On the evolution of the monetary policy transmission mechanism

Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2009) On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33 4: 997-1017. doi:10.1016/j.jedc.2008.11.003

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Author Koop, Gary
Leon-Gonzalez, Roberto
Strachan, Rodney W.
Title On the evolution of the monetary policy transmission mechanism
Journal name Journal of Economic Dynamics and Control   Check publisher's open access policy
ISSN 0165-1889
Publication date 2009-04-01
Year available 2008
Sub-type Article (original research)
DOI 10.1016/j.jedc.2008.11.003
Open Access Status DOI
Volume 33
Issue 4
Start page 997
End page 1017
Total pages 20
Editor C. Chiarella,
J. Bullard
T. Cogley
Place of publication Netherlands
Publisher Elsevier B V
Language eng
Subject 140202 Economic Development and Growth
140302 Econometric and Statistical Methods
140305 Time-Series Analysis
910108 Monetary Policy
970114 Expanding Knowledge in Economics
970101 Expanding Knowledge in the Mathematical Sciences
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.
Keyword Structural VAR
Monetary policy
Mixture innovation model
Time-varying parameter model
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: 2009 Higher Education Research Data Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 50 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 58 times in Scopus Article | Citations
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Created: Sun, 19 Apr 2009, 23:09:23 EST by Kaelene Matts on behalf of School of Economics