The evolution of monetary policy effectiveness under macroeconomic instability

López Buenache, Germán

Publication:
The evolution of monetary policy effectiveness under macroeconomic instability

dc.contributor.author	López Buenache, Germán
dc.contributor.department	Métodos Cuantitativos para la Economía y la Empresa
dc.date.accessioned	2024-01-03T12:29:22Z
dc.date.available	2024-01-03T12:29:22Z
dc.date.issued	2019
dc.description	©2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the Accepted version of a Published Work that appeared in final form in Economic Modelling,. To access the final edited and published work see https://doi.org/10.1016/j.econmod.2019.02.012	es
dc.description.abstract	This paper studies the evolution of the monetary policy transmission mechanisms in the US following the Great Recession. The implementation of a modified Dynamic Factor Model enables the identification of two different structural scenarios based on the information contained in a large dataset of 110 variables. Impulse Response Functions to an increase of official interest rate for this large dataset are estimated for each structural context. Three techniques are combined to deal with the dimensionality problems which emerge from an estimation procedure of this magnitude: (i) factor decomposition, (ii) an identification strategy independent of the number of variables included in the dataset and (iii) a blockwise optimization algorithm for the correct selection of the Bayesian priors. Results show the presence of a structural break in 2008 and the higher responsiveness of the economy to monetary policy after that date.	es
dc.format	application/pdf	es
dc.format.extent	36	es
dc.identifier.citation	Economic Modelling, 83, 221-233, 2019
dc.identifier.doi	https://doi.org/10.1016/j.econmod.2019.02.012
dc.identifier.issn	0264-9993
dc.identifier.issn	1873-6122
dc.identifier.uri	http://hdl.handle.net/10201/137004
dc.language	eng	es
dc.relation	ECO2015-70331-C2-2-R	es
dc.rights	info:eu-repo/semantics/openAccess	es
dc.subject	Large dataset	es
dc.subject	Factor models	es
dc.subject	Structural change	es
dc.subject	Great Recession	es
dc.subject	Monetary policy	es
dc.title	The evolution of monetary policy effectiveness under macroeconomic instability	es
dc.type	info:eu-repo/semantics/article	es
dspace.entity.type	Publication	es