On the evolution of the monetary policy transmission mechanism

By Gary Koop, Roberto Leon-Gonzalez, Rodney W. Strachan. 2009

279 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dde472c84d6a74e7b0a604f59dde3574f13d5b4f

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In Economics and Econometrics

Citations in the corpus

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (2012, unknown): “…studies of the transmission of conventional monetary policy provide evidence in support of models that feature smoothly evolving coefficients and heteroskedastic shocks (e.g., Primiceri 2005; Canova and Gambetti 2009; Koop, Leon-Gonzalez, and Strachan 2009; Baumeister, Liu, and Mumtaz 2013).”
Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility (2018, unknown): “In contrast to the findings in Koop et al. (2009), our results suggest that when stochastic volatility is allowed time variation in the VAR coefficients is not important in explaining the data.13 This conclusion is in line with Primiceri (2005), who computes posterior model probabilities of…”
Time Varying Dimension Models (2012, unknown): “Giordani and Kohn ( 2008 ) used them to model structural breaks and parameter change in univariate time series models and Koop, Leon-Gonzalez, and Strachan ( 2009 ) used them to induce parsimony in TVP-VARs.”
Time varying VARs with inequality restrictions (2011, methodology): “7 Primiceri (2005) uses a training sample prior involving the rst ten years of data.”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “Koop et al. (2009) and Korobilis (2013) have similar findings of time variation in all of the parameters in their mixture innovation time-varying parameter VAR models of the transmission of U.S. monetary policy.”
On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility (2014, unknown): “This choice has been based on the studies of Primiceri (2005) and Koop et al. (2009) which mention that both the transmission mechanism and the variance of the exogenous shocks have changed over time.”