Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they can avoid the use of a single variable to proxy theoretical constructs, such as the output gap; they allow researchers to compute impulse re...

This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against in‡ation) or whether apparent changes are simply due to changes in the volatility of exogenous shocks. A subsidiary...

One of the striking features of the business cycles is the patterns of co-movement of output, inflation, interest rates, and real equity prices across countries. This paper empirically examines the effects of domestic and foreign monetary policies on Iranchr('39')s macroeconomic variables (including real production, inflation, short-term interest rate, and real exchange rate) using quarterly da...

the history of monetary policy in iran, judging by their performance in keeping the value of the currency, maintaining a steady growth in the gross domestic product, faltering investment, show that monetary policy has not been a portrait of consistent successes, to say the least. as a result of the recent studies two rules have emerged as guideline for policy makers: taylor rule and mccallum ru...

This paper studies the monetary transmission mechanism in the U.S. It proposes a mixed-frequency version of the factor-augmented vector autoregressive regression (FAVAR) model, which is used to construct a coincident index to measure the monetary transmission mechanism. The model divides the transmission of changes in monetary policy to the economy into three stages according to the timing and ...

the most important objectives of monetary policy are to provide price stability, economic growth and favorable employment levels. since achieving these goals is not directly accessible for policy makers, so introducing and studying the appropriate tools and intermediate targets seem necessary. for this reason, this paper tries to answer this question: whether can we introduce an appropriate rul...

Over the last decades the research on monetary policy has largely concentrated on the impact of monetary authorities’ decisions on inflation and the fine-tuning of the macroeconomic, so that distributional effects of monetary policy which are non-trivial has been ignored. A view that has become increasingly popular since the financial crisis 2008 is that expansionary monetary policy can exacerb...

a r t i c l e i n f o JEL classification: C22 E44 F31 Keywords: Monetary shocks Asymmetric effects MSVAR–EGARCH In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and m...

In the Keynesian model we thought of monetary policy as exogenous in the sense that the money supply, Mt, was set exogenously. This is useful for understanding the model but doesn’t really describe how monetary policy works in practice. In the real world, central banks adjust the money supply (and hence interest rates) endogenously in response to changing conditions. In this set of notes we dis...

Abstract This study uses annual data over the period 2005-2014 and the Panel VECM approach to examine financial inclusion and monetary policy effectiveness in Africa. The study shows that financial inclusion and monetary policy effectiveness are linked by a set of long-run relationships. Policy reaction to the positive financial inclusion shock is not significant. Policy reaction to the posit...