We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence - contemporaneously and with a lag - the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm...

This dissertation investigates the transmission and effects of monetary policy. The conduct of monetary policy is often categorized into conventional and unconventional measures. The first and second chapters assess the effectiveness and distributional consequences of an extensively-used...