On the evolution of the monetary policy transmission mechanism

DOI10.1016/J.JEDC.2008.11.003zbMath1170.91476OpenAlexW2056687719MaRDI QIDQ2271686

Rodney W. Strachan, Gary Koop, Roberto Leon-Gonzalez

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.11.003

zbMATH Keywords

monetary policyBayesianstructural VARtime-varying parameter modelmixture innovation model

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (15)

The evolution of U.S. monetary policy: 2000--2007 ⋮ Learning about fiscal policy and the effects of policy uncertainty ⋮ Debt regimes and the effectiveness of monetary policy ⋮ Reducing the state space dimension in a large TVP-VAR ⋮ VEC-MSF models in Bayesian analysis of short- and long-run relationships ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ An effcient exact Bayesian method for state space models with stochastic volatility ⋮ FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* ⋮ Large time-varying parameter VARs ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ The horseshoe prior for time-varying parameter VARs and monetary policy ⋮ Structural evolution of the postwar U.S. economy ⋮ Time varying VARs with inequality restrictions ⋮ Specification tests for time-varying parameter models with stochastic volatility ⋮ Stochastic Model Specification Search for Time-Varying Parameter VARs

Uses Software

• bvarsv

Cites Work

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• Bayesian stochastic search for VAR model restrictions
• Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system
• Estimation and comparison of multiple change-point models
• Parameter uncertainty and impulse response analysis
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Forecasting Time Series Subject to Multiple Structural Breaks
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A simple and efficient simulation smoother for state space time series analysis
• Efficient Bayesian Inference for Dynamic Mixture Models
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Estimation and Forecasting in Models with Multiple Breaks

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