Measuring monetary policy with VAR models: An evaluation

Bagliano, Fabio C.; Favero, Carlo A.

doi:10.1016/s0014-2921(98)00005-1

Cited by 201 publications

(135 citation statements)

References 22 publications

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“…Along with the general literature on monetary policy transmission mechanism (see e.g. Bagliano and Favero, 1998), it is assumed that monetary policy can affect consumption (and all the other variables in the model except asset prices) only after a lag of one period. We also introduce sticky prices, as is customary in the literature.…”

Section: Ecb Working Paper Series No 1240mentioning

confidence: 99%

Monetary policy, asset prices and consumption in China

Koivu

2012

Economic Systems

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in WO R K I N G PA PE R S E R I E S N O 124 0 / S E P T E M B E R 2010In 2010 all ECB publications feature a motif taken from the €500 banknote. MONETARY POLICY, ASSET PRICES

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Section: Ecb Working Paper Series No 1240mentioning

confidence: 99%

Monetary policy, asset prices and consumption in China

Koivu

2012

Economic Systems

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“…This is a standard assumption in monetary policy analysis which enables transformation of the errors of the reduced form of the VAR model into structural innovations. This procedure is well explained in Bagliano and Favero (1998), Christiano, Eichenbaum and Evans (1999) and Gerke and Werner (2001).…”

Section: Identification Of the Varmentioning

confidence: 99%

Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach

Munir

Qayyum

2013

Empir Econ

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“…However, the money-growth target established by the Bank of Italy was neither realized in 1984 nor in 1985 Table 1 , inducing the authorities to announce only a desired band for annual M2 growth in 1986 7-11 . 4 In the early years of the EMS, as widely recognized, 5 disin ation in Italy was then mainly led by the real appreciation of the exchange rate obtained by anchoring the currency to the Deutsche Mark DM and not fully accomodating the in ation di erentials via the discrete exchange-rate realignments.…”

Section: Introductionmentioning

confidence: 99%

“…This process was much slower in Italy than in the UK or the US, therefore allowing the central bank to continue with the use of money-targeting. 7 However, policymakers and academics gradually turned back to consider short-term interest rates as additional reliable indicators of the monetary conditions, as well as the most important channel of transmission of monetary impulses to the real econ- 4 Table 1 shows that even the use of target bands was not always su cient to avoid failures in hitting the target: this happened again in 1989,1990,1991, and again in the recent past. However, as we discuss later, M2 targets were gradually de-emphasized by the end of the 80's.…”

Section: Introductionmentioning

confidence: 99%