We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to...

We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to...

We propose an approach for Bayesian inference in \TV SVARs identified with sign restrictions. The linchpin of our approach is a class of rotation-invariant \TV SVARs in which the prior and posterior densities of any sequence of structural parameters belonging to the class are invariant to...

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...

This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a simple Monte-Carlo experiment, we generate data from a DSGE model that features bank lending and credit supply shocks and use SVARs to try and recover the impulse responses to...

This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting...

Este artículo propone un conjunto de modelos de Vectores Autorregresivos Estructurales Bayesianos (SBVAR), el cual es usado para: distinguir los principales choques que influencian a la economía española a través del tiempo, y proveer predicciones de PIB e inflación de corto y medio plazo....

In this paper we extend the standard Blanchard-Quah decomposition to enable fluctuations in aggregate demand to have a long-run impact on the productive capacity of the economy through hysteresis effects. These demand shocks are found to be quantitatively important in the US, in particular if...

In this paper we seek to understand the recent dynamics of the Brazilian housing market, which experienced a significant growth in recent years. In particular, we assess the effects of aggregate productivity and monetary policy shocks on housing market variables. Moreover, we also investigate...