On the Evolution of Monetary Policy
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Thomas A. Lubik & Frank Schorfheide, 2004.
"Testing for Indeterminacy: An Application to U.S. Monetary Policy,"
American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
- Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy:An Application to U.S. Monetary Policy," Economics Working Paper Archive 480, The Johns Hopkins University,Department of Economics, revised Jun 2003.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end?,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148,
Elsevier.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Ľluboš Pástor & Robert F. Stambaugh, 2001.
"The Equity Premium and Structural Breaks,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
- Lubos Pástor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 21-98, Wharton School Rodney L. White Center for Financial Research.
- Lubos Pastor & Robert F. Stambaugh, "undated". "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 11-00, Wharton School Rodney L. White Center for Financial Research.
- Luboš Pástor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," CRSP working papers 519, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
- Giordani, Paolo & Kohn, Robert, 2008.
"Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
- Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
- Ben S. Bernanke & Ilian Mihov, 1998.
"Measuring Monetary Policy,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(3), pages 869-902.
- Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies.
- Ben S. Bernanke & Ilian Mihov, 1995. "Measuring Monetary Policy," NBER Working Papers 5145, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Ilian Mihov, 1995. "Measuring monetary policy," Working Papers in Applied Economic Theory 95-09, Federal Reserve Bank of San Francisco.
- Timothy Cogley & Thomas J. Sargent, 2005.
"Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
- Timothy Cogley & Thomas Sargent, "undated". "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," FRB Atlanta Working Paper 2003-25, Federal Reserve Bank of Atlanta.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998.
"Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, University Library of Munich, Germany.
- John M. Maheu & Stephen Gordon, 2008.
"Learning, forecasting and structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 553-583.
- John M. Maheu & Stephen Gordon, 2004. "Learning, Forecasting and Structural Breaks," Cahiers de recherche 0422, CIRPEE.
- John M Maheu & Stephen Gordon, 2007. "Learning, Forecasting and Structural Breaks," Working Papers tecipa-284, University of Toronto, Department of Economics.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
- James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
- Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
- Cogley, Timothy & Morozov, Sergei & Sargent, Thomas J., 2005.
"Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1893-1925, November.
- Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
- Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.
- Gary Koop & Simon M. Potter, 2007. "Estimation and Forecasting in Models with Multiple Breaks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(3), pages 763-789.
- Christopher A. Sims & Tao Zha, 2006.
"Were There Regime Switches in U.S. Monetary Policy?,"
American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
- Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," FRB Atlanta Working Paper 2004-14, Federal Reserve Bank of Atlanta.
- Christopher A. Sims & Tao Zha, 2005. "Were There Regime Switches in U.S. Monetary Policy?," Working Papers 92, Princeton University, Department of Economics, Center for Economic Policy Studies..
- J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
- Jean Boivin & Marc P. Giannoni, 2006.
"Has Monetary Policy Become More Effective?,"
The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
- Jean Boivin & Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc.
- Giannoni, Marc & Boivin, Jean, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers 5463, C.E.P.R. Discussion Papers.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:rim:rimwps:24-08 is not listed on IDEAS
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
- Canova, Fabio & Gambetti, Luca, 2009.
"Structural changes in the US economy: Is there a role for monetary policy?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
- Fabio Canova & Luca Gambetti, 2003. "Structural changes in the US economy: is there a role for monetary policy?," Economics Working Papers 918, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Koop, Gary & Potter, Simon, 2010.
"A flexible approach to parametric inference in nonlinear and time varying time series models,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 134-150, November.
- Gary Koop & Simon Potter, 2010. "A flexible approach to parametric inference in nonlinear and time varying time series models," Post-Print hal-00732535, HAL.
- Jhonatan Portilla & Gabriel Rodríguez & Paul Castillo B., 2022.
"Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model [Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú],"
CESifo Economic Studies, CESifo Group, vol. 68(1), pages 98-126.
- Jhonatan Portilla Goicochea & Gabriel Rodríguez, 2020. "Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model," Documentos de Trabajo / Working Papers 2020-485, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Benoit Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-RamÃrez, 2010.
"Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data,"
PIER Working Paper Archive
10-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
- Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010.
"Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks,"
International Journal of Forecasting, Elsevier, vol. 26(2), pages 326-347, April.
- Markus Jochmann & Gary Koop & Rodney W. Strachan, 2008. "Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks," Working Paper series 19_08, Rimini Centre for Economic Analysis.
- Koop, Gary & Korobilis, Dimitris, 2010.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper series 47_09, Rimini Centre for Economic Analysis.
- Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
- repec:hal:journl:peer-00732535 is not listed on IDEAS
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013.
"Changes in the effects of monetary policy on disaggregate price dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 543-560.
- Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Staff Working Papers 12-13, Bank of Canada.
- Mustafa Caglayan & Kostas Mouratidis & Elham Saeidinezhad, 2011. "Monetary policy effects on output and exchange rates: Results from US, UK and Japan," Working Papers 2011016, The University of Sheffield, Department of Economics.
- Gary Koop & Simon M. Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York.
- Efrem Castelnuovo & Paolo Surico, 2010.
"Monetary Policy, Inflation Expectations and The Price Puzzle,"
Economic Journal, Royal Economic Society, vol. 120(549), pages 1262-1283, December.
- Castelnuovo, Efrem & Surico, Paolo, 2009. "Monetary policy, inflation expectations and the price puzzle," Bank of Finland Research Discussion Papers 30/2009, Bank of Finland.
- Efrem Castelnuovo & Paolo Surico, 2009. "Monetary Policy, Inflation Expectations and the Price Puzzle," "Marco Fanno" Working Papers 0101, Dipartimento di Scienze Economiche "Marco Fanno".
- Gary M. Koop & Simon M. Potter, 2004.
"Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points,"
Discussion Papers in Economics
04/31, Division of Economics, School of Business, University of Leicester.
- Gary Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports 196, Federal Reserve Bank of New York.
- Ramey, V.A., 2016.
"Macroeconomic Shocks and Their Propagation,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162,
Elsevier.
- Ramey, VA, 2016. "Macroeconomic Shocks and Their Propagation," University of California at San Diego, Economics Working Paper Series qt5mb353t2, Department of Economics, UC San Diego.
- Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
- Mumtaz, Haroon, 2010. "Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR," Bank of England working papers 386, Bank of England.
- repec:zbw:bofrdp:2009_030 is not listed on IDEAS
- Benjamin K. Johannsen & Elmar Mertens, 2021.
"A Time‐Series Model of Interest Rates with the Effective Lower Bound,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
- Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
- Benjamin K Johannsen & Elmar Mertens, 2018. "A time series model of interest rates with the effective lower bound," BIS Working Papers 715, Bank for International Settlements.
- Luca Gambetti & Evi Pappa & Fabio Canova, 2008.
"The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 369-388, March.
- Luca Gambetti & Evi Pappa & Fabio Canova, 2008. "The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 369-388, March.
- Luca Gambetti & Evi Pappa & Fabio Canova, 2005. "The structural dynamics of US output and inflation: What explains the changes?," Economics Working Papers 921, Department of Economics and Business, Universitat Pompeu Fabra.
- Canova, Fabio & Pappa, Evi & Gambetti, Luca, 2006. "The Structural Dynamics of US Output and Inflation: What Explains the Changes?," CEPR Discussion Papers 5879, C.E.P.R. Discussion Papers.
- Gary Koop & Simon M. Potter, 2009.
"Prior Elicitation In Multiple Change-Point Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 751-772, August.
- Gary Koop & Simon M. Potter, 2004. "Prior elicitation in multiple change-point models," Staff Reports 197, Federal Reserve Bank of New York.
- Gary Koop & Simon M. Potter, 2007. "Prior Elicitation in Multiple Change-point Models," Working Paper series 17_07, Rimini Centre for Economic Analysis.
- Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Division of Economics, School of Business, University of Leicester.
More about this item
Keywords
structural VAR; monetary policy; Bayesian; mixture innovation model; time varying parameter model;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:24_08. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marco Savioli (email available below). General contact details of provider: https://edirc.repec.org/data/rcfeait.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.