Spillovers from US Monetary Policy: Evidence from a Time-varying Parameter GVAR Model

Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR

This paper re-examines the evolution in the US monetary transmission mechanism using an empirical framework that incorporates substantially more information than the standard trivariate VAR model used in most previous studies. In particular, we employ an extended version of the factor-augmented VAR proposed by Bernanke et al. (2005). Our extensions include allowing for time variation in the coe...

Time-Varying Monetary Policy Reaction Function: The Case of Iran

Time-varying Criteria for Monetary Integration: Evidence from the Emu

How can we determine whether an economy will benefit from membership in a monetary union? While economic theory has proposed a number of widely accepted criteria, virtually all empirical studies apply them as if they were time-invariant. The purpose of this paper is to show that, unless the dynamic nature of these criteria is explicitly taken into account, the results will be flawed and mislead...

How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US

We consider the relation among the federal funds rate and the Federal Reserve’s expectations for future inflation, the future gap between actual and potential output, and the future foreign exchange value of the U.S. dollar. The coefficients of this relation are biased when relevant explanatory variables are omitted and/or when the included explanatory variables are measured with error. This pr...

Modeling Monetary Policy Dynamics: A Comparison of Regime Switching and Time Varying Parameter Approaches

Structural VAR models have been widely used to model monetary policy dynamics. Typically, a choice is made between regime-switching models and time-varying parameter models. In this paper we use a canonical model of monetary policy and estimate both types of time variation in monetary policy while also allowing for changing variances. The models are compared using marginal likelihood and foreca...