in US Monetary Policy American Economic Review, 96, 54 81.
27. Sousa, J., and A. Zaghini 2007 Global Monetary Policy Shocks in the G5: A SVAR Approach Journal of International Financial Markets, Institutions and Money, 17, 403 19.
28. Uhlig, H. (2005 What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure Journal of Monetary Economics, 52, 381 419.