Measuring the Channels of Monetary Policy Transmission: A Factor-Augmented Vector Autoregressive (Favar) Approach

1. Adriana, T., & Shinb, H. S. (2009). Prices and Quantities in the Monetary Policy Transmission Mechanism. International Journal of Central Banking.10.2139/ssrn.1483825Search in Google Scholar

2. Bernanke, B. (1988). Monetary policy transmission: through money or credit?. Business Review, 11, 3-11.Search in Google Scholar

3. Bernanke, B. S. (1993, December). How important is the credit channel in the transmission of monetary policy?: A comment. In Carnegie-Rochester Conference Series on Public Policy (Vol. 39, pp. 47-52). North-Holland.10.1016/0167-2231(93)90002-ESearch in Google Scholar

4. Bernanke, B. S., & Blinder, A. S. (1988). Credit, Money, and Aggregate Demand. The American Economic Review, 435-439.10.3386/w2534Search in Google Scholar

5. Bernanke, B. S., & Blinder, A. S. (1992). The federal funds rate and the channels of monetary transmission. The American Economic Review, 901-921.Search in Google Scholar

6. Bernanke, B. S., Boivin, J., & Eliasz, P. (2005). Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach*. The Quarterly journal of economics, 120(1), 387-422.Search in Google Scholar

7. Bernanke, B. S., & Gertler, M. (1995). Inside the Black Box: The Credit Channel of Monetary Policy Transmission. Journal of Economic Perspectives, 9(4), 27-48.10.1257/jep.9.4.27Search in Google Scholar

8. Bernanke, B. S., & Mihov, I. (1998). Measuring Monetary Policy. Quarterly Journal of Economics, 869-902.10.1162/003355398555775Search in Google Scholar

9. Cecchetti, S. G. (1995). Distinguishing theories of the monetary transmission mechanism. Federal Reserve Bank of St. Louis Review, 77(May/June 1995).10.20955/r.77.83-97Search in Google Scholar

10. Christiano, L. J., Eichenbaum, M., & Evans, C. (1996). The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds. The Review of Economics and Statistics, 16-34.10.2307/2109845Search in Google Scholar

11. Clarida, R., Gali, J., & Gertler, M. (2000). Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory. Quarterly Journal of Economics, 147-180.10.1162/003355300554692Search in Google Scholar

12. Den Haan, W. J., Sumner, S. W., & Yamashiro, G. M. (2007). Bank loan portfolios and the monetary transmission mechanism. Journal of Monetary Economics, 54(3), 904-924.10.1016/j.jmoneco.2006.01.008Search in Google Scholar

13. Dufour, J. M. (1980). Dummy variables and predictive tests for structural change. Economics Letters, 6(3), 241-247.10.1016/0165-1765(80)90022-1Search in Google Scholar

14. Eichenbaum, M. (1992). Comments on Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy. European Economic Review, 1001–1011.10.1016/0014-2921(92)90042-USearch in Google Scholar

15. Elbourne, A., & de Haan, J. (2006). Financial structure and monetary policy transmission in transition countries. Journal of comparative economics, 34(1), 1-23.10.1016/j.jce.2005.11.004Search in Google Scholar

16. Els, P., Locarno, A., Mojon, B., & Morgan, J. (2003). New macroeconomic evidence on monetary policy transmission in the euro area. Journal of the European Economic Association, 1(2-3), 720-730.10.1162/154247603322391341Search in Google Scholar

17. Favero, C. A., Giavazzi, F., & Flabbi, L. (1999). The transmission mechanism of monetary policy in Europe: evidence from banks’ balance sheets (No. w7231). National Bureau of Economic Research.10.3386/w7231Search in Google Scholar

18. Hosono, K. (2006). The transmission mechanism of monetary policy in Japan: Evidence from banks’ balance sheets. Journal of the Japanese and International Economies, 20(3), 380-405.10.1016/j.jjie.2005.07.003Search in Google Scholar

