Por favor, use este identificador para citar o enlazar este ítem:
https://doi.org/10.1016/j.econmod.2019.02.012
Twittear
Registro completo de metadatos
Campo DC | Valor | Lengua/Idioma |
---|---|---|
dc.contributor.author | López Buenache, Germán | - |
dc.contributor.other | Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Métodos Cuantitativos para la Economía y la Empresa | es |
dc.date.accessioned | 2024-01-03T12:29:22Z | - |
dc.date.available | 2024-01-03T12:29:22Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Economic Modelling, 83, 221-233, 2019 | es |
dc.identifier.issn | 0264-9993 | - |
dc.identifier.issn | 1873-6122 | - |
dc.identifier.uri | http://hdl.handle.net/10201/137004 | - |
dc.description | ©2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the Accepted version of a Published Work that appeared in final form in Economic Modelling,. To access the final edited and published work see https://doi.org/10.1016/j.econmod.2019.02.012 | es |
dc.description.abstract | This paper studies the evolution of the monetary policy transmission mechanisms in the US following the Great Recession. The implementation of a modified Dynamic Factor Model enables the identification of two different structural scenarios based on the information contained in a large dataset of 110 variables. Impulse Response Functions to an increase of official interest rate for this large dataset are estimated for each structural context. Three techniques are combined to deal with the dimensionality problems which emerge from an estimation procedure of this magnitude: (i) factor decomposition, (ii) an identification strategy independent of the number of variables included in the dataset and (iii) a blockwise optimization algorithm for the correct selection of the Bayesian priors. Results show the presence of a structural break in 2008 and the higher responsiveness of the economy to monetary policy after that date. | es |
dc.format | application/pdf | es |
dc.format.extent | 36 | es |
dc.language | eng | es |
dc.relation | ECO2015-70331-C2-2-R | es |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.subject | Large dataset | es |
dc.subject | Factor models | es |
dc.subject | Structural change | es |
dc.subject | Great Recession | es |
dc.subject | Monetary policy | es |
dc.title | The evolution of monetary policy effectiveness under macroeconomic instability | es |
dc.type | info:eu-repo/semantics/article | es |
dc.identifier.doi | https://doi.org/10.1016/j.econmod.2019.02.012 | - |
Aparece en las colecciones: | Artículos: Métodos Cuantitativos para la Economía y la Empresa |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
---|---|---|---|---|
wp.pdf | 1,14 MB | Adobe PDF | Visualizar/Abrir |
Los ítems de Digitum están protegidos por copyright, con todos los derechos reservados, a menos que se indique lo contrario.