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On the evolution of the monetary policy transmission mechanism

Koop, G.M. and Leon-Gonzalez, R. and Strachan, R. (2009) On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33 (4). pp. 997-1017. ISSN 0165-1889

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Abstract

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.

Item type: Article
ID code: 15519
Keywords: structural VAR, monetary policy, Bayesian, mixture innovation model, time-varying parameter model, Economic Theory, Control and Optimization, Economics and Econometrics, Applied Mathematics
Subjects: Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Related URLs:
Depositing user: Mrs Kirsty Fontanella
Date Deposited: 17 Feb 2010 19:48
Last modified: 04 Sep 2014 23:43
URI: http://strathprints.strath.ac.uk/id/eprint/15519

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