Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by using a Dynamic Factor Model with timevarying parameters, which allows fast and efficient inference based on hundreds of explanatory variables. Different specifications are compared where the factor loadings, VAR coefficients and error covariances may change gradually in every peri...

An analysis of the monetary policy transmission mechanism in the United States using structural dynamic factor models

Dynamic Models for Monetary Transmission

Monetary policies, either actual or perceived, cause changes in monetary interest rates. These changes impact the economy through financial institutions, which react to changes in the monetary rates with changes in their administered rates, on both deposits and lendings. The dynamics of administered bank interest rates in response to changes in money market rates is essential to examine the imp...

Output Composition of Monetary Policy Transmission

This paper aims to investigate the role of each aggregate spending component in the monetary policy transmission in Indonesia. It assesses the relative strength of the role of each spending component in the monetary policy transmission. In so doing, this study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of GDP to a monetary p...

Dynamic hierarchical models for monetary transmission

Monetary policies, either actual or perceived, cause changes in monetary interest rates. These changes impact the economy through financial institutions, which react to changes in the monetary rates with changes in their administered rates, on both deposits and lendings. The dynamics of administered bank interest rates in response to changes in money market rates is thus essential to examine th...