Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle

DOI10.1016/J.JEDC.2021.104214zbMath1475.91202OpenAlexW3193395736MaRDI QIDQ2246780

Zhengyang Chen, Victor J. Valcarcel

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104214

zbMATH Keywords

price puzzleinterest rate pass-throughdivisia moneytime-varying-parameter factor-augmented vector autoregressions (TVP-FAVAR)time-varying-parameter vector autoregressions (TVP-VAR)unexpected monetary policy shocks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• bvarsv

Cites Work

• The Barnett critique after three decades: a New Keynesian analysis
• Solving the price puzzle with an alternative indicator of monetary policy
• Economic monetary aggregates. An application of index number and aggregation theory
• Technology shocks and the business cycle: On empirical investigation
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?
• Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum
• Time Varying Structural Vector Autoregressions and Monetary Policy

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