Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian …). While the conventional monetary policy is found to have played an important role in the historical evolution of the national … monetary policy shocks playing virtually no role during this period. In the third-regime, unconventional monetary policy shock …