LAGANA, GIANLUCA; MOUNTFORD, ANDREW - In: Manchester School 73 (2005) s1, pp. 77-98
This paper investigates the determinants of UK interest rates using a factor-augmented vector autoregression model (VAR), similar to the one suggested by Bernanke, Boivin and Eliasz (Quarterly Journal of Economics, Vol. 120 (2005), No. 1, pp. 387-422). The method allows impulse response...
