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

Oxford Bulletin of Economics and Statistics

Volumn 75, Issue 2, 2013, Pages 157-179

  Korobilis, Dimitris ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84874709193     PISSN: 03059049     EISSN: 14680084     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2011.00687.x     Document Type: Article

References (40)

1. Belviso, F. and Milani, F. (2006). 'Structural factor-augmented VARs (SFAVARs) and the effects of monetary policy', Topics in Macroeconomics, Vol. 6, Article 2.
2. Bernanke, B. S. and Blinder, A. S. (1992). 'The Federal funds rate and the channels of monetary transmission', American Economic Review, Vol. 82, pp. 901-921.
3. Bernanke, B. S. and Boivin, J. (2003). 'Monetary policy in a data-rich environment', Journal of Monetary Economics, Vol. 50, pp. 525-546.
4. Bernanke, B. S., Boivin, J. and Eliasz, P. (2005). 'Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach', Quarterly Journal of Economics, Vol. 120, pp. 387-422.
5. Boivin, J. and Giannoni, M. P. (2006a). DSGE Models in a Data-rich Environment, NBER Technical Working Papers 0332, National Bureau of Economic Research, Inc.
6. Boivin, J. and Giannoni, M. P. (2006b). 'Has monetary policy become more effective?'The Review of Economics and Statistics, Vol. 88, pp. 445-462.
7. Boivin, J. and Ng, S. (2005). 'Understanding and comparing factor-based forecasts', International Journal of Central Banking, Vol. 3, pp. 111-151.
8. Campbell, J. and Hercowitz, Z. (2006). The Role of Collateralized Households Debt in Macroeconomic Stabilization, mimeo Federal Reserve Bank of Chicago and Tel Aviv University.
9. Canova, F. and Gambetti, L. (2009). 'Structural changes in the U.S. economy: is there a role for monetary policy?'Journal of Economic Dynamics and Control, Vol. 33, pp. 477-490.
10. Carter, C. K. and Kohn, R. (1994). 'On Gibbs sampling for state space models', Biometrika, Vol. 81, pp. 541-553.
11. Castelnuovo, E. and Surico, P. (2010). 'Monetary policy shifts, inflation expectations and the price puzzle', Economic Journal, Vol. 120, pp. 1262-1283.
12. Clarida, R., Galí, J. and Gertler, M. (2000). 'Monetary policy rule and macroeconomic stability: evidence and some theory', Quarterly Journal of Economics, Vol. 115, pp. 147-180.
13. Cogley, T. and Sargent, T. (2001). 'Evolving post-World War II inflation dynamics', NBER Macroeconomic Annual, Vol. 16, pp. 331-373.
14. Cogley, T. and Sargent, T. (2005). 'Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.', Review of Economic Dynamics, Vol. 8, pp. 262-302.
15. Del Negro, M. and Otrok, C. (2008). Dynamic Factor Models with Time-varying Parameters: Measuring Changes in International Business Cycles. Staff Reports 326, Federal Reserve Bank of New York.
16. Doan, T., Litterman, R. and Sims, C. A. (1986). 'Forecasting and conditional projection using realistic prior distributions', Econometric Reviews, Vol. 3, pp. 1-100.
17. Dynan, K., Elmendorf, D. and Sichel, D. (2006). 'Can financial innovation help to explain the reduced volatility of economic activity?'Journal of Monetary Economics, Vol. 53, pp. 123-150.
18. George, E. I. and McCulloch, R. E. (1997). 'Approaches for Bayesian variable selection', Statistica Sinica, Vol. 7, pp. 339-373.
19. Gerlach, R., Carter, C. and Kohn, R. (2000). 'Efficient Bayesian inference in dynamic mixture models', Journal of the American Statistical Association, Vol. 95, pp. 819-828.
20. Giannone, D., Lenza, M. and Reichlin, L. (2008a). 'Explaining the great moderation: it is not the shocks', Journal of the European Economic Association, Vol. 6, pp. 621-633.
21. Giannone, D., Reichlin, L. and Small, D. (2008b). 'Nowcasting: the real-time informational content of macroeconomic data', Journal of Monetary Economics, Vol. 55, pp. 665-676.
22. Giordani, P. and Kohn, R. (2008). 'Efficient Bayesian inference for multiple change-point and mixture innovation models', Journal of Business and Economic Statistics, Vol. 26, pp. 66-77.
23. Kahn, J. A., McConnell, M. and Perez-Quiros, G. (2002). 'On the causes of the increased stability of the U.S. economy', Federal Reserve Bank of New York, Economic Policy Review, Vol. 8, pp. 183-202.
24. Kim, C.-J. and Nelson, C. R. (1999). 'Has the U.S. economy become more stable? A Bayesian approach based on a markov-switching model of the business cycle', The Review of Economics and Statistics, Vol. 81, pp. 608-616.
25. Kim, S., Shephard, N. and Chib, S. (1998). 'Stochastic volatility: likelihood inference and comparison with ARCH models', Review of Economic Studies, Vol. 65, pp. 361-393.
26. Koop, G. (2003). Bayesian Econometrics, Wiley, Chichester.
27. Koop, G. and Korobilis, D. (2010). 'Bayesian multivariate time series methods for empirical macroeconomics', Foundations and Trends in Econometrics, Vol. 3, pp. 267-358.
28. Koop, G., Leon-Gonzales, R. and Strachan, R. (2009). 'On the evolution of the monetary policy transmission mechanism', Journal of Economic Dynamics and Control, Vol. 33, pp. 997-1017.
29. Koop, G., Pesaran, H. M. and Potter, S. M. (1996). 'Impulse response analysis in nonlinear multivariate models', Journal of Econometrics, Vol. 74, pp. 77-118.
30. Koop, G and Potter, S. M. (2011). 'Time varying VARs with inequality restrictions', Journal of Economic Dynamics and Control, Vol. 35, pp. 1126-1138.
31. Korobilis, D. (2009). Assessing the Transmission of Monetary Policy Using Dynamic Factor Models, MPRA Paper 27593, University Library of Munich.
32. Lopes, H. F. and West, M. (2004). 'Bayesian model assessment in factor analysis', Statistica Sinica, Vol. 14, pp. 41-67.
33. Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
34. McConnell, M. and Perez-Quiros, G. (2000). 'Output fluctuations in the United States: what has changed since the early 1980s', American Economic Review, Vol. 90, pp. 1464-1476.
35. Primiceri, G. E. (2005). 'Time varying structural vector autoregressions and monetary policy', Review of Economic Studies, Vol. 72, pp. 821-852.
36. Sims, C. and T. (2006). 'Were there regime switches in macroeconomic policy?'American Economic Review, Vol. 96, pp. 54-81.
37. Stock, J. H. and Watson, M. W. (2002). 'Has business cycle changed and why?'NBER Macroeconomics Annual, Vol. 17, pp. 159-218.
38. Stock, J. H. and Watson, M. W. (2005). Implications of Dynamic Factor Models for VAR Analysis, NBER Working Papers 11467, National Bureau of Economic Research, Inc.
39. Strachan, R. (2003). 'Valid Bayesian estimation of the cointegrating error correction model', Journal of Business and Economic Statistics, Vol. 21, pp. 185-195.
40. Uhlig, H. (2005). 'What are the effects of monetary policy on output? Results from an agnostic identification procedure', Journal of Monetary Economics, Vol. 52, pp. 381-419.