19. Hubbard, R. (1995). Is There a ‘Credit Channel’ for Monetary Policy?(No. w4977). National Bureau of Economic Research.10.20955/r.77.63-77Search in Google Scholar

20. Jayaraman, T. K., & Choong, C. K. (2009). How does monetary policy transmission mechanism work in Fiji?. International Review of Economics,56(2), 145-161.10.1007/s12232-008-0050-9Search in Google Scholar

21. Jimborean, R. (2009). The role of banks in the monetary policy transmission in the new EU member states. Economic Systems, 33(4), 360-375.10.1016/j.ecosys.2009.08.001Search in Google Scholar

22. Kashyap, A. K., & Stein, J. C. (2000). What do a million observations on banks say about the transmission of monetary policy?. American Economic Review, 407-428.10.1257/aer.90.3.407Search in Google Scholar

23. Stein, J. C., & Kashyap, A. K. (1993). Monetary policy and credit conditions: Evidence from the composition of external finance. American economic review, 83(1), 78-98.Search in Google Scholar

24. Kashyap, A. K., Stein, J. C., & Wilcox, D. W. (1993). Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance. The American Economic Review, 78-98.Search in Google Scholar

25. Kashyap, A. K., Stein, J. C., & Wilcox, D. W. (1996). Monetary policy and credit conditions: Evidence from the composition of external finance: Reply. The American Economic Review, 310-314.Search in Google Scholar

26. Kilian, L. (1998). Small-sample confidence intervals for impulse response functions. Review of economics and statistics, 80(2), 218-230.10.1162/003465398557465Search in Google Scholar

27. McMillin, W. D. (1996). Monetary policy and bank portfolios. Journal of Economics and Business, 48(4), 315-335.10.1016/0148-6195(96)00017-3Search in Google Scholar

28. Mihov, I. (2001). Monetary policy implementation and transmission in the European Monetary Union. Economic Policy, 16(33), 369-406.10.1111/1468-0327.00079Search in Google Scholar

29. Mishkin, F. S. (1996). The channels of monetary transmission: lessons for monetary policy (No. w5464). National Bureau of Economic Research.10.3386/w5464Search in Google Scholar

30. Morris, C. S., & Sellon Jr, G. H. (1995). Bank lending and monetary policy: evidence on a credit channel. Economic Review, (Q II), 59-75.Search in Google Scholar

31. Oliner, S. D., & Rudebusch, G. D. (1995). Is there a bank lending channel for monetary policy?. Economic Review, 1-20.Search in Google Scholar

32. Oliner, S. D., & Rudebusch, G. D. (1996). Monetary policy and credit conditions: evidence from the composition of external finance: comment. The American Economic Review, 300-309.Search in Google Scholar

33. Ramlogan, C. (2004). The transmission mechanism of monetary policy: evidence from the Caribbean. Journal of Economic Studies, 31(5), 435-447.10.1108/01443580410555537Search in Google Scholar

34. Senbet, D. (2008). Measuring the impact and international transmission of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. European Journal of Economics, Finance and Administrative Sciences, 13, 121-143.Search in Google Scholar

35. Senbet, D. (2011). Estimating Monetary Policy Reaction Function: A Factor-Augmented Vector Autoregressive (FAVAR) Approach. Journal of Money, Investment and Banking, (9), 85-113.Search in Google Scholar

36. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1-48.10.2307/1912017Search in Google Scholar

37. Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147-162.10.1198/073500102317351921Search in Google Scholar

38. Stock, J. H., & Watson, M. W. (2005). Implications of dynamic factor models for VAR analysis (No. w11467). National Bureau of Economic Research.10.3386/w11467Search in Google Scholar

39. Sun, S., Gan, C., & Hu, B. (2010). Bank lending channel in China’s monetary policy transmission mechanism: a VECM approach. Investment Management and Financial Innovations, 7(2), 59–71.Search in Google Scholar

40. Taylor, J. B. (1995). The monetary transmission mechanism: an empirical framework. The Journal of Economic Perspectives, 11-26.10.1257/jep.9.4.11Search in Google Scholar