کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099176 | 1376990 | 2009 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the evolution of the monetary policy transmission mechanism
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper investigates whether the monetary transmission mechanism has changed or whether apparent changes are due to changes in the volatility of exogenous shocks. Also, the question of whether any changes have been gradual or abrupt is considered. A mixture innovation model is used which extends the class of time-varying vector autoregressive models with stochastic volatility. The advantage of our extension is that it allows us to estimate whether, where, when and how parameter change is occurring. Our empirical results indicate that the transmission mechanism, the volatility of exogenous shocks and the correlations between exogenous shocks are all changing.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 4, April 2009, Pages 997-1017
Journal: Journal of Economic Dynamics and Control - Volume 33, Issue 4, April 2009, Pages 997-1017
نویسندگان
Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan,