% Encoding: UTF-8

@ARTICLE{Alvarez1994,
  author = {\'{A}lvarez, L. J., and Ballabriga, F. C.},
  title = {{BVAR Models in the Context of Cointegration. A Monte Carlo Experiment}},
  journal = {Bank of Spain, Research Department},
  year = {1994},
  volume = {WP Nr. 9405},
  owner = {FELDKIRC},
  timestamp = {2013.10.30}
}


@Article{Koop2010,
  author={Koop, Gary and Korobilis, Dimitris},
  title={{Bayesian Multivariate Time Series Methods for Empirical Macroeconomics}},
  journal={Foundations and Trends(R) in Econometrics},
  year=2010,
  volume={3},
  number={4},
  pages={267-358},
  month={July},
  keywords={Multivariate time series models; Bayesian methods; VARs; Empirical macroeconomics; Econometrics; Mac},
  doi={10.1561/0800000013},
  url={https://ideas.repec.org/a/now/fnteco/0800000013.html}
}

@misc{matlabToolbox,
  author = {{Smith, L.V. and Galesi, A.}},
  title = {GVAR Toolbox},
  url = {https://sites.google.com/site/gvarmodelling/gvar-toolbox},
  version = {2.0},
  year= {2014}
}

@misc{Mohaddes2018,
  author = {{Mohaddes, K. and Raissi, Mehdi}},
  title = {Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2016Q4,},
  url = {https://sites.google.com/site/gvarmodelling/data},
  institution ={University of Cambridge: Faculty of Economics (mimeo)},
  year= {2018}
}

@article{Lanne2016,
author = {Lanne, Markku and Nyberg, Henri},
title = {Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models},
journal = {Oxford Bulletin of Economics and Statistics},

volume = {78},
number = {4},
pages = {595-603},
doi = {10.1111/obes.12125},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/obes.12125},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/obes.12125},
abstract = {Abstract We propose a new generalized forecast error variance decomposition with the attractive property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the generalized impulse response function, and it can easily be obtained by simulation. The new decomposition is illustrated in an empirical application to US output growth and interest rate spread data.},
year = {2016}
}


@TechReport{Arias2014,
  author={Arias, Jonas E. and Rubio-Ramirez, Juan F. and Waggoner, Daniel F.},
  title={{Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications}},
  year=2014,
  month=Apr,
  institution={Board of Governors of the Federal Reserve System (U.S.)},
  type={International Finance Discussion Papers},
  url={https://ideas.repec.org/p/fip/fedgif/1100.html},
  number={1100},
  abstract={Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive and definite in both cases. While the identification of SVARs with sign and zero restrictions is theoretically attractive because it allows the researcher to remain agnostic with respect to the responses of the key variables of interest, we show that current implementation of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions on variables that are seemingly unrestricted that bias the results and produce misleading confidence intervals. We provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not only correct but also faster than current ones.},
  keywords={SVAR; sign and zero restrictions; optimism and fiscal shocks},
  doi={},
}


@article{Arias2018,
author = {Arias, Jonas E. and Rubio-RamÃ­rez, Juan F. and Waggoner, Daniel F.},
title = {Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications},
journal = {Econometrica},
volume = {86},
number = {2},
pages = {685-720},
keywords = {Structural vector autoregressions, sign and zero restrictions, Bayesian inference, set identification},
doi = {10.3982/ECTA14468},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA14468},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.3982/ECTA14468},
abstract = {In this paper, we develop algorithms to independently draw from a family of conjugate posterior distributions over the structural parameterization when sign and zero restrictions are used to identify structural vector autoregressions (SVARs). We call this family of conjugate posteriors normal-generalized-normal. Our algorithms draw from a conjugate uniform-normal-inverse-Wishart posterior over the orthogonal reduced-form parameterization and transform the draws into the structural parameterization; this transformation induces a normal-generalized-normal posterior over the structural parameterization. The uniform-normal-inverse-Wishart posterior over the orthogonal reduced-form parameterization has been prominent after the work of Uhlig (2005). We use Beaudry, Nam, and Wang's (2011) work on the relevance of optimism shocks to show the dangers of using alternative approaches to implementing sign and zero restrictions to identify SVARs like the penalty function approach. In particular, we analytically show that the penalty function approach adds restrictions to the ones described in the identification scheme.},
year = {2018}
}




@ARTICLE{Egert2009,
  author = {\'{E}gert, Bal\'{a}zs and MacDonald, R.},
  title = {{Monetary Transmission Mechansims in Central and Eastern Europe:
	Surveying the Surveyable}},
  journal = {Journal of Economic Surveys},
  year = {2009},
  volume = {23},
  pages = {277-327},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Adalet2010,
  author = {Adalet, M\"{u}ge and \"{O}z, Sumru},
  title = {{Business Cycle Dynamics in the CEE Countries: A Political Economy
	Approach}},
  journal = {T\"{u}siad-Ko\c{c} University Working Paper Series},
  year = {2010},
  volume = {1014},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@ARTICLE{Adolfson2007,
  author = {Adolfson, Malin and Lind{\'e}, Jesper and Villani, Mattias},
  title = {Forecasting performance of an open economy DSGE model},
  journal = {Econometric Reviews},
  year = {2007},
  volume = {26},
  pages = {289--328},
  number = {2-4},
  owner = {FELDKIRC},
  publisher = {Taylor \& Francis},
  timestamp = {2014.10.22}
}

@UNPUBLISHED{Alessi2009,
  author = {Alessi, Lucia and Ba\'{n}bura, Marta},
  title = {{Comparing global macroeconomic forecasts}},
  note = {Mimeo},
  year = {2009},
  owner = {mfeldk},
  timestamp = {2013.11.17}
}

@ARTICLE{Almansour2015,
  author = {Almansour, Aseel and Aqib, Aslam and Bluedorn, John and Duttagupta,
	Rupa},
  title = {How Vulnerable Are Emerging Markets to External Shocks?},
  journal = {Journal of Policy Modeling},
  year = {2015},
  volume = {37},
  pages = {460-483},
  number = {3},
  owner = {FELDKIRC},
  timestamp = {2017.01.19}
}

@ARTICLE{Artis2008,
  author = {Artis, Michael j. and Fidrmuc, Jarko and Scharler, J.},
  title = {{The Transmission of Business Cycles}},
  journal = {The Economics of Transition},
  year = {2008},
  volume = {16},
  pages = {559-582},
  number = {3},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@ARTICLE{Aslanidis2010,
  author = {Aslanidis, Nektarios},
  title = {{Business Cycle Synchronization between the CEEC and the Euro-Area:
	Evidence from Threshold Seemingly Unrelated Regressions}},
  journal = {The Manchester School},
  year = {2010},
  volume = {78},
  pages = {538-555},
  number = {6},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@ARTICLE{Assenmacher-Wesche2009a,
  author = {Assenmacher-Wesche, Katrin and Pesaran, M. Hashem},
  title = {{A VECX* model of the Swiss economy}},
  journal = {Swiss National Bank Economic Studies Working Paper},
  year = {2009},
  volume = {6},
  owner = {Martin},
  timestamp = {2009.01.05}
}

@ARTICLE{Assenmacher-Wesche2009,
  author = {Katrin Assenmacher-Wesche and M. Hashem Pesaran},
  title = {{Forecasting the Swiss Economy Using Vecx* Models: an Exercise in
	Forecast Combination Across Models and Observation Windows}},
  journal = {National Institute Economic Review},
  year = {2008},
  volume = {203},
  pages = {91-108},
  number = {1},
  month = {January},
  abstract = {This paper uses vector error correction models of Switzerland for
	forecasting output, inflation and the short-term interest rate. It
	considers three different ways of dealing with forecast uncertainties.
	First, it investigates the effect on forecasting performance of averaging
	over forecasts from different models. Second, it considers averaging
	forecasts from different estimation windows. It is found that averaging
	over estimation windows is at least as effective as averaging over
	different models and both complement each other. Third, it examines
	whether using weighting schemes from the machine learning literature
	improves the average forecast. Compared to equal weights the effect
	of alternative weighting schemes on forecast accuracy is small in
	the present application.},
  keywords = {Bayesian model averaging; choice of observation window; long-run structural
	vector autoregression},
  url = {http://ideas.repec.org/a/sae/niesru/v203y2008i1p91-108.html}
}

@Article{Banbura2010,
  author   = {Marta Ba{\'n}bura and Domenico Giannone and Lucrezia Reichlin},
  journal  = {Journal of Applied Econometrics},
  title    = {Large Bayesian vector auto regressions},
  year     = {2010},
  number   = {1},
  pages    = {71-92},
  volume   = {25},
  abstract = {This paper shows that vector auto regression (VAR) with Bayesian
	shrinkage is an appropriate tool for large dynamic models. We build
	on the results of De Mol and co-workers (2008) and show that, when
	the degree of shrinkage is set in relation to the cross-sectional
	dimension, the forecasting performance of small monetary VARs can
	be improved by adding additional macroeconomic variables and sectoral
	information. In addition, we show that large VARs with shrinkage
	produce credible impulse responses and are suitable for structural
	analysis. Copyright ??? 2009 John Wiley \& Sons, Ltd.},
  url      = {http://ideas.repec.org/a/jae/japmet/v25y2010i1p71-92.html},
}

@ARTICLE{Babecka2016,
  author = {{Babeck\'{a} Kuchar\v{c}ukov\'{a}}, Oxana and Claeys, Peter and Va\v{s}i\v{c}ek,
	Bo\v{r}ek},
  title = {Spillover of the ECB's monetary policy outside the euro area: How
	different is conventional from unconventional policy?},
  journal = {Journal of Policy Modeling},
  year = {2016},
  volume = {38},
  pages = {199--225},
  number = {2},
  doi = {https://doi.org/10.1016/j.jpolmod.2016.02.002},
  issn = {0161-8938},
  keywords = {Monetary policy, ECB, Unconventional measures, VAR, Synthetic indicator},
  owner = {FELDKIRC},
  timestamp = {2017.11.16},
  url = {http://www.sciencedirect.com/science/article/pii/S0161893816000120}
}

@ARTICLE{Babich2001,
  author = {Babich, V.},
  title = {{Monetary Transmission in Latvia}},
  journal = {Baltic Economic Trends},
  year = {2001},
  volume = {2},
  pages = {16-27},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Backe2013,
  author = {Back\'{e}, Peter and Feldkircher, Martin and Sla\v{c}\'{i}k, T.},
  title = {{Economic Spillovers from the Euro Area to the CESEE Region via the
	Financial Channel: A GVAR Approach}},
  journal = {Focus on European Economic Integration},
  year = {2013},
  pages = {50-64},
  number = {4},
  abstract = {In this paper we examine the spillovers of a shock to real output
	in the euro area to Central, Eastern and Southeastern Europe (CESEE)
	and its subregions Central Europe, Southeastern Europe, Russia, and
	the other members of the Commonwealth of Independent States (CIS).
	To this effect, we apply a global vector autoregressive (GVAR) model
	and go beyond existing work by examining the relative importance
	of the financial channel compared with the trade channel. Moreover,
	we assume that shocks spill over from the euro area to the CESEE
	region via the financial channel whereas financial spillovers within
	CESEE are negligible (except for spillovers between Russia and the
	other CESEE countries, which we do capture). Our results are as follows:
	We find spillovers transmitted via the trade channel to be larger
	than spillovers via the financial channel for Southeastern Europe,
	but smaller for Russia and the other CIS countries. For Central Europe,
	the two channels have a broadly similar impact. When we assess the
	relative importance of the two channels based on how well they explain
	historical movements in the data we see that spillovers via the two
	channels have indeed been of equal importance for Central Europe.
	However, the financial channel has traditionally dominated the trade
	channel in Southeastern Europe, whereas the trade channel has traditionally
	played a stronger role for the CIS region. Overall spillovers reflecting
	both transmission channels are comparatively more moderate for Central
	Europe and Russia, while they are a bit larger for Southeastern Europe
	and considerably higher for the CIS region excluding Russia: The
	long-run effect of a +1\% euro area output shock ranges from 0.3\%
	in Central Europe and Russia to 0.7\% in the other CIS countries.},
  keywords = {Financial shocks; international shock transmission; GVAR; CESEE},
  url = {http://ideas.repec.org/a/onb/oenbfi/y2013i4b1.html}
}

@ARTICLE{barbieri2004optimal,
  author = {Barbieri, Maria Maddalena and Berger, James O},
  title = {Optimal predictive model selection},
  journal = {The Annals of Statistics},
  year = {2004},
  volume = {32},
  pages = {870--897},
  number = {3},
  owner = {FELDKIRC},
  publisher = {Institute of Mathematical Statistics},
  timestamp = {2014.04.15}
}

@ARTICLE{Baumeister2013,
  author = {Baumeister, Christiane and Benati, Luca},
  title = {{Unconventional Monetary Policy and the Great Recession: Estimating
	the Macroeconomic Effects of a Spread Compression at the Zero Lower
	Bound}},
  journal = {International Journal of Central Banking},
  year = {2013},
  volume = {9},
  pages = {165-212},
  number = {2},
  month = {June},
  abstract = {We explore the macroeconomic effects of a compression in the long-term
	bond yield spread within the context of the Great Recession of 2007?09
	via a time-varying parameter structural VAR model. We identify a
	?pure? spread shock defined as a shock that leaves the policy rate
	unchanged, which allows us to characterize the macroeconomic consequences
	of a decline in the yield spread induced by central banks? asset
	purchases within an environment in which the policy rate is constrained
	by the effective zero lower bound. Two key findings stand out. First,
	compressions in the long-term yield spread exert a powerful effect
	on both output growth and inflation. Second, conditional on available
	estimates of the impact of the Federal Reserve?s and the Bank of
	England?s asset purchase programs on long-term yield spreads, our
	counterfactual simulations suggest that U.S. and U.K. unconventional
	monetary policy actions have averted significant risks both of deflation
	and of output collapses comparable to those that took place during
	the Great Depression.},
  url = {http://ideas.repec.org/a/ijc/ijcjou/y2013q2a9.html}
}

@BOOK{Bauwens2000,
  title = {Bayesian inference in dynamic econometric models},
  publisher = {Oxford University Press},
  year = {2000},
  author = {Bauwens, Luc and Lubrano, Michel and Richard, Jean-Francois},
  owner = {FELDKIRC},
  timestamp = {2014.10.22}
}

@ARTICLE{Baxter2005,
  author = {Baxter, M. and M.A. Kouparitsas},
  title = {Determinants of business cycle comovement: a robust analysis},
  journal = {Journal of Monetary Economics},
  year = {2005},
  volume = {52},
  pages = {113-157},
  number = {1},
  owner = {FELDKIRC},
  timestamp = {2014.11.27}
}

@ARTICLE{Benczur2006,
  author = {Benczur, Peter, and Koren, Miklos and Ratfai, Attila},
  title = {{The Transmission of Eurozone Shocks to CEECs}},
  journal = {Central European University},
  year = {2006},
  volume = {mimeo},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Benedictow2010,
  author = {Benedictow, Andreas and Fjaertoft, Daniel and Lofsnaes, Ole},
  title = {{Oil dependency of the Russian economy: an econometric analysis}},
  journal = {Economic Modelling},
  year = {2013},
  volume = {32},
  pages = {400-428},
  owner = {feldkirc},
  timestamp = {2012.08.23}
}

@ARTICLE{Benkovskis2011,
  author = {Benkovskis, Konstantins and Bessonovs, Andrejs and Feldkircher, Martin
	and W\"{o}rz, Julia},
  title = {{The Transmission of Euro Area Monetary Shocks to the Czech Republic,
	Poland and Hungary: Evidence from a FAVAR Model}},
  journal = {Focus on European Economic Integration},
  year = {2011},
  volume = {3},
  pages = {8-36},
  owner = {mfeldk},
  timestamp = {2012.06.18}
}

@ARTICLE{Bluwstein2016,
  author = {Bluwstein, Kristina and Canova, Fabio},
  title = {{Beggar-Thy-Neighbor? The International Effects of ECB Unconventional
	Monetary Policy Measures}},
  journal = {International Journal of Central Banking},
  year = {2016},
  volume = {12},
  pages = {69-120},
  number = {3},
  abstract = {The effects that European Central Bank unconventional monetary policy
	measures have on nine European countries not adopting the Euro are
	examined with a novel Bayesian mixed frequency Structural Vector
	Autoregressive technique. The technique accounts for the fact that
	macro, monetary and financial data have different frequencies. Unconventional
	monetary policy disturbances generate important domestic fluctuations.
	The wealth, the risk, and the portfolio rebalancing channels matter
	for international propagation; the credit channel does not. International
	spillovers are larger in countries with more advanced financial systems
	and a larger share of domestic banks. A comparison with conventional
	monetary policy disturbances and with announcement surprises is provided.},
  institution = {C.E.P.R. Discussion Papers},
  keywords = {Bayesian Mixed Frequency SVAR; Financial Spillovers; International
	Transmission; Unconventional Mone},
  type = {CEPR Discussion Papers},
  url = {https://ideas.repec.org/p/cpr/ceprdp/10856.html}
}

@ARTICLE{Borys2009,
  author = {Borys, M. and Horv\'{a}th, R. and Franta, M.},
  title = {{The Effects of Monetary Policy in the Czech Republic: An Empirical
	Study}},
  journal = {Empirica},
  year = {2009},
  volume = {36},
  pages = {419-434},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Brambor2006,
  author = {Brambor, Thomas and Clark, Wiliam Roberts and Golder, Matt},
  title = {{Understanding Interaction Models: Improving Empirical Analyses}},
  journal = {Political Analysis},
  year = {2006},
  volume = {14},
  pages = {63-82},
  owner = {mfeldk},
  timestamp = {2012.07.19}
}

@ARTICLE{Brand2010,
  author = {Brand, Claus and Buncic, Daniel and Turunen, Jarkko},
  title = {{The impact of ECB monetary policy decisions and communication on the yield curve}},
  journal = {Journal of the European Economic Association},
  year = {2010},
  volume = {8},
  number={6},
  pages = {1266-1298},
  owner = {mfeldk},
  timestamp = {2012.07.19}
}


@ARTICLE{Burbidge1985,
  author = {Burbidge, John and Harrison, Alan},
  title = {{An historical decomposition of the great depression to determine
	the role of money}},
  journal = {Journal of Monetary Economics},
  year = {1985},
  volume = {16},
  pages = {45-54},
  number = {1},
  month = {July},
  owner = {LudmilaF},
  timestamp = {2014.08.20},
  url = {http://ideas.repec.org/a/eee/moneco/v16y1985i1p45-54.html}
}

@ARTICLE{Burriel2018,
  author = {Pablo Burriel and Alessandro Galesi},
  title = {{Uncovering the heterogeneous effects of ecb unconventional monetary
	policies across euro area countries}},
  journal = {European Economic Review},
  year = {2018},
  volume = {101},
  pages = {201-229},
  abstract = {We assess the effects of the ECBÃ¯Â¿Â½s recent unconventional monetary
	policy measures by estimating a global VAR that exploits panel variation
	among all euro area economies and explicitly takes into account cross-country
	interdependencies. Unconventional monetary policy measures have benefi
	cial effects on activity, credit, infl ation and equity prices, and
	lead to a depreciation of the exchange rate. Most euro area members
	benefi t from these measures, but with a substantial degree of heterogeneity.
	Cross-country spillovers account for a sizable fraction of such dispersion,
	and substantially amplify effects. Countries with less fragile banking
	systems benefi t the most from unconventional monetary policy measures.
	Compared to expansionary conventional monetary policies, unconventional
	measures are particularly effective in reducing fi rmsÃ¯Â¿Â½ fi nancing
	costs and boosting credit.},
  keywords = {unconventional monetary policy; euro area; GVAR; heterogeneity; spillovers},
  type = {Working Papers},
  url = {https://ideas.repec.org/p/bde/wpaper/1631.html}
}

@ARTICLE{Bussiere2009,
  author = {Bussi\`{e}re, Matthieu and Chudik, Alexander and Sestieri, Giulia},
  title = {{Modelling Global Trade Flows: Results from a GVAR Model}},
  journal = {ECB Working Paper Series},
  year = {2009},
  volume = {1087},
  owner = {FELDKIRC},
  timestamp = {2013.08.22}
}

@ARTICLE{Bussiere2013,
  author = {Bussi\`{e}re, Matthieu and Imbs, Jean and Kollmann, Robert and Ranci\`{e}re,
	Romain},
  title = {{The Financial Crisis: Lessons for International Macroeconomics}},
  journal = {American Economic Journal: Macroeconomics},
  year = {2013},
  volume = {5},
  pages = {75-84},
  number = {3},
  doi = {10.1257/mac.5.3.75},
  url = {http://www.aeaweb.org/articles.php?doi=10.1257/mac.5.3.75}
}

@Article{Canova2005,
  author    = {Fabio Canova},
  journal   = {Journal of Applied Econometrics},
  title     = {{The transmission of US shocks to Latin America}},
  year      = {2005},
  number    = {2},
  pages     = {229-251},
  volume    = {20},
  abstract  = {I study whether and how US shocks are transmitted to eight Latin
	American countries. US shocks are identified using sign restrictions
	and treated as exogenous with respect to Latin American economies.
	Posterior estimates for individual and average effects are constructed.
	US monetary shocks produce significant fluctuations in Latin America,
	but real demand and supply shocks do not. Floaters and currency boarders
	display similar output but different inflation and interest rate
	responses. The financial channel plays a crucial role in the transmission.
	US disturbances explain important portions of the variability of
	Latin American macrovariables, producing continental cyclical fluctuations
	and, in two episodes, destabilizing nominal exchange rate effects.
	Policy implications are discussed. Copyright ?? 2005 John Wiley \&
	Sons, Ltd.},
  owner     = {FELDKIRC},
  timestamp = {2014.04.15},
  url       = {http://ideas.repec.org/a/jae/japmet/v20y2005i2p229-251.html},
}

@ARTICLE{Canova2002,
  author = {Canova, Fabio and Nicolo, Gianni De},
  title = {{Monetary disturbances matter for business fluctuations in the G-7}},
  journal = {Journal of Monetary Economics},
  year = {2002},
  volume = {49},
  pages = {1131-1159},
  number = {6},
  month = {September},
  abstract = {This paper examines the importance of monetary disturbances for cyclical
	fluctuations in real activity and inflation. It employs a novel identification
	approach which uses the sign of the cross-correlation function in
	response to shocks to assign a structural interpretation to orthogonal
	innovations. We find that monetary shocks significantly drive output
	and inflation cycles in all G-7 countries; that they are the dominant
	source of fluctuations in three of the seven countries; that they
	contain an important policy component, and that their impact is time
	varying.<P>(This abstract was borrowed from another version of this
	item.)},
  url = {http://ideas.repec.org/a/eee/moneco/v49y2002i6p1131-1159.html}
}

@ARTICLE{Caraiani2008,
  author = {Caraiani, Petre},
  title = {{An Analysis of Domestic and External Shocks on Romanian Economy
	Using a DSGE Model}},
  journal = {Romanian Journal of Economic Forecasting},
  year = {2008},
  volume = {3},
  pages = {100-114},
  owner = {feldkirc},
  timestamp = {2012.08.29}
}

@ARTICLE{Carney2006,
  author = {Carney, M. and Cunningham, P.},
  title = {{Evaluating Density Forecasting Models}},
  journal = {Dublin, Trinity College Dublin, Department of Computer Science},
  year = {2006},
  volume = {2006-21},
  owner = {FELDKIRC},
  timestamp = {2013.07.22}
}

@ARTICLE{Carrera2003,
  author = {Carrera, Jorge Eduardo and F\'{e}liz, Mariano and Panigo, Demian},
  title = {{Testing the order of integration with low power tests. An application
	to Argentine macro-variables}},
  journal = {Journal of Applied Economics},
  year = {2003},
  volume = {VI},
  pages = {221-246},
  number = {2},
  owner = {Martin},
  timestamp = {2009.01.05}
}

@ARTICLE{Carriero2015,
  author = {Carriero, Andrea and Clark, Todd E and Marcellino, Massimiliano},
  title = {{Bayesian VARs: specification choices and forecast accuracy}},
  journal = {Journal of Applied Econometrics},
  year = {2015},
  volume = {30},
  number={1},
  pages={46--73},
  owner = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2013.10.10}
}

@Article{Carriero2019,
  author  = {Carriero, Andrea and Clark, Todd E and Marcellino, Massimiliano and others},
  title   = {Large Vector Autoregressions with Asymmetric Priors},
  journal = {Journal of Econometrics},
  year    = {2019},
  volume  = {forthcoming},
}

@Article{Carriero2009,
  author   = {Carriero, A. and Kapetanios, G. and Marcellino, M.},
  journal  = {International Journal of Forecasting},
  title    = {{Forecasting exchange rates with a large Bayesian VAR}},
  year     = {2009},
  number   = {2},
  pages    = {400-417},
  volume   = {25},
  abstract = {Models based on economic theory have serious problems forecasting
	exchange rates better than simple univariate driftless random walk
	models, especially at short horizons. Multivariate time series models
	suffer from the same problem. In this paper, we propose to forecast
	exchange rates with a large Bayesian VAR (BVAR), using a panel of
	33 exchange rates vis-a-vis the US Dollar. Since exchange rates tend
	to co-move, a large set of them can contain useful information for
	forecasting. In addition, we adopt a driftless random walk prior,
	so that cross-dynamics matter for forecasting only if there is strong
	evidence of them in the data. We produce forecasts for all 33 exchange
	rates in the panel, and show that our model produces systematically
	better forecasts than a random walk for most of the countries, and
	at all forecast horizons, including 1-step-ahead.},
  keywords = {Exchange rates Forecasting Bayesian VAR},
  url      = {http://ideas.repec.org/a/eee/intfor/v25y2009i2p400-417.html},
}

@ARTICLE{Cashin2014,
  author = {Cashin, Paul and Mohaddes, Kamiar and Raissi, Maziar and Raissi,
	Mehdi},
  title = {{The differential effects of oil demand and supply shocks on the
	global economy}},
  journal = {Energy Economics},
  year = {2014},
  volume = {44},
  pages = {113-134},
  number = {C},
  abstract = {We employ a set of sign restrictions on the impulse responses of a
	Global VAR model, estimated for 38 countries/regions over the period
	1979Q2?2011Q2, as well as bounds on impact price elasticities of
	oil supply and oil demand to discriminate between supply-driven and
	demand-driven oil-price shocks, and to study the time profile of
	their macroeconomic effects across a wide range of countries and
	real/financial variables. We show that the above identification scheme
	can greatly benefit from the cross-sectional dimension of the GVAR?by
	providing a large number of additional cross-country sign restrictions
	and hence reducing the set of admissible models. The results indicate
	that the economic consequences of a supply-driven oil-price shock
	are very different from those of an oil-demand shock driven by global
	economic activity, and vary for oil-importing countries compared
	to energy exporters. While oil importers typically face a long-lived
	fall in economic activity in response to a supply-driven surge in
	oil prices, the impact is positive for energy-exporting countries
	that possess large proven oil/gas reserves. However, in response
	to an oil-demand disturbance, almost all countries in our sample
	experience long-run inflationary pressures, an increase in real output,
	a rise in interest rates, and a fall in equity prices.},
  keywords = {Global VAR (GVAR); Interconnectedness; Global macroeconomic modeling;
	Sign restrictions; Impulse res},
  url = {https://ideas.repec.org/a/eee/eneeco/v44y2014icp113-134.html}
}


@ARTICLE{Mohaddes2019,
  author = {Mohaddes, Kamiar and Raissi,
	Mehdi},
  title = {{The US oil supply revolution and the global economy}},
  journal = {Empirical Economics},
  year = {2019},
  volume = {57},
  pages = {515--1546}
} 

@Article{Castren2010,
  author   = {Olli Castr\'{e}n and St\'{e}phane D\'{e}es and Fadi Zaher},
  journal  = {Journal of Financial Stability},
  title    = {Stress-testing euro area corporate default probabilities using a global macroeconomic model},
  year     = {2010},
  issn     = {1572-3089},
  number   = {2},
  pages    = {64 - 78},
  volume   = {6},
  abstract = {We analyse the behaviour of euro area corporate sector probabilities
	of default under a wide range of domestic and global macro-financial
	shocks. Using the Global Vector Autoregressive (GVAR) model and constructing
	a linking satellite equation for firm-level Expected Default Frequencies
	(EDFs) we show that, at the aggregate level, the median \{EDFs\}
	react most to shocks to GDP, exchange rate, oil prices and equity
	prices. Intuitive variations to these results occur when sector-level
	median \{EDFs\} are considered. The satellite-GVAR model emerges
	as a useful tool for linking global macro-financial scenarios with
	micro-level information on expected defaults.},
  doi      = {http://dx.doi.org/10.1016/j.jfs.2009.10.001},
  keywords = {Global \{VAR\}},
  url      = {http://www.sciencedirect.com/science/article/pii/S1572308909000576},
}

@Article{Cecchetti2001,
  author   = {Cecchetti, Stephen G and Rich, Robert W},
  journal  = {Journal of Business \& Economic Statistics},
  title    = {{Structural Estimates of the U.S. Sacrifice Ratio}},
  year     = {2001},
  month    = {October},
  number   = {4},
  pages    = {416-427},
  volume   = {19},
  abstract = {This article investigates the statistical properties of the U.S. sacrifice ratio--the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural vector autoregression models and then conduct a series of simulation exercises to analyze their sampling distribution. We obtain point estimates of the sacrifice ratio that are consistent with results reported in earlier studies. However, the estimates are very imprecise, which we suggest reflects the poor quality of instruments used in estimation. We conclude that the estimates provide a very unreliable guide for assessing the output cost of disinflation policy.},
  url      = {https://ideas.repec.org/a/bes/jnlbes/v19y2001i4p416-27.html},
}

@Article{Cesa-Bianchi2013,
  author   = {Cesa-Bianchi, Ambrogio},
  journal  = {Journal of International Money and Finance},
  title    = {{Housing cycles and macroeconomic fluctuations: A global perspective}},
  year     = {2013},
  number   = {C},
  pages    = {215-238},
  volume   = {37},
  abstract = {This paper investigates the international spillovers of housing demand
	shocks on real economic activity. The global economy is modeled using
	a Global VAR, with a novel house price data set for both advanced
	and emerging economies. The impulse responses to an identified U.S.
	housing demand shock confirm the existence of strong international
	spillovers to advanced economies. In contrast, the response of some
	major emerging economies is not significantly different from zero.
	Moreover, the analysis of synchronized housing demand shocks speaks
	in favor of the recent evidence of increased resilience of emerging
	economies to shocks originating in advanced economies; and it also
	suggests that a close monitoring of housing cycles in advanced economies
	as well as in emerging economies should be of interest for policy-makers.},
  keywords = {Housing demand shocks; Great recession; Identification of shocks; Emerging market economies; Global},
  url      = {http://ideas.repec.org/a/eee/jimfin/v37y2013icp215-238.html},
}

@ARTICLE{Cesa-Bianchi2011,
  author = {Cesa-Bianchi, Ambrogio and Pesaran, Hashem M. and Rebucci, Alessandro
	and Xu, TengTeng},
  title = {{China's Emergence in the World Economy and Business Cycles in Latin
	America}},
  journal = {{Econom\'{i}a}},
  year = {2012},
  volume = {12},
  pages = {1-75},
  number = {2},
  owner = {mfeldk},
  timestamp = {2012.06.19}
}

@ARTICLE{Chan2018,
  author = {Chan, J. C. and Eisenstat, E.},
  title = {{ Bayesian model comparison for timeâ€�varying parameter VARs with stochastic volatility}},
  journal = {{Journal of Applied Econometrics}},
  year = {2018},
  volume = {33},
  number = {4},
  pages = {509--532},
  owner = {mfeldk},
  timestamp = {2012.06.19}
}


@ARTICLE{Chen2016,
  author = {Chen, Qianying and Filardo, Andrew and He, Dong and Zhu, Feng},
  title = {{Financial crisis, US unconventional monetary policy and international
	spillovers}},
  journal = {Journal of International Money and Finance},
  year = {2016},
  volume = {67},
  pages = {62-81},
  number = {C},
  abstract = {We study the impact of US quantitative easing (QE) on both the emerging
	and advanced economies, estimating a global vector error-correction
	model (GVECM). We focus on the effects of reductions in the US term
	and corporate spreads. The estimated effects of QE are sizeable and
	vary across economies. First, we find the QE impact from reducing
	the US corporate spread to be more important than that from lowering
	the US term spread, consistent with Blinder's (2012) argument. Second,
	counterfactual exercises suggest that successive US QE measures might
	have prevented episodes of prolonged recession and deflation in the
	advanced economies. Third, the estimated effects on the emerging
	economies are diverse but generally larger than those found for the
	United States and other advanced economies. The estimates suggest
	that US monetary policy spillovers contributed to the overheating
	in Brazil, China and some other emerging economies in 2010 and 2011,
	but supported their respective recoveries in 2009 and 2012. These
	heterogeneous effects point to unevenly distributed benefits and
	costs of cross-border monetary policy spillovers.},
  doi = {10.1016/j.jimonfin.2015.0},
  keywords = {Emerging economies; Financial crisis; Global VAR; International monetary
	policy spillovers; Quantita},
  url = {https://ideas.repec.org/a/eee/jimfin/v67y2016icp62-81.html}
}

@ARTICLE{Chinn2006,
  author = {Chinn, Menzie and Ito, Hiro},
  title = {What Matters for Financial Development? Capital Controls, Institutions,
	and Interactions},
  journal = {Journal of Development Economics},
  year = {2006},
  volume = {81},
  pages = {163-192},
  number = {1},
  owner = {FELDKIRC},
  timestamp = {2017.11.13}
}

@TECHREPORT{Chudik2011b,
  author = {Chudik, Alexander and Fidora, Michael},
  title = {{Using the global dimension to identify shocks with sign restrictions}},
  institution = {European Central Bank},
  year = {2011},
  type = {Working Paper Series},
  number = {No. 1318}
}


@TECHREPORT{Nymand-Andersen2018,
  author = {Nymand-Andersen, Per},
  title = {{Yield curve modelling and a conceptual framework for estimating yield curves: evidence from the European Central Bank's yield curves}},
  institution = {European Central Bank},
  year = {2018},
  type = {Statistics Paper Series},
  number = {No. 27}
}



@TECHREPORT{Chudik2012,
  author = {Alexander Chudik and Marcel Fratzscher},
  title = {{Liquidity, risk and the global transmission of the 2007Ã¯Â¿Â½08 financial
	crisis and the 2010Ã¯Â¿Â½11 sovereign debt crisis title}},
  institution = {Federal Reserve Bank of Dallas},
  year = {2012},
  type = {Globalization and Monetary Policy Institute Working Paper},
  number = {107},
  abstract = {The paper analyses the transmission of liquidity shocks and risk shocks
	to global financial markets. Using a Global VAR methodology, the
	findings reveal fundamental differences in the transmission strength
	and pattern between the 2007Ã¯Â¿Â½08 financial crisis and the 2010Ã¯Â¿Â½11
	sovereign debt crisis. Unlike in the former crisis, emerging market
	economies have become much more resilient to adverse shocks in 2010Ã¯Â¿Â½11.
	Moreover, a fight-to-safety phenomenon across asset classes has become
	particularly strong during the 2010Ã¯Â¿Â½11 sovereign debt crisis, with
	risk shocks driving down bond yields in key advanced economies. The
	paper relates this evolving transmission pattern to portfolio choice
	decisions by investors and finds that countries' sovereign rating,
	quality of institutions and their financial exposure are determinants
	of cross-country differences in the transmission.},
  url = {https://ideas.repec.org/p/fip/feddgw/107.html}
}

@Article{Chudik2011a,
  author   = {Chudik, Alexander and Fratzscher, Marcel},
  journal  = {European Economic Review},
  title    = {{Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model}},
  year     = {2011},
  month    = {April},
  number   = {3},
  pages    = {325-339},
  volume   = {55},
  keywords = {Liquidity Risk Financial crisis Global transmission Global VAR (GVAR) Shocks Modelling US Advanced},
  url      = {http://ideas.repec.org/a/eee/eecrev/v55y2011i3p325-339.html},
}

@ARTICLE{Chudik2014,
  author = {Chudik, Alexander and Pesaran, H. M.},
  title = {{Theory and Practice of GVAR Modeling}},
  journal = {Journal of Economic Surveys},
  year = {2016},
  volume = {30},
  pages = {165--197},
  owner = {FELDKIRC},
  timestamp = {2014.09.08}
}

@ARTICLE{clark2014evaluating,
  author = {Clark, Todd E and McCracken, Michael W},
  title = {Evaluating Conditional Forecasts from Vector Autoregressions},
  journal = {Federal Reserve Bank of St. Louis Working Paper Series},
  year = {2014},
  volume = {WP Nr. 025A}
}

@ARTICLE{Clark2015,
  author = {Clark, T. E. and Ravazzolo, F.},
  title = {{Macroeconomic forecasting performance under alternative specifications of timeâ€�varying volatility}},
  journal = {Journal of Applied Econometrics},
  year = {2015},
  volume = {30},
  number ={4},
  pages = {551--575},
  owner = {FELDKIRC},
  timestamp = {2014.09.08}
}

@BOOK{clements1998forecasting,
  title = {Forecasting economic time series},
  publisher = {Cambridge University Press},
  year = {1998},
  author = {Clements, Michael and Hendry, David}
}

@BOOK{Woodford2003,
  title = {Interest and Prices: Foundations of a Theory of Monetary Policy},
  publisher = {Princeton University Press},
  year = {2003},
  author = {Woodford, Michael}
}

@INBOOK{Cleveland1992,
  chapter = {{Local regression models}},
  title = {{Statistical Models in S}},
  publisher = {Wadsworth \& Brooks / Cole},
  year = {1992},
  editor = {Chambers, J.M. and Hastie,T.J.},
  author = {Cleveland, W. S. and Grosse, E. and Shyu, W. M.},
  owner = {mfeldk},
  timestamp = {2012.06.21}
}

@ARTICLE{cogley2005drifts,
  author = {Cogley, Timothy and Sargent, Thomas J},
  title = {Drifts and volatilities: monetary policies and outcomes in the post
	WWII US},
  journal = {Review of Economic dynamics},
  year = {2005},
  volume = {8},
  pages = {262--302},
  number = {2},
  publisher = {Elsevier}
}

@ARTICLE{Coricelli2006,
  author = {Coricelli, F. and \'{E}gert, Bal\'{a}zs and MacDonald, R.},
  title = {{Monetary Transmission in Central and Eastern Europe: Gliding on
	a Wind of Change}},
  journal = {Focus on European Economic Integration},
  year = {2006},
  volume = {1},
  pages = {44-87},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{CrespoCuaresma2016,
  author = {{Crespo Cuaresma}, Jes\'{u}s and Feldkircher, Martin and Huber, Florian},
  title = {Forecasting with Global Vector Autoregressive Models: a Bayesian
	Approach},
  journal = {Journal of Applied Econometrics},
  year = {2016},
  volume = {Vol. 31},
  pages = {1371-1391},
  number = {7},
  doi = {10.1002/jae.2504},
  issn = {1099-1255},
  url = {http://dx.doi.org/10.1002/jae.2504}
}

@ARTICLE{CrespoCuaresma2013,
  author = {Crespo Cuaresma, J. and Fernandez Amador, O.},
  title = {{Business cycle convergence in EMU: A second look at the second moment}},
  journal = {Journal of International Money and Finance},
  year = {2013},
  volume = {37},
  pages = {239-259},
  owner = {FELDKIRC},
  timestamp = {2013.11.05}
}

@ARTICLE{Curcuru2015,
  author = {Curcuru, Stephanie and Thomas, Charles and Warnock, Francis and Wongswan,
	Jon},
  title = {{Uncovered equity parity and rebalancing in international portfolios}},
  journal = {Journal of International Money and Finance},
  year = {2015},
  volume = {47},
  pages = {86-99},
  institution = {NBER},
  owner = {FELDKIRC},
  timestamp = {2017.11.22}
}

@ARTICLE{Darvas2008,
  author = {Darvas, Z. and Szap\'{a}ry, G},
  title = {{Business Cycle Synchroniazation in the Enlarged EU: Comovements
	in the New and Old Members}},
  journal = {Open Economic Review},
  year = {2008},
  volume = {19},
  pages = {1-19},
  number = {1},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@ARTICLE{Dedola2007,
  author = {Dedola, Luca and Neri, Stefano},
  title = {{What does a technology shock do? A VAR analysis with model-based
	sign restrictions}},
  journal = {Journal of Monetary Economics},
  year = {2007},
  volume = {54},
  pages = {512-549},
  number = {2},
  month = {March},
  abstract = {This paper estimates the effects of technology shocks in VAR models
	of the U.S., identified by imposing restrictions on the sign of impulse
	responses. These restrictions are consistent with the implications
	of a popular class of DSGE models, with both real and nominal frictions,
	and with sufficiently wide ranges for their parameters. This identification
	strategy thus substitutes theoretically-motivated restrictions for
	the atheoretical assumptions on the time-series properties of the
	data that are key to long-run restrictions. Stochastic technology
	improvements persistently increase real wages, consumption, investment
	and output in the data; hours worked are very likely to increase,
	displaying a hump-shaped pattern. Contrary to most of the related
	VAR evidence, results are not sensitive to a number of specification
	assumptions, including those on the stationarity properties of variables.
	JEL Classification: C3, E3<P>(This abstract was borrowed from another
	version of this item.)},
  url = {http://ideas.repec.org/a/eee/moneco/v54y2007i2p512-549.html}
}

@ARTICLE{Dedola2017,
  author = {Luca Dedola and Giulia Rivolta and Livio Stracca},
  title = {If the Fed sneezes, who catches a cold?},
  journal = {Journal of International Economics},
  year = {2017},
  volume = {108},
  pages = {S23 - S41},
  number = {Supplement 1},
  note = {39th Annual NBER International Seminar on Macroeconomics},
  doi = {https://doi.org/10.1016/j.jinteco.2017.01.002},
  issn = {0022-1996},
  keywords = {Identification of monetary shocks, International transmission, Capital
	mobility, Trilemma},
  owner = {FELDKIRC},
  timestamp = {2017.11.14},
  url = {http://www.sciencedirect.com/science/article/pii/S0022199617300041}
}

@ARTICLE{Dees2007b,
  author = {Dees, Stephane and Holly, Sean and Pesaran, Hashem M. and Smith,
	Vanessa L.},
  title = {{Long Run Macroeconomic Relations in the Global Economy}},
  journal = {Economics - The Open-Access, Open-Assessment E-Journal},
  year = {2007},
  volume = {1},
  pages = {1-20},
  number = {3},
  abstract = {The aim of this paper is to illustrate the general implications of
	single monetary policy in sustaining European financial integration.
	Our study is structured on two main sections; the first one presents
	the importance of money market integration for the common policy
	and the seconds analyses the transmission mechanism functioning under
	financial distress. An efficient and integrated money market is essential
	for a sound monetary policy, given that it provides an even distribution
	of central bank liquidity and a homogeneous level of short-term interest
	rates in the entire space of the common currency. If monetary policy
	transmission mechanism has been irreversibly affected by the international
	crisis, it is still premature to determine.},
  keywords = {single policy; transmission mechanism; financial distress; pass-through
	process},
  url = {http://ideas.repec.org/a/zbw/ifweej/5582.html}
}

@ARTICLE{Dees2007a,
  author = {Dees, Stephane and di Mauro, Filippo and Pesaran, Hashem M. and Smith,
	L. Vanessa},
  title = {{Exploring the international linkages of the euro area: a global
	VAR analysis}},
  journal = {Journal of Applied Econometrics},
  year = {2007},
  volume = {22},
  number = {1},
  owner = {Martin},
  timestamp = {2008.04.22}
}

@ARTICLE{Dees2014,
  author = {Dees, S. and Pesaran, M.H. and Smith, V.L. and Smith, R. P.},
  title = {{Constructing Multi-country Rational Expectations Models}},
  journal = {Oxford Bulletin of Economics and Statistics},
  year = {2014},
  volume = {forthcoming},
  owner = {FELDKIRC},
  timestamp = {2014.11.27}
}

@ARTICLE{Doan1984,
  author = {Doan, T. R. and Litterman, B. R. and C. A. Sims},
  title = {{Forecasting and Conditional Projection Using Realistic Prior Distributions}},
  journal = {Econometric Reviews},
  year = {1984},
  volume = {3},
  pages = {1-100},
  owner = {mfeldk},
  timestamp = {2013.06.15}
}

@Article{Dovern2016,
  author   = {Dovern, Jonas and Feldkircher, Martin and Huber, Florian},
  journal  = {Journal of Economic Dynamics and Control},
  title    = {Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR},
  year     = {2016},
  issn     = {0165-1889},
  pages    = {86 - 100},
  volume   = {70},
  doi      = {http://dx.doi.org/10.1016/j.jedc.2016.06.006},
  keywords = {GVAR},
  url      = {http://www.sciencedirect.com/science/article/pii/S0165188916301051},
}

@Article{Dovern2014,
  author   = {Jonas Dovern and Bj\"{o}rn van Roye},
  journal  = {Journal of Financial Stability},
  title    = {International transmission and business-cycle effects of financial stress},
  year     = {2014},
  issn     = {1572-3089},
  number   = {0},
  pages    = {1 - 17},
  volume   = {13},
  abstract = {Abstract We analyze the international transmission of financial stress
	and its effects on global economic activity. Our analysis is based
	on country-specific monthly financial stress indices (FSIs) over
	the sample period 1970???2012 for 20 major economies. First, we show
	that co-movement between the \{FSIs\} increases during major financial
	crises and towards the end of our sample period. Second, we show
	that the risk of large financial stress spillovers to an economy
	increases with its level of economic openness. Third, we show ???
	using a global \{VAR\} (GVAR) model ??? that (i) a financial stress
	shock in the \{US\} quickly transmits internationally, (ii) financial
	stress shocks have lagged but persistent negative effects on economic
	activity, and (iii) that a negative \{US\} demand shock induces only
	limited financial stress on a global scale. Finally, we show that
	spillovers of financial stress run mainly from advanced to emerging
	economies and not in the opposite direction.},
  doi      = {http://dx.doi.org/10.1016/j.jfs.2014.02.006},
  keywords = {Financial stress},
  url      = {http://www.sciencedirect.com/science/article/pii/S1572308914000291},
}

@ARTICLE{Dybczak2008,
  author = {Dybczak, Kamil and Vo\v{n}ka, David and van der Windt, Nico},
  title = {{The Effect of Oil Price Shocks on the Czech Economy}},
  journal = {Czech National Bank, Working Paper Series},
  year = {2008},
  owner = {mfeldk},
  timestamp = {2012.08.22}
}

@TECHREPORT{EBRD2012,
  author = {EBRD},
  title = {{Transition Report 2012 - Integration Across Borders}},
  institution = {European Bank for Reconstruction and Development},
  year = {2012},
  note = {Retrieved from \url{http://www.ebrd.com/pages/research/publications/flagships/transition.shtml}},
  owner = {FELDKIRC},
  timestamp = {2013.04.11}
}

@Article{Ehrmann2009,
  author    = {Michael Ehrmann and Marcel Fratzscher},
  journal   = {Oxford Bulletin of Economics and Statistics},
  title     = {Global Financial Transmission of Monetary Policy Shocks},
  year      = {2009},
  month     = {December},
  number    = {6},
  pages     = {739-759},
  volume    = {71},
  abstract  = {The paper analyses the transmission of US monetary policy shocks
	to global equity markets and the macroeconomic determinants of the
	underlying transmission process. We show that there is a substantial
	cross-country heterogeneity in reactions across 50 equity markets
	worldwide, with returns falling on average around 2.7\% in response
	to a 100 basis point tightening of US monetary policy, but ranging
	from a zero response in some to a reaction of 5\% or more in other
	markets. As to the determinants of the strength of transmission to
	individual countries, we test the relevance of their macroeconomic
	policies and the role of real and financial integration. We find
	that in particular the degree of global integration of countries
	- and not a country's bilateral integration with the United States
	- is a key determinant for the transmission process. Copyright (c)
	Blackwell Publishing Ltd and the Department of Economics, University
	of Oxford, 2009.},
  owner     = {FELDKIRC},
  timestamp = {2014.04.15},
  url       = {http://ideas.repec.org/a/bla/obuest/v71y2009i6p739-759.html},
}

@ARTICLE{Eickmeier2007,
  author = {Eickmeier, Sandra},
  title = {{Business cycle transmission from the US to Germany--A structural
	factor approach}},
  journal = {European Economic Review},
  year = {2007},
  volume = {51},
  pages = {521-551},
  number = {3},
  month = {April},
  abstract = {This paper investigates the transmission of US macroeconomic shocks
	to Germany by employing a large-dimensional structural dynamic factor
	model. This framework allows us to investigate many transmission
	channels simultaneously, including 'new' channels like stock markets,
	foreign direct investment, bank lending and the confidence channel.
	We find that US shocks affect the US and Germany largely symmetrically.
	Trade and monetary policy reactions to strong price effects seem
	to be most relevant; financial markets may have become more important
	over time. The speed of transmission does not seem to have increased.
	Negative domestic influences apparently more than compensated positive
	US influences in the German economy between 1995 and 2000, but the
	US recession in 2001 seemed mainly responsible for the German slump.
	--<P>(This abstract was borrowed from another version of this item.)},
  owner = {FELDKIRC},
  timestamp = {2014.04.15},
  url = {http://ideas.repec.org/a/eee/eecrev/v51y2007i3p521-551.html}
}

@ARTICLE{Eickmeier2006,
  author = {Eickmeier, Sandra and Breitung, J.},
  title = {{How synchronized are new EU member states with the euro area? Evidence
	from a structural factor model}},
  journal = {Journal of Comparative Economics},
  year = {2006},
  volume = {34},
  pages = {538-563},
  number = {3},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@Article{Eickmeier2015,
  author   = {Eickmeier, Sandra and Ng, Tim},
  journal  = {European Economic Review},
  title    = {How do US credit supply shocks propagate internationally? A GVAR approach},
  year     = {2015},
  issn     = {0014-2921},
  pages    = {128 - 145},
  volume   = {74},
  doi      = {http://dx.doi.org/10.1016/j.euroecorev.2014.11.011},
  keywords = {International business cycles},
  url      = {http://www.sciencedirect.com/science/article/pii/S0014292114001652},
}

@ARTICLE{Eller2017,
  author = {Eller, Markus and Feldkircher, Martin and Huber, Florian},
  title = {{How would a fiscal shock in Germany affect other European countries?
	Evidence from a Bayesian global VAR model with sign restrictions}},
  journal = {Focus on European Economic Integration},
  year = {2017},
  volume = {Q1},
  pages = {1-30},
  owner = {FELDKIRC},
  timestamp = {2017.02.02}
}

@ARTICLE{Ericsson2012,
  author = {Ericsson, Neil R. and Reisman, Erica L.},
  title = {{Evaluating a Global Vector Autoregression for Forecasting}},
  journal = {International Advances in Economic Research},
  year = {2013},
  volume = {forthcoming},
  owner = {mfeldk},
  timestamp = {2013.06.07}
}

@ARTICLE{Fadejeva2017,
  author = {Fadejeva, Ludmila and Feldkircher, Martin and Reininger, Thomas},
  title = {{International Spillovers from Euro Area and US Credit and Demand
	Shocks: A focus on Emerging Europe}},
  journal = {Journal of International Money and Finance},
  year = {2017},
  volume = {70},
  pages = {1-25},
  owner = {FELDKIRC},
  timestamp = {2016.08.17}
}

@ARTICLE{Faust1998,
  author = {Faust, Jon},
  title = {{The Robustness of Identified VAR Conclusions about Money}},
  journal = {Carnegie-Rochester Series on Public Policy},
  year = {1998},
  volume = {49},
  pages = {207-244},
  owner = {FELDKIRC},
  timestamp = {2014.11.27}
}



@ARTICLE{Feldkircher2020,
  author = {Feldkircher, Martin and Gruber, Thomas and Huber, Florian},
  title = {{International effects of a compression of euro area yield curves}},
 journal = {Journal of Banking \& Finance},
  year = {2020},
  volume ={113},
pages = {11--14},
  owner = {feldkirc},
  timestamp = {2012.08.27}
}

 
@ARTICLE{Feldkircher2019b,
  author = {Feldkircher, Martin and Siklos, Pierre},
  title = {{Global inflation dynamics and inflation expectations}},
 journal = {International Review of Economics \& Finance},
  year = {2019},
  volume ={64},
pages = {217--241},
  owner = {feldkirc},
  timestamp = {2012.08.27}
}



@ARTICLE{Feldkircher2016a,
  author = {Feldkircher, Martin and Huber, Florian},
  title = {{The international transmission of US shocks -- Evidence from Bayesian
	global vector autoregressions}},
  journal = {European Economic Review},
  year = {2016},
  volume = {81},
  pages = {167-188},
  number = {C},
  abstract = {We analyze international spillovers of expansionary US aggregate demand
	and supply shocks, and of a contractionary US monetary policy shock.
	For that purpose we use a Bayesian version of the global vector autoregressive
	model coupled with a prior specification that explicitly accounts
	for uncertainty regarding variable choice. Our results are three-fold:
	first, we find significant spillovers of all three shocks, with the
	monetary policy shock impacting most strongly on international output.
	Second, the dynamics of the receiving countriesÃ—Â³ responses depend
	on the structural interpretation of the respective shock. Third,
	US shocks tend to spread globally through the financial channel (i.e.,
	interest rates) and the trade channel (i.e., the real effective exchange
	rate).},
  keywords = {Transmission of external shocks; Trade and financial integration;
	Stochastic search variable selecti},
  url = {https://ideas.repec.org/a/eee/eecrev/v81y2016icp167-188.html}
}

@UNPUBLISHED{Feldkircher2016b,
  author = {Feldkircher, Martin and Huber, Florian},
  title = {{Adaptive shrinkage in Bayesian global vector autoregressive models}},
  note = {Mimeo},
  year = {2016},
  owner = {mfeldk},
  timestamp = {2013.11.17}
}

@ARTICLE{Feldkircher2012,
  author = {Feldkircher, Martin and Korhonen, Iikka},
  title = {{The Rise of China and its Implications for Emerging Markets - Evidence
	from a GVAR Model}},
  journal = {Pacific Economic Review},
  year = {2014},
  volume = {19},
  pages = {61-89},
  number = {1},
  owner = {mfeldk},
  timestamp = {2012.06.18}
}

@ARTICLE{Fernandez2001,
  author = {Fernandez, Carmen and Ley, Eduardo and Steel, Mark F. J.},
  title = {{Benchmark priors for Bayesian model averaging}},
  journal = {Journal of Econometrics},
  year = {2001},
  volume = {100},
  pages = {381-427},
  number = {2},
  month = {February},
  abstract = {In contrast to a posterior analysis given a particular sampling model,
	posterior model probabilities in the context of model uncertainty
	are typically rather sensitive to the specification of the prior.
	In particular, 'diffuse' priors on model-specific parameters can
	lead to quite unexpected consequences. Here we focus on the practically
	relevant situation where we need to entertain a (large) number of
	sampling models and we have (or wish to use) little or no subjective
	prior information. We aim at providing an 'automatic' or 'benchmark'
	prior structure that can be used in such cases. We focus on the Normal
	linear regression model with uncertainty in the choice of regressors.
	We propose a partly noninformative prior structure related to a Natural
	Conjugate $g$-prior specification, where the amount of subjective
	information requested from the user is limited to the choice of a
	single scalar hyperparameter $g_{0j}$. The consequences of different
	choices for $g_{0j}$ are examined. We investigate theoretical properties,
	such as consistency of the implied Bayesian procedure. Links with
	classical information criteria are provided. In addition, we examine
	the finite sample implications of several choices of $g_{0j}$ in
	a simulation study. The use of the MC$^3$ algorithm of Madigan and
	York (1995), combined with efficient coding in Fortran, makes it
	feasible to conduct large simulations. In addition to posterior criteria,
	we shall also compare the predictive performance of different priors.
	A classic example concerning the economics of crime will also be
	provided and contrasted with results in the literature. The main
	findings of the paper will lead us to propose a 'benchmark' prior
	specification in a linear regression context with model uncertainty.<P>(This
	abstract was borrowed from another version of this item.)},
  url = {http://ideas.repec.org/a/eee/econom/v100y2001i2p381-427.html}
}

@ARTICLE{Fidrmuc2006,
  author = {Fidrmuc, Jarko and Korhonen, Iikka},
  title = {{Meta-analysis of the Business Cycle Correlation between the Euro
	Area and the CEECs}},
  journal = {Journal of Comparative Economics},
  year = {2006},
  volume = {34},
  pages = {518-537},
  owner = {feldkirc},
  timestamp = {2012.08.27}
}

@ARTICLE{Fratzscher2016,
  author = {Marcel Fratzscher and Marco Lo Duca and Roland Straub},
  title = {{ECB Unconventional Monetary Policy: Market Impact and International
	Spillovers}},
  journal = {IMF Economic Review},
  year = {2016},
  volume = {64},
  pages = {36-74},
  number = {1},
  month = {May},
  abstract = {This paper assesses the financial market impact of ECB unconventional
	monetary policy between 2007 and 2012. The paper looks at a broad
	range of asset prices and portfolio flows in the euro area and globally,
	using data at daily frequency. It finds that ECB policies boosted
	equity prices and lowered bond market fragmentation in the euro area.
	Spillovers to advanced economies and emerging markets included a
	positive impact on equity markets and confidence. The effects of
	ECB policies on bond markets outside the euro area were negligible.
	ECB policies also lowered credit risk among banks and sovereigns
	in the euro area and other G20 countries, while there is limited
	evidence of portfolio rebalancing across regions and assets on impact.},
  url = {https://ideas.repec.org/a/pal/imfecr/v64y2016i1p36-74.html}
}

@TECHREPORT{Fratzscher2009,
  author = {Fratzscher, Marcel and Saborowski, Christian and Straub, Roland},
  title = {{Monetary Policy Shocks and Portfolio Choice}},
  institution = {European Central Bank},
  year = {2009},
  type = {Working Paper Series},
  number = {1122},
  month = Dec,
  abstract = {The paper shows that monetary policy shocks exert a substantial effect
	on the size and composition of capital flows and the trade balance
	for the United States, with a 100 basis point easing raising net
	capital inflows and lowering the trade balance by 1\% of GDP, and
	explaining about 20-25\% of their time variation. Monetary policy
	easing causes positive returns to both equities and bonds. Yet such
	a monetary policy easing shock also induces a shift in portfolio
	composition out of equities and into bonds, implying a negative conditional
	correlation between flows in equities and bonds. Moreover, such shocks
	induce a negative conditional correlation between equity flows and
	equity returns, but a positive conditional correlation between bond
	flows and bond returns. The findings thus provide evidence for the
	presence of a portfolio rebalancing motive behind investment decisions
	in equities, but the dominance of what is akin to a return chasing
	motive for bonds, conditional on monetary policy shocks. The results
	also shed light on the puzzle of the strongly time-varying equity-bond
	return correlations found in the literature. JEL Classification:
	F4, E52, G1, F32},
  keywords = {asset prices; Capital flows; monetary policy; Portfolio Choice; sign
	restrictions; trade balance; Un},
  owner = {FELDKIRC},
  timestamp = {2014.09.08},
  url = {http://ideas.repec.org/p/ecb/ecbwps/20091122.html}
}

@ARTICLE{Fry2010,
  author = {Ren\'{e}e Fry and Adrian Pagan},
  title = {{Sign Restrictions in Structural Vector Autoregressions: A Critical
	Review}},
  journal = {Journal of Economic Literature},
  year = {2011},
  volume = {49},
  pages = {938-960},
  number = {4},
  month = {December},
  abstract = {The paper provides a review of the estimation of structural vector
	autoregressions with sign restrictions. It is shown how sign restrictions
	solve the parametric identification problem present in structural
	systems but leaves the model identification problem unresolved. A
	market and a macro model are used to illustrate these points. Suggestions
	have been made on how to find a unique model. These are reviewed.
	An analysis is provided of whether one can recover the true impulse
	responses and what difficulties might arise when one wishes to use
	the impulse responses found with sign restrictions. (JEL C32, C51,
	E12)},
  owner = {FELDKIRC},
  timestamp = {2014.05.05},
  url = {http://ideas.repec.org/a/aea/jeclit/v49y2011i4p938-60.html}
}

@TECHREPORT{Fuertes2016,
  author = {Fuertes, Ana-Maria and Phylaktis, Kate and Yan, Cheng},
  title = {{Uncovered Equity "Disparity" in Emerging Markets}},
  institution = {Emerging Markets Group},
  year = {2016},
  type = {Working Paper Series},
  number = {WP-EMG-01-2016},
  owner = {FELDKIRC},
  timestamp = {2017.11.22}
}

@TECHREPORT{Fukuda2013,
  author = {Fukuda, Yoshiyuki and Kimura, Yuki and Sudo, Nao and Ugai, Hiroshi},
  title = {{Cross-country Transmission Effect of the U.S. Monetary Shock under
	Global Integration}},
  institution = {Bank of Japan Working Paper Series},
  year = {2013},
  owner = {FELDKIRC},
  timestamp = {2014.02.03}
}

@INBOOK{Galesi2013b,
  chapter = {External shocks and international inflation linkages},
  pages = {255-270},
  title = {The GVAR Handbook: Structure and Applications of a Macro Model of
	
	the Global Economy for Policy Analysis},
  publisher = {Oxford University Press},
  year = {2013},
  editor = {di Mauro, F. and Pesaran, M.H.},
  author = {Galesi, A. and M. J. Lombardi, M. J.},
  owner = {FELDKIRC},
  timestamp = {2014.03.18}
}

@INBOOK{Galesi2013a,
  chapter = {Regional financial spillovers across Europe},
  pages = {255-270},
  title = {The GVAR Handbook: Structure and Applications of a Macro Model of
	
	the Global Economy for Policy Analysis},
  publisher = {Oxford University Press},
  year = {2013},
  editor = {di Mauro, F. and Pesaran, M.H.},
  author = {Galesi, A. and Sgherri, S.},
  owner = {FELDKIRC},
  timestamp = {2014.03.18}
}

@BOOK{Garrat2006,
  title = {{Global and National Macroeconometric Modelling: A Long-Run Structural
	Approach}},
  publisher = {{Oxford University Press}},
  year = {2006},
  author = {Garrat, Anthony and Lee, Keven and Pesaran, M. Hashem and Shin, Yongcheol},
  owner = {Martin},
  timestamp = {2009.05.03}
}

@Article{George1993,
  author    = {George, E. I. and McCulloch, R.},
  title     = {{Variable selection via Gibbs sampling}},
  journal   = {Journal of the American Statistical Association},
  year      = {1993},
  volume    = {88},
  pages     = {881--889},
  owner     = {FELDKIRC},
  timestamp = {2014.05.13},
}

@ARTICLE{George2008,
  author = {George, Edward I and Sun, Dongchu and Ni, Shawn},
  title = {{Bayesian stochastic search for VAR model restrictions}},
  journal = {Journal of Econometrics},
  year = {2008},
  volume = {142},
  pages = {553--580},
  number = {1},
  publisher = {Elsevier}
}

@ARTICLE{Georgiadis2016,
  author = {Georgiadis, Georgios},
  title = {{Determinants of global spillovers from US monetary policy}},
  journal = {Journal of International Money and Finance},
  year = {2016},
  volume = {67},
  pages = {41-61},
  owner = {FELDKIRC},
  timestamp = {2017.11.13}
}

@ARTICLE{Georgiadis2015,
  author = {Georgiadis, Georgios},
  title = {Examining asymmetries in the transmission of monetary policy in the
	euro area: Evidence from a mixed cross-section global VAR model},
  journal = {European Economic Review},
  year = {2015},
  volume = {75},
  pages = {195-215},
  number = {C}
}

@ARTICLE{Georgiadis2016c,
  author = {Georgiadis, Georgios and Gr\"{a}b, Johannes},
  title = {{Global financial market impact of the announcement of the ECB's
	asset purchase programme}},
  journal = {Journal of Financial Stability},
  year = {2016},
  volume = {26},
  pages = {257-265},
  number = {C}
}

@ARTICLE{geweke2001bayesian,
  author = {Geweke, John},
  title = {Bayesian econometrics and forecasting},
  journal = {Journal of Econometrics},
  year = {2001},
  volume = {100},
  pages = {11--15},
  number = {1},
  publisher = {Elsevier}
}

@ARTICLE{Geweke1996,
  author = {Geweke, John},
  title = {{Bayesian reduced rank regression in econometrics}},
  journal = {Journal of Econometrics},
  year = {1996},
  volume = {75},
  pages = {121-146},
  number = {1},
  url = {https://ideas.repec.org/a/eee/econom/v75y1996i1p121-146.html}
}

@ARTICLE{Geweke2010,
  author = {Geweke, John and Amisano, Gianni},
  title = {Comparing and evaluating Bayesian predictive distributions of asset
	returns},
  journal = {International Journal of Forecasting},
  year = {2010},
  volume = {26},
  pages = {216--230},
  number = {2},
  owner = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2014.10.22}
}

@ARTICLE{geweke2006bayesian,
  author = {Geweke, John and Whiteman, Charles},
  title = {Bayesian forecasting},
  journal = {Handbook of economic forecasting},
  year = {2006},
  volume = {1},
  pages = {3--80},
  publisher = {Elsevier}
}

@ARTICLE{Giannone2013,
  author = {Giannone, Domenico and Lenza, Michele and Momferatou, Daphne and
	Onorante, Luca},
  title = {{Short-term inflation projections: a Bayesian vector autoregressive
	approach}},
  journal = {International Journal of Forecasting},
  year = {2013},
  owner = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2014.10.22}
}

@TECHREPORT{giannone2012prior,
  author = {Giannone, Domenico and Lenza, Michele and Primiceri, Giorgio E},
  title = {Prior selection for vector autoregressions},
  institution = {National Bureau of Economic Research},
  year = {2012}
}

@ARTICLE{Giannone2009,
  author = {Giannone, Domenico and Reichlin, Lucrezia},
  title = {{Comments on "Forecasting economic and financial variables with global
	VARs"}},
  journal = {International Journal of Forecasting},
  year = {2009},
  volume = {25},
  pages = {684-686},
  number = {4},
  month = {October},
  abstract = {No abstract is available for this item.},
  url = {http://ideas.repec.org/a/eee/intfor/v25y2009i4p684-686.html}
}

@ARTICLE{gneiting2005calibrated,
  author = {Gneiting, Tilmann and Raftery, Adrian E and Westveld III, Anton H
	and Goldman, Tom},
  title = {Calibrated probabilistic forecasting using ensemble model output
	statistics and minimum CRPS estimation},
  journal = {Monthly Weather Review},
  year = {2005},
  volume = {133},
  pages = {1098--1118},
  number = {5}
}



@TechReport{Benecka2018,
  author={Sona Benecka and Ludmila Fadejeva and Martin Feldkircher},
  title={{Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe}},
  year=2018,
  month=Oct,
  institution={Latvijas Banka},
  type={Working Papers},
  url={https://ideas.repec.org/p/ltv/wpaper/201804.html},
  number={2018/04},
  abstract={This paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modelling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity.},
  keywords={euro area monetary policy; global vector autoregression; spillovers},
  doi={},
}



@TECHREPORT{Gobbi2011,
  author = {Alessandro Gobbi and Tim Willems},
  title = {{Identifying US Monetary Policy Shocks through Sign Restrictions
	in Dollarized Countries}},
  institution = {Tinbergen Institute},
  year = {2011},
  type = {Tinbergen Institute Discussion Papers},
  number = {11-145/2},
  month = Oct,
  abstract = {Since dollarized countries import US monetary policy, identifying
	US monetary shocks through sign restrictions on US variables only,
	does not use all available information. In this paper we therefore
	include dollarized countries,which enable us to restrict more variables
	and leave the responses of US output and prices unrestricted (to
	allow for the working capital view of monetary shocks). We find only
	little evidence for the latter in the US, as prices fall immediately
	after most contractionary shocks that we identify. Furthermore, monetary
	shocks do not seem to have a clear effect on real GDP.},
  keywords = {Monetary policy effects; Price puzzle; Structural VARs; Identification},
  url = {http://ideas.repec.org/p/dgr/uvatin/20110145.html}
}

@article{Greenwood2012,
  author = {Greenwood-Nimmo, Matthew and Nguyen, Viet Hoang and Shin, Yongcheol},
  title = {{Probabilistic Forecasting of Output Growth, Inflation and the Balance
	of Trade in a GVAR Framework}},
  journal = {Journal of Applied Econometrics},
  year = {2012},
  volume = {27},
  pages = {554-573},
  owner = {mfeldk},
  timestamp = {2013.06.07}
}

@ARTICLE{griffin2010inference,
  author = {Griffin, Jim E and Brown, Philip J},
  title = {Inference with normal-gamma prior distributions in regression problems},
  journal = {Bayesian Analysis},
  year = {2010},
  volume = {5},
  pages = {171--188},
  number = {1},
  publisher = {International Society for Bayesian Analysis}
}

@TECHREPORT{Gross2013,
  author = {Gross, Marco},
  title = {Estimating GVAR weight matrices},
  institution = {ECB},
  year = {2013},
  type = {Working Paper Series},
  number = {1523 / march 2013},
  month = March
}

@ARTICLE{Han2011,
  author = {Han, Fei and Ng, Thiam Hee},
  title = {{ASEAN-5 Macroeconomic Forecasting Using a GVAR Model}},
  journal = {Asian Development Bank, Working Series on Regional Economic Integration},
  year = {2011},
  volume = {76},
  owner = {mfeldk},
  timestamp = {2013.06.07}
}

@ARTICLE{hendry2003economic,
  author = {Hendry, David F and Clements, Michael P},
  title = {Economic forecasting: Some lessons from recent research},
  journal = {Economic Modelling},
  year = {2003},
  volume = {20},
  pages = {301--329},
  number = {2},
  publisher = {Elsevier}
}

@ARTICLE{hersbach2000decomposition,
  author = {Hersbach, Hans},
  title = {Decomposition of the continuous ranked probability score for ensemble
	prediction systems},
  journal = {Weather and Forecasting},
  year = {2000},
  volume = {15},
  pages = {559--570},
  number = {5}
}

@ARTICLE{Holt1957,
  author = {Holt, C. E.},
  title = {{Forecasting trends and seasonal by exponentially weighted averages}},
  journal = {ONR Memorandum, Carnegie Institute of Technology, Pittsburgh, USA},
  year = {1957},
  volume = {52},
  owner = {Martin},
  timestamp = {2009.01.05}
}

@ARTICLE{Honaker2010,
  author = {Honaker, James and King, Gary},
  title = {{What to do About Missing Values in Time Series Cross-Section Data}},
  journal = {American Journal of Political Science},
  year = {2010},
  volume = {54},
  pages = {561-581},
  number = {2},
  owner = {mfeldk},
  timestamp = {2012.06.22}
}

@ARTICLE{Horvath2008,
  author = {Horv\'{a}th, Roman and Rusn\'{a}k, Marek},
  title = {{How Important Are Foreign Shocks in Small Open Economy? The Case
	of Slovakia}},
  journal = {Global Economy Journal},
  year = {2009},
  volume = {9},
  pages = {1524-1561},
  number = {1},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Hajek2018,
  author = {H\'{a}jek, Jan and Horv\'{a}th, Roman},
  title = {{International spillovers of (un)conventional monetary policy: The
effect of the ECB and the US Fed on non-euro EU countries}},
  journal = {Economic Systems},
  year = {2018},
  volume = {42},
  pages = {91-105},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@Article{Halova2017,
  author      = {Roman Horv\'{a}th and Kl\'{a}ra Vosl\'{a}\v{r}ov\'{a}},
  title       = {{International spillovers of ECB's unconventional monetary policy: the effect on Central Europe}},
  journal     = {Applied Economics},
  year        = {2017},
  volume      = {49},
  number      = {24},
  pages       = {2352--2364},
  abstract    = {We examine how unconventional monetary policy of the European Central
	Bank influences macroeconomic stability in Central and Eastern European
	economies. We estimate various panel vector autoregressions using
	monthly data from 2008-2014. Using the shadow policy rate and central
	bank assets as measures of unconventional policies, we find that
	output and prices in Central and Eastern Europe temporarily increase
	following an expansionary unconventional monetary policy shock by
	the European Central Bank. Using both impulse responses and variance
	decompositions, we find that the effect of unconventional policies
	on output is much stronger than the effect on inflation. In addition,
	our results provide evidence that unconventional policy tends to
	reduce market uncertainty and domestic interest rates but that the
	effect on the real exchange rate is not significant.},
  institution = {Institut fÃƒÂ¼r Ost- und SÃƒÂ¼dosteuropaforschung (Institute for East and South-East European Studies)},
  keywords    = {Unconventional Monetary Policy; ECB; Central and Eastern Europe; Panel Vector Autoregression},
  url         = {https://ideas.repec.org/p/ost/wpaper/351.html},
}

@ARTICLE{Huber2016,
  author = {Huber, Florian},
  title = {Density forecasting using Bayesian global vector autoregressions
	with stochastic volatility},
  journal = {International Journal of Forecasting},
  year = {2016},
  volume = {32},
  pages = {818--837},
  number = {3},
  publisher = {Elsevier}
}


@article{Fernando2009,
    author = {Alvarez, Fernando and Atkeson, Andrew and Edmond, Chris},
    title = "{Sluggish Responses of Prices and Inflation to Monetary Shocks in an Inventory Model of Money Demand*}",
    journal = {The Quarterly Journal of Economics},
    volume = {124},
    number = {3},
    pages = {911-967},
    year = {2009},
    month = {08},
    abstract = "{We examine the responses of prices and inflation to monetary shocks in an inventory-theoretic model of money demand. We show that the price level responds sluggishly to an exogenous increase in the money stock because the dynamics of households' money inventories leads to a partially offsetting endogenous reduction in velocity. We also show that inflation responds sluggishly to an exogenous increase in the nominal interest rate because changes in monetary policy affect the real interest rate. In a quantitative example, we show that this nominal sluggishness is substantial and persistent if inventories in the model are calibrated to match U.S. households' holdings of M2.}",
    issn = {0033-5533},
    doi = {10.1162/qjec.2009.124.3.911},
    url = {https://dx.doi.org/10.1162/qjec.2009.124.3.911},
    eprint = {http://oup.prod.sis.lan/qje/article-pdf/124/3/911/5377873/124-3-911.pdf},
}



@TECHREPORT{Ilzetzki2013,
  author = {Ilzetzki, Ethan and Jin, Keyu},
  title = {{The Puzzling Change in the International Transmission of U.S. Macroeconomic
	Policy Shocks}},
  institution = {London School of Economics},
  year = {2013},
  owner = {FELDKIRC},
  timestamp = {2014.06.02},
  url = {{http://personal.lse.ac.uk/jink/}}
}

@TECHREPORT{IMF2012,
  author = {IMF},
  title = {Spillover Report},
  institution = {IMF Policy Papers},
  year = {2012},
  note = {Retrieved from \url{http://www.imf.org/external/np/pp/eng/2012/070912.pdf}},
  owner = {FELDKIRC},
  timestamp = {2013.04.16}
}

@ARTICLE{Ito2008,
  author = {Ito, Katsuya},
  title = {Oil price and macroeconomy in Russia},
  journal = {Economics Bulletin},
  year = {2008},
  volume = {17},
  pages = {1-9},
  number = {17},
  owner = {feldkirc},
  timestamp = {2012.08.29}
}

@ARTICLE{Jarocinski2010,
  author = {Jaroci\'{n}ski, Marek},
  title = {{Responses to Monetary Policy Shocks in the East and the West of
	Europe: A Comparison}},
  journal = {Journal of Applied Econometrics},
  year = {2010},
  volume = {25},
  pages = {833-868},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Jimenez2010,
  author = {Jim\'{e}nez-Rodriguez, Rebeca and Morales-Zumaquero, Amalia and Bal\'{a}zs,
	\'{E}gert},
  title = {{The VARying Effect of Foreign Shocks in Central and Eastern Europe}},
  journal = {Journal of Policy Modelling},
  year = {2010},
  volume = {32},
  pages = {461-477},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@BOOK{Johansen1995,
  title = {{Likelihood-Based Inference in Cointegrated Vector Autoregressive
	Models}},
  publisher = {Oxford University Press, New York},
  year = {1995},
  author = {Johansen, S.},
  owner = {mfeldk},
  timestamp = {2012.06.19}
}

@BOOK{Juselius2006,
  title = {{The Cointegrated VAR Model: Methodology and Applications}},
  publisher = {Oxford University Press, New York},
  year = {2006},
  author = {Juselius, Katarina},
  owner = {mfeldk},
  timestamp = {2012.06.19}
}

@ARTICLE{kadiyala1997numerical,
  author = {Kadiyala, K and Karlsson, Sune},
  title = {{Numerical Methods for Estimation and Inference in Bayesian VAR-Models}},
  journal = {Journal of Applied Econometrics},
  year = {1997},
  volume = {12},
  pages = {99--132},
  number = {2},
  owner = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2013.10.10}
}

@ARTICLE{Kadiyala1993,
  author = {Kadiyala, K and Karlsson, Sune},
  title = {Forecasting with generalized bayesian vector auto regressions},
  journal = {Journal of Forecasting},
  year = {1993},
  volume = {12},
  pages = {365--378},
  number = {3-4},
  owner = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2013.10.10}
}

@ARTICLE{Karlsson2012,
  author = {Karlsson, Sune},
  title = {{Forecasting with Bayesian Vector Autoregressions}},
  journal = {\"{O}rebro University Working Paper},
  year = {2012},
  volume = {12/2012},
  owner = {FELDKIRC},
  timestamp = {2013.07.24}
}

@ARTICLE{Kass1995,
  author = {Kass, R. and Raftery, A.},
  title = {{Bayes Factors}},
  journal = {Journal of the American Statistical Association},
  year = {1995},
  volume = {90},
  pages = {773-795},
  owner = {FELDKIRC},
  timestamp = {2014.03.26}
}

@Article{Kastner2016,
  author   = {Gregor Kastner},
  title    = {{Dealing with Stochastic Volatility in Time Series Using the R Package stochvol}},
  journal  = {Journal of Statistical Software},
  year     = {2016},
  volume   = {69},
  number   = {1},
  pages    = {1--30},
  issn     = {1548-7660},
  doi      = {10.18637/jss.v069.i05},
  keywords = {Bayesian inference; Markov chain Monte Carlo (MCMC); auxiliary mixture sampling; ancillarity-sufficiency interweaving strategy (ASIS); state-space model; heteroskedasticity; financial time series},
  url      = {https://www.jstatsoft.org/index.php/jss/article/view/v069i05},
}

@Article{Kastner2014,
  author    = {Kastner, Gregor and Fr{\"u}hwirth-Schnatter, Sylvia},
  title     = {Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models},
  journal   = {Computational Statistics \& Data Analysis},
  year      = {2014},
  volume    = {76},
  pages     = {408--423},
  publisher = {Elsevier},
}

@ARTICLE{Kazi2013,
  author = {Kazi, Irfan Akbar and Wagan, Hakimzadi and Akbar, Farhan},
  title = {{The changing international transmission of U.S. monetary policy
	shocks: Is there evidence of contagion effect on OECD countries}},
  journal = {Economic Modelling},
  year = {2013},
  volume = {30},
  pages = {90-116},
  owner = {FELDKIRC},
  timestamp = {2014.02.03}
}

@ARTICLE{Kilian2009,
  author = {Lutz Kilian},
  title = {Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply
	Shocks in the Crude Oil Market},
  journal = {American Economic Review},
  year = {2009},
  volume = {99},
  pages = {1053-69},
  number = {3},
  month = {June},
  abstract = {Shocks to the real price of oil may reflect oil supply shocks, shocks
	to the global demand for all industrial commodities, or demand shocks
	that are specific to the crude oil market. Each shock has different
	effects on the real price of oil and on US macroeconomic aggregates.
	Changes in the composition of shocks help explain why regressions
	of macroeconomic aggregates on oil prices tend to be unstable. Evidence
	that the recent surge in oil prices was driven primarily by global
	demand shocks helps explain why this shock so far has failed to cause
	a major recession in the United States. (JEL E31, E32, Q41, Q43)},
  owner = {FELDKIRC},
  timestamp = {2014.04.15},
  url = {http://ideas.repec.org/a/aea/aecrev/v99y2009i3p1053-69.html}
}

@ARTICLE{Kilian2012,
  author = {Lutz Kilian and Daniel P. Murphy},
  title = {{Why Agnostic Sign Restrictions Are Not Enough: Understanding The
	Dynamics Of Oil Market Var Models}},
  journal = {Journal of the European Economic Association},
  year = {2012},
  volume = {10},
  pages = {1166-1188},
  number = {5},
  month = {October},
  abstract = {Sign restrictions on the responses generated by structural vector
	autoregressive models have been proposed as an alternative approach
	to the use of exclusion restrictions on the impact multiplier matrix.
	In recent years such models have been increasingly used to identify
	demand and supply shocks in the market for crude oil. We demonstrate
	that sign restrictions alone are insufficient to infer the responses
	of the real price of oil to such shocks. Moreover, the conventional
	assumption that all admissible models are equally likely is routinely
	violated in oil market models, calling into question the use of median
	responses to characterize the responses to structural shocks. When
	combining sign restrictions with additional empirically plausible
	bounds on the magnitude of the short-run oil supply elasticity and
	on the impact response of real activity, however, it is possible
	to reduce the set of admissible model solutions to a small number
	of qualitatively similar estimates. The resulting model estimates
	are broadly consistent with earlier results regarding the relative
	importance of demand and supply shocks for the real price of oil
	based on structural VAR models identified by exclusion restrictions,
	but imply very different dynamics from the median responses in VAR
	models based on sign restrictions only.<P>(This abstract was borrowed
	from another version of this item.)},
  url = {http://ideas.repec.org/a/bla/jeurec/v10y2012i5p1166-1188.html}
}

@ARTICLE{Kim2001,
  author = {Kim, Soyoung},
  title = {{International transmission of U.S. monetary policy shocks: Evidence
	from VAR's}},
  journal = {Journal of Monetary Economics},
  year = {2001},
  volume = {48},
  pages = {339-372},
  number = {2},
  month = {October},
  abstract = {No abstract is available for this item.},
  owner = {FELDKIRC},
  timestamp = {2014.04.15},
  url = {http://ideas.repec.org/a/eee/moneco/v48y2001i2p339-372.html}
}

@ARTICLE{Kolodziej2013,
  author = {Kolodziej, Marek and Kaufmann, Robert. K.},
  title = {{Oil demand shocks reconsidered: A cointegrated vector autoregression}},
  journal = {Energy Economics},
  year = {2013},
  volume = {forthcoming},
  owner = {FELDKIRC},
  timestamp = {2014.02.07}
}

@BOOK{koop2010bayesian,
  title = {Bayesian multivariate time series methods for empirical macroeconomics},
  publisher = {Now Publishers Inc},
  year = {2010},
  author = {Koop, Gary and Korobilis, Dimitris},
  volume = {3},
  number = {4}
}

@ARTICLE{Koop1996,
  author = {Koop, Gary and Pesaran, M. Hashem and Potter, Simon M.},
  title = {{Impulse response analysis in nonlinear multivariate models}},
  journal = {Journal of Econometrics},
  year = {1996},
  volume = {74},
  pages = {119-147},
  number = {1},
  month = {September}
}

@ARTICLE{Koop2013,
  author = {Koop, Gary M},
  title = {Forecasting with medium and large Bayesian VARs},
  journal = {Journal of Applied Econometrics},
  year = {2013},
  volume = {28},
  pages = {177--203},
  number = {2},
  owner = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2014.10.22}
}

@ARTICLE{Korhonen2010,
  author = {Korhonen, Ikka and Ledyaeva, S.},
  title = {{Trade linkages and macroeconomic effects of the price of oil}},
  journal = {Energy Economics},
  year = {2010},
  volume = {32},
  pages = {848-856},
  number = {4},
  owner = {mfeldk},
  timestamp = {2012.08.22}
}

@ARTICLE{Krznar2010,
  author = {Krznar, Ivo and Kunovac, Davor},
  title = {{Impact of External Shocks on Domestic Inflation and GDP}},
  journal = {Croatian Nationalbank, Working Paper Series},
  year = {2010},
  volume = {W-26},
  owner = {mfeldk},
  timestamp = {2012.07.18}
}

@ARTICLE{Kwiatkowski1992,
  author = {Kwiatkowski, D. and Phillips, P. C. B. and Schmidt, P. and Shin,
	Y.},
  title = {{Testing the Null Hypothesis of Stationarity against the Alternative
	of a Unit Root}},
  journal = {Journal of Econometrics},
  year = {1992},
  volume = {54},
  pages = {159-178},
  owner = {Martin},
  timestamp = {2009.01.05}
}

@BOOK{Lutkepohl1993,
  title = {{Introduction to Multiple Time Series Analysis}},
  publisher = {Springer, Berlin},
  year = {1993},
  author = {L\"{u}tkepohl, Helmut},
  owner = {mfeldk},
  timestamp = {2012.06.19}
}

@BOOK{LeSage2009,
  title = {{Introduction to Spatial Econometrics}},
  publisher = {CRC Press Taylor \& Francis Group, Boca Raton, London, New York},
  year = {2009},
  author = {LeSage, James P. and Pace, R. Kelley},
  owner = {FELDKIRC},
  timestamp = {2014.04.17}
}

@ARTICLE{Ley2010,
  author = {Ley, Eduardo and Steel, Mark F.J.},
  title = {{Mixtures of g-priors for Bayesian model averaging with economic
	applications}},
  journal = {Journal of Econometrics},
  year = {2012},
  volume = {171},
  pages = {251-266},
  number = {2},
  abstract = {We examine the issue of variable selection in linear regression modelling,
	where we have a potentially large amount of possible covariates and
	economic theory offers insufficient guidance on how to select the
	appropriate subset. In this context, Bayesian Model Averaging presents
	a formal Bayesian solution to dealing with model uncertainty. Our
	main interest here is the effect of the prior on the results, such
	as posterior inclusion probabilities of regressors and predictive
	performance. We combine a Binomial-Beta prior on model size with
	a g-prior on the coefficients of each model. In addition, we assign
	a hyperprior to g, as the choice of g has been found to have a large
	impact on the results. For the prior on g, we examine the Zellner-Siow
	prior and a class of Beta shrinkage priors, which covers most choices
	in the recent literature. We propose a benchmark Beta prior, inspired
	by earlier findings with fixed g, and show it leads to consistent
	model selection. The effect of this prior structure on penalties
	for complexity and lack of fit is described in some detail. Inference
	is conducted through a Markov chain Monte Carlo sampler over model
	space and g. We examine the performance of the various priors in
	the context of simulated and real data. For the latter, we consider
	two important applications in economics, namely cross-country growth
	regression and returns to schooling. Recommendations to applied users
	are provided.},
  keywords = {Complexity penalty; Consistency; Model uncertainty; Posterior odds;
	Prediction; Robustness},
  url = {http://ideas.repec.org/a/eee/econom/v171y2012i2p251-266.html}
}

@ARTICLE{Litterman1986,
  author = {R.B. Litterman},
  title = {{Forecasting with Bayesian vector autoregressions - Five years of
	experience}},
  journal = {Journal of Business and Economic Statistics},
  year = {1986},
  volume = {5},
  pages = {25-38},
  owner = {mfeldk},
  timestamp = {2013.06.15}
}

@TECHREPORT{Lombardi2014,
  author = {Lombardi, Marco Jacopo and Zhu, Feng},
  title = {{A shadow policy rate to calibrate US monetary policy at the zero
	lower bound}},
  institution = {Bank for International Settlements},
  year = {2014},
  type = {BIS Working Papers},
  number = {452},
  month = Jun,
  abstract = {The recent global financial crisis, the Great Recession and the subsequent
	implementation of a variety of unconventional policy measures have
	raised the issue of how to correctly measure the stance of monetary
	policy when policy interest rates reach the zero lower bound (ZLB).
	In this paper, we propose a new \&quot;shadow policy rate\&quot;
	for the US economy, using a large set of data representing the various
	facets of the US Federal Reserve's policy stance. Changes in term
	premia at various maturities and asset purchases by the Fed are key
	drivers of this shadow rate. We document that our shadow policy rate
	tracks the effective federal funds rate very closely before the recent
	crisis. More importantly, it provides a reasonable gauge of US monetary
	policy stance when the ZLB becomes binding. This facilitates the
	assessment of the policy stance against familiar Taylor rule benchmarks.
	Finally, we show that in structural vector autoregressive (VAR) models,
	the shadow policy rate helps identify monetary policy shocks that
	better reflect the Federal Reserve's unconventional policy measures.},
  keywords = {unconventional monetary policy; zero lower bound; shadow policy rate;
	federal funds rate; dynamic fa},
  url = {http://ideas.repec.org/p/bis/biswps/452.html}
}

@ARTICLE{Luetkepohl2011,
  author = {Helmut Luetkepohl},
  title = {{Vector Autoregressive Models}},
  year = {2011},
  number = {ECO2011/30},
  institution = {European University Institute},
  owner = {LudmilaF},
  timestamp = {2014.08.20},
  type = {Economics Working Papers},
  url = {http://ideas.repec.org/p/eui/euiwps/eco2011-30.html}
}

@ARTICLE{Mackowiak2006,
  author = {Ma\'{c}kowiak, Bartosz},
  title = {{How much of the Macroeconomic Variation in Eastern Europe is Attributable
	to External Shocks?}},
  journal = {Comparative Economic Studies},
  year = {2006},
  volume = {48},
  pages = {423-544},
  number = {3},
  owner = {mfeldk},
  timestamp = {2012.07.23}
}

@ARTICLE{Mackowiak2007,
  author = {Mackowiak, Bartosz},
  title = {External shocks, U.S. monetary policy and macroeconomic fluctuations
	in emerging markets},
  journal = {Journal of Monetary Economics},
  year = {2007},
  volume = {54},
  pages = {2512-2520},
  number = {8},
  month = {November},
  abstract = {Using structural VARs, I find that external shocks are an important
	source of macroeconomic fluctuations in emerging markets. Furthermore,
	U.S. monetary policy shocks affect quickly and strongly interest
	rates and the exchange rate in a typical emerging market. The price
	level and real output in a typical emerging market respond to U.S.
	monetary policy shocks by more than the price level and real output
	in the U.S. itself. These findings are consistent with the idea that
	???when the U.S. sneezes, emerging markets catch a cold.??? At the
	same time, U.S. monetary policy shocks are not important for emerging
	markets relative to other kinds of external shocks.<P>(This abstract
	was borrowed from another version of this item.)},
  owner = {FELDKIRC},
  timestamp = {2014.04.15},
  url = {http://ideas.repec.org/a/eee/moneco/v54y2007i8p2512-2520.html}
}

@ARTICLE{mad95,
  author = {Madigan, D. and York, J.},
  title = {{Bayesian graphical models for discrete data}},
  journal = {International Statistical Review},
  year = {1995},
  volume = {63},
  pages = {215-232},
  owner = {FELDKIRC},
  timestamp = {2010.01.12}
}

@ARTICLE{Matesanz2012,
  author = {Matesanz G\'{o}mez, David and Ortega, Guillermo J. and Torgler, Benno},
  title = {{Synchronization and Diversity in Business Cycles: A Network Approach
	Applied to the European Union}},
  journal = {Queensland University of Technology, Discussion Paper and Working
	Paper Series},
  year = {2012},
  volume = {277},
  owner = {feldkirc},
  timestamp = {2012.09.11}
}

@ARTICLE{Minea2011,
  author = {Minea, Alexandru and Rault, Christophe},
  title = {{External Monetary Shocks and Monetary Integration: Evidence from
	the Bulgarian Currency Board}},
  journal = {Economic Modelling},
  year = {2011},
  volume = {28},
  pages = {2271-2281},
  number = {5},
  owner = {feldkirc},
  timestamp = {2012.08.29}
}

@Article{Mumtaz2009,
  author    = {Haroon Mumtaz and Paolo Surico},
  journal   = {Journal of Money, Credit and Banking},
  title     = {The Transmission of International Shocks: A Factor-Augmented VAR Approach},
  year      = {2009},
  month     = {02},
  number    = {s1},
  pages     = {71-100},
  volume    = {41},
  abstract  = {The empirical literature on the transmission of international shocks
	is based on \&quot;small\&quot;-scale VARs. In this paper, we use
	a \&quot;large\&quot; panel of data for 17 industrialized countries
	to investigate the international transmission mechanism, and revisit
	the anomalies that arise in the empirical literature. We propose
	a factor augmented VAR (FAVAR) that extends the model in Bernanke,
	Boivin, and Eliasz (2005) to the open economy. The main results can
	be summarized as follows. First, the dynamic effects on the UK economy
	of an unanticipated fall of short-term interest rates in the rest
	of the world are: real house price inflation, investment, GDP and
	consumption growth peak after 1 year, wages peak after 2 years, and
	CPI and GDP deflator inflation peak during the third year. Second,
	a positive international supply shock makes the distribution of the
	components of the UK consumption deflator negatively skewed. Third,
	in response to a domestic monetary shock, we find little evidence
	of the exchange rate and liquidity puzzles and little evidence of
	the forward discount and price anomalies. Copyright (c) 2009 Crown
	Copyright.},
  owner     = {FELDKIRC},
  timestamp = {2014.04.15},
  url       = {http://ideas.repec.org/a/mcb/jmoncb/v41y2009is1p71-100.html},
}

@ARTICLE{Naka1997,
  author = {Naka, Atsuyuki and Tufte, David},
  title = {Examining impulse response functions in cointegrated systems},
  journal = {Applied Economics},
  year = {1997},
  volume = {29},
  pages = {1593-1603},
  number = {12},
  owner = {FELDKIRC},
  timestamp = {2017.11.13}
}

@INCOLLECTION{Nickel2013,
  author = {Nickel, C. and Vansteenkiste, I.},
  title = {The international spillover of fiscal spending on financial variables},
  booktitle = {The GVAR Handbook: Structure and Applications of a Macro Model of
	the Global Economy for Policy Analysis},
  publisher = {Oxford University Press},
  year = {2013},
  editor = {Di Mauro, F. and Pesaran, M. H.},
  pages = {182-192},
  owner = {FELDKIRC},
  timestamp = {2017.01.26}
}

@ARTICLE{Paustian2007,
  author = {Paustian, Matthias},
  title = {{Assessing Sign Restrictions}},
  journal = {The B.E. Journal of Macroeconomics},
  year = {2007},
  volume = {7},
  pages = {1-33},
  number = {1},
  month = {August},
  abstract = {This paper assesses sign restrictions via a controlled experiment.
	A researcher estimates a VAR on an infinite amount of data generated
	by a DSGE model. He or she then imposes sign restrictions on impulse
	responses to identify a structural shock while being agnostic about
	the response of a key variable of interest to this shock. Can such
	an agnostic identification procedure pin down the correct sign of
	this unconstrained response?The DSGE models of Erceg, Henderson,
	and Levin (2000), as well as of Smets and Wouters (2003), are used
	as data generating processes. Two conditions must be met for the
	method to unambiguously deliver the correct sign of the unconstrained
	impulse response. First, a sufficiently large number of restrictions
	must be imposed -- more than what is typically imposed in applied
	work. Second, the variance of the shock under study must be sufficiently
	large -- larger than the values provided by Bayesian estimations
	of the DSGE models. Hence, sign restrictions can be a useful tool
	to recover structural shocks from VAR residuals.},
  url = {http://ideas.repec.org/a/bpj/bejmac/v7y2007i1n23.html}
}

@InBook{Peersman2003,
  chapter   = {The monetary transmission mechanism in the euro area: more evidence from VAR analysis},
  pages     = {36--55},
  title     = {Monetary Policy Transmission in the Euro Area},
  publisher = {Cambridge University Press},
  year      = {2003},
  author    = {Peersman, Gert and Smets, F.},
}

@Article{Peersman2005,
  author    = {Gert Peersman},
  journal   = {Journal of Applied Econometrics},
  title     = {{What caused the early millennium slowdown? Evidence based on vector autoregressions}},
  year      = {2005},
  number    = {2},
  pages     = {185-207},
  volume    = {20}
}

@ARTICLE{Pesaran2009,
  author = {Pesaran, M. Hashem and Schuermann, Til and Smith, L. Vanessa},
  title = {{Forecasting economic and financial variables with global VARs}},
  journal = {International Journal of Forecasting},
  year = {2009},
  volume = {25},
  pages = {642-675},
  number = {4},
  owner = {Martin},
  timestamp = {2008.04.22}
}

@ARTICLE{Pesaran2007a,
  author = {Pesaran, M. Hashem and Schuermann, Til and Smith, L. Vanessa},
  title = {{What if the UK or Sweden had joined the euro in 1999? An empirical
	evaluation using a Global VAR}},
  journal = {International Journal of Finance and Economics},
  year = {2007},
  volume = {12},
  pages = {55-87},
  number = {1},
  owner = {Martin},
  timestamp = {2008.04.22}
}

@ARTICLE{Pesaran2004,
  author = {Pesaran, M. Hashem and Schuermann, Til and Weiner, S. M.},
  title = {{Modeling Regional Interdependencies Using a Global Error-Correcting
	Macroeconometric Model}},
  journal = {Journal of Business and Economic Statistics, American Statistical
	Association},
  year = {2004},
  volume = {22},
  pages = {129-162},
  owner = {Martin},
  timestamp = {2008.04.22}
}

@ARTICLE{Pesaran1998,
  author = {Pesaran, M. Hashem and Shin, Yongcheol},
  title = {Generalized impulse response analysis in linear multivariate models},
  journal = {Economics Letters},
  year = {1998},
  volume = {58},
  pages = {17-29},
  number = {1},
  month = {January}
}


@Article{Pesaran2016,
  author={Hashem Pesaran, M. and Smith, Ron P.},
  title={{Counterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing}},
  journal={Research in Economics},
  year=2016,
  volume={70},
  number={2},
  pages={262-280},
  month={},
  keywords={Counterfactuals; Policy analysis; Policy ineffectiveness test; Macroeconomics; Quantitative easing (},
  doi={10.1016/j.rie.2016.01.004},
  abstract={This paper develops tests of policy ineffectiveness when counterfactual outcomes, namely the predicted values of the target variable in the absence of a policy change, are obtained using reduced form or final form â€˜policy response equationsâ€™. The policy response equation explains the target variable by lags of itself and by current and lagged values of the policy variable and policy-invariant exogenous variables. These tests complement those in Pesaran and Smith (2015), which are done in the context of complete systems of macroeconometric dynamic stochastic general equilibrium (DSGE) under rational expectations (RE). While there would be efficiency gains from using the complete system, were it fully known and correctly specified, this is rarely the case. Instead, since the counterfactual is a type of forecast and parsimonious models tend to forecast better than complex ones, we may obtain more reliable estimates of the counterfactual outcomes from a parsimonious policy response equation. We consider two types of policy intervention, a discretionary policy change where there is a deterministic change to the policy variable, and a rule-based policy change where one or more parameters of a stochastic policy rule are changed. We examine the asymptotic distributions and power of the tests under various assumptions. The proposed test for a discretionary policy change is illustrated with an application to the unconventional monetary policy known as quantitative easing (QE) adopted in the UK.},
  url={https://ideas.repec.org/a/eee/reecon/v70y2016i2p262-280.html}
}


@Article{primiceri2005time,
  author    = {Primiceri, Giorgio E.},
  title     = {Time varying structural vector autoregressions and monetary policy},
  journal   = {The Review of Economic Studies},
  year      = {2005},
  volume    = {72},
  number    = {3},
  pages     = {821--852},
  publisher = {Oxford University Press},
}

@ARTICLE{Rautava2004,
  author = {Rautava, Jouko},
  title = {The role of oil prices and the real exchange rate in Russia's economy
	- a cointegration approach},
  journal = {Journal of Comparative Economics},
  year = {2004},
  volume = {32},
  pages = {315-327},
  number = {2},
  owner = {feldkirc},
  timestamp = {2012.08.29}
}

@INPROCEEDINGS{Rodgers1985,
  author = {Rodgers, David P},
  title = {Improvements in multiprocessor system design},
  booktitle = {ACM SIGARCH Computer Architecture News},
  year = {1985},
  volume = {13},
  number = {3},
  pages = {225--231},
  organization = {IEEE Computer Society Press},
  owner = {FELDKIRC},
  timestamp = {2014.10.22}
}

@Article{Ramirez2010,
  author    = {Juan F. Rubio-Ram\'{i}rez and Daniel F. Waggoner and Tao Zha},
  journal   = {Review of Economic Studies},
  title     = {Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference},
  year      = {2010},
  number    = {2},
  pages     = {665-696},
  volume    = {77}
}

@TECHREPORT{Sahay2014,
  author = {Sahay, Ratna and Arora, Vivek and Arvanitis,Thanos and Faruqee, Hamid
	and N'Diaye, Papa and Mancini-Griffoli, Tommaso and an IMF Team},
  title = {{Emerging Market Volatility: Lessons from the Taper Tantrum}},
  institution = {International Monetary Fund},
  year = {2014},
  type = {Staff Discussion Note, IMF},
  number = {SDN/14/09}
}

@ARTICLE{Sims2008,
  author = {Sims, Christopher A.},
  title = {{Improving monetary policy models}},
  journal = {Journal of Economic Dynamics and Control},
  year = {2008},
  volume = {32},
  pages = {2460-2475},
  number = {8},
  month = {August},
  abstract = {If macroeconomic models are to be useful in policy-making, where uncertainty
	is pervasive, the models must be treated as probability models, whether
	formally or informally. Use of explicit probability models allows
	us to learn systematically from past mistakes, to integrate model-based
	uncertainty with uncertain subjective judgment, and to bind data-based
	forecasting together with theory-based projection of policy effects.
	Yet in the last few decades policy models at central banks have steadily
	shed any claims to being believable probability models of the data
	to which they are fit. Here we describe the current state of policy
	modeling, suggest some reasons why we have reached this state, and
	assess some promising directions for future progress.<P>(This abstract
	was borrowed from another version of this item.)},
  url = {http://ideas.repec.org/a/eee/dyncon/v32y2008i8p2460-2475.html}
}

@ARTICLE{Sims1992,
  author = {Sims, Christoper A.},
  title = {{Bayesian Inference for Multivariate Time Series with Trend}},
  journal = {presented at the American statistical Association meetings},
  year = {1992},
  owner = {FELDKIRC},
  timestamp = {2013.10.30}
}

@Article{Sims1990,
  author   = {Sims, Christopher A and Stock, James H and Watson, Mark W},
  journal  = {Econometrica},
  title    = {{Inference in Linear Time Series Models with Some Unit Roots}},
  year     = {1990},
  month    = {January},
  number   = {1},
  pages    = {113-44},
  volume   = {58},
  abstract = {This paper considers estimation and hypothesis testing in linear
	time series when some or all of the variables have (possibly multiple)
	unit roots. The motivating example is a vector autoregression with
	some unit roots in the companion matrix, which might include polynomials
	in time as regressors. Parameters that can be written as coefficients
	on mean zero, nonintegrated regressors have jointly normal asymptotic
	distribution, converging at the rate of T(superscript \&quot;one-half\&quot;)
	In general, the other coefficients (including the coefficient on
	polynomials in time), and associated t and F test statistics, have
	nonstandard asymptotic distributions. Copyright 1990 by The Econometric
	Society.},
  url      = {http://ideas.repec.org/a/ecm/emetrp/v58y1990i1p113-44.html},
}

@ARTICLE{sims2006were,
  author = {Sims, Christopher A and Zha, Tao},
  title = {Were there regime switches in US monetary policy?},
  journal = {The American Economic Review},
  year = {2006},
  volume = {96},
  pages = {54--81},
  number = {1},
  publisher = {American Economic Association}
}

@ARTICLE{Sims1998,
  author = {Sims, C. A. and Zha, T.},
  title = {{Bayesian Methods for Dynamic Multivariate Models}},
  journal = {International Economic Review},
  year = {1998},
  volume = {39},
  pages = {949-968},
  number = {4},
  owner = {mfeldk},
  timestamp = {2013.06.15}
}

@TECHREPORT{Smith2011,
  author = {Smith, L. Vanessa and Galessi, Alessandro},
  title = {{GVAR Toolbox 1.1}},
  year = {2011},
  owner = {LudmilaF},
  timestamp = {2014.08.24},
  url = {www.cfap.jbs.cam.ac.uk/research/gvartoolbox}
}

@ARTICLE{theil1961pure,
  author = {Theil, Henry and Goldberger, Arthur S},
  title = {On pure and mixed statistical estimation in economics},
  journal = {International Economic Review},
  year = {1961},
  volume = {2},
  pages = {65--78},
  number = {1},
  publisher = {JSTOR}
}

@ARTICLE{Timmer2015,
  author = {Timmer, M. P. and Dietzenbacher, E. and Los, B. and Stehrer, R. and
	de Vries, G. J.},
  title = {{An Illustrated User Guide to the World Input-Output Database: the
	Case of Global Automotive Production}},
  journal = {Review of International Economics},
  year = {2015},
  volume = {23},
  pages = {575--605},
  owner = {FELDKIRC},
  timestamp = {2017.01.18}
}

@Article{Uhlig2005,
  author   = {Uhlig, Harald},
  journal  = {Journal of Monetary Economics},
  title    = {{What are the effects of monetary policy on output? Results from an agnostic identification procedure}},
  year     = {2005},
  month    = {March},
  number   = {2},
  pages    = {381-419},
  volume   = {52},
  abstract = {Three programs replicating VAR identification of impulse responses
	with sign restrictions from Uhlig(2005), \&quot;What are the effects
	of monetary policy on output? Results from an agnostic identification
	procedure\&quot;, Journal of Monetary Economics, vol 52, pp. 381-419.<P>(This
	abstract was borrowed from another version of this item.)},
  url      = {http://ideas.repec.org/a/eee/moneco/v52y2005i2p381-419.html},
}

@ARTICLE{Vamvakidis2009,
  author = {Vamvakidis, Athanasios},
  title = {{Convergence in Emerging Europe - Sustainability and Vulnerabilities}},
  journal = {Eastern European Economics},
  year = {2009},
  volume = {47},
  pages = {5-27},
  number = {3},
  owner = {mfeldk},
  timestamp = {2012.08.22}
}

@ARTICLE{Villani2009,
  author = {Mattias Villani},
  title = {{Steady State Priors for Vector Autoregressions}},
  journal = {Journal of Applied Econometrics},
  year = {2009},
  volume = {24:4},
  pages = {630-650},
  doi = {DOI: 10.1002/jae.1065},
  owner = {mfeldk},
  timestamp = {2013.06.15}
}

@ARTICLE{Vonnak2010,
  author = {Vonn\'{a}k, Bal\'{a}zs},
  title = {{Risk premium shocks, monetary policy and exchange rate pass-through
	in the Czech Republic, Hungary and Poland}},
  journal = {{Ensayos sobre Pol\'{i}ticia Econ\'{o}mica}},
  year = {2010},
  volume = {28},
  pages = {306 - 321},
  month = {06},
  issn = {0120-4483},
  language = {en},
  owner = {FELDKIRC},
  publisher = {scieloco},
  timestamp = {2013.04.08},
  url = {http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-44832010000100009&nrm=iso}
}

@ARTICLE{Waggoner1999,
  author = {Waggoner, Daniel F and Zha, Tao},
  title = {Conditional forecasts in dynamic multivariate models},
  journal = {Review of Economics and Statistics},
  year = {1999},
  volume = {81},
  pages = {639--651},
  number = {4},
  publisher = {MIT Press}
}

@ARTICLE{Wallis2004,
  author = {Wallis, Kenneth F.},
  title = {{Comment}},
  journal = {Journal of Business \& Economic Statistics},
  year = {2004},
  volume = {22},
  pages = {172-175},
  month = {April},
  abstract = {No abstract is available for this item.},
  url = {http://ideas.repec.org/a/bes/jnlbes/v22y2004p172-175.html}
}

@BOOK{Wang2002,
  title = {{Financial Econometrics: Methods and Models}},
  publisher = {Routledge, London},
  year = {2002},
  author = {Wang, P. J.},
  owner = {mfeldk},
  timestamp = {2012.07.24}
}

@ARTICLE{Willems2013,
  author = {Willems, Tim},
  title = {{Analyzing the effects of US monetary policy shocks in dollarized
	countries}},
  journal = {European Economic Review},
  year = {2013},
  volume = {61},
  pages = {101-115},
  number = {C},
  abstract = {Identifying monetary policy shocks is difficult. Therefore, instead
	of trying to do this perfectly, this paper exploits a natural setting
	that reduces the consequences of shock misidentification. It does
	so by basing conclusions upon the responses of variables in three
	dollarized countries (Ecuador, El Salvador, and Panama). They import
	US monetary policy just as genuine US states do, but have the advantage
	that non-monetary US shocks are not imported perfectly. Consequently,
	this setting reduces the effects of any mistakenly included non-monetary
	US shocks, while leaving the effects of true monetary shocks unaffected.
	Results suggest that prices fall after monetary contractions; output
	does not show a clear response.},
  keywords = {Monetary policy effects; Price puzzle; Structural VARs; Identification;
	Block exogeneity},
  url = {http://ideas.repec.org/a/eee/eecrev/v61y2013icp101-115.html}
}

@ARTICLE{Winters1960,
  author = {Winters, Peter R.},
  title = {{Forecasting Sales by Exponentially Weighted Moving Averages}},
  journal = {Management Science},
  year = {1960},
  volume = {6},
  pages = {324-342},
  owner = {Martin},
  timestamp = {2009.01.05}
}

@BOOK{zellner1996introduction,
  title = {An introduction to Bayesian inference in econometrics},
  publisher = {Wiley},
  year = {1973},
  author = {Zellner, Arnold},
  owner = {FELDKIRC},
  timestamp = {2013.10.10}
}

@Article{Benati2008,
  author   = {Benati, Luca and Goodhart, Charles},
  title    = {{Investigating time-variation in the marginal predictive power of the yield spread}},
  journal  = {Journal of Economic Dynamics and Control},
  year     = {2008},
  volume   = {32},
  number   = {4},
  pages    = {1236-1272},
  month    = {April},
  abstract = {We use Bayesian time-varying parameters VARs with stochastic volatility
	to investigate changes in the marginal predictive content of the
	yield spread for output growth in the United States and the United
	Kingdom, since the Gold Standard era, and in the Eurozone, Canada,
	and Australia over the post-WWII period. Overall, our evidence does
	not provide much support for either of the two dominant explanations
	why the yield spread may contain predictive power for output growth,
	the monetary policy-based one, and Harvey's [1988. The real term
	structure and output growth. Journal of Financial Economics 22, 305-333]
	'real yield curve' one. Instead, we offer a new conjecture.},
  url      = {http://ideas.repec.org/a/eee/dyncon/v32y2008i4p1236-1272.html},
}

@TechReport{Chudik2014a,
  author      = {Chudik, Alexander and Pesaran, H. M.},
  title       = {{Theory and Practice of GVAR Modeling}},
  institution = {Federal Reserve Bank of Dallas},
  year        = {2014},
  type        = {Working Paper Series},
  number      = {180},
  owner       = {FELDKIRC},
  timestamp   = {2014.09.08},
}

@TechReport{Dovern2014a,
  author      = {Dovern, Jonas and Feldkircher, Martin and Florian Huber},
  title       = {{Does Joint Modeling of the World Economy Pay Off? Evaluating Multivariate Forecasts from a Bayesian GVAR}},
  institution = {Oesterreichische Nationalbank, mimeo.},
  year        = {2014},
  owner       = {FELDKIRC},
  timestamp   = {2014.10.22},
}

@Article{Joyce2017,
  author    = {Joyce, Michael AS and Liu, Zhuoshi and Tonks, Ian},
  title     = {Institutional investors and the QE portfolio balance channel},
  journal   = {Journal of Money, Credit and Banking},
  year      = {2017},
  volume    = {49},
  number    = {6},
  pages     = {1225--1246},
  publisher = {Wiley Online Library},
}

@Article{Bruno2015,
  author  = {Bruno, Valentina and Shin, Hyun Song},
  title   = {{Capital flows and the risk-taking channel of monetary policy}},
  journal = {Journal of Monetary Economics},
  year    = {2015},
  volume  = {71},
  pages   = {119--132},
}

@Article{Kapetanios2012,
  author    = {Kapetanios, George and Mumtaz, Haroon and Stevens, Ibrahim and Theodoridis, Konstantinos},
  title     = {Assessing the economy-wide effects of quantitative easing},
  journal   = {The Economic Journal},
  year      = {2012},
  volume    = {122},
  number    = {564},
  pages     = {F316--F347},
  publisher = {Wiley Online Library},
}

@TechReport{Acharya2017,
  author      = {Acharya, Viral V. and Eisert, Tim and Eufinger, Christian and Hirsch, Christian W.},
  institution = {SAFE Working Paper},
  title       = {{Whatever it Takes: The Real Effects of Unconventional Monetary Policy}},
  year        = {2017},
  number      = {152},
  type        = {Working Paper},
  abstract    = {On July 26, 2012 the ECB's president Mario Draghi announced to do
	``whatever it takes'' to preserve the Euro and subsequently launched
	the Outright Monetary Transactions (OMT) Program, which led to a
	significant increase in the value of sovereign bonds issued by European
	periphery countries. As a result, the OMT announcement indirectly
	recapitalized periphery country banks due to their significant holdings
	of these bonds. However, the regained stability of the European banking
	sector has not fully transferred into economic growth. We show that
	this development can at least partially explained by zombie lending
	motives of banks that still remained undercapitalized after the OMT
	announcement. While banks that benefited from the announcement increased
	their overall loan supply, this supply was mostly targeted towards
	low-quality firms with pre-existing lending relationships with these
	banks. As a result, there was no positive impact on real economic
	activity like employment or investment. Instead, these firms mainly
	used the newly acquired funds to build up cash reserves. Finally,
	we document that creditworthy firms in industries with a prevalence
	of zombie firms suffered significantly from the credit misallocation,
	which slowed down the economic recovery.},
  keywords    = {Unconventional Monetary Policy, Real Effects, Zombie Lending},
  url         = {http://ssrn.com/abstract=2740338},
}

@Article{Aizenman2016,
  author    = {Aizenman, Joshua and Chinn, Menzie D. and Ito, Hiro},
  title     = {Monetary policy spillovers and the trilemma in the new normal: Periphery country sensitivity to core country conditions},
  journal   = {Journal of International Money and Finance},
  year      = {2016},
  volume    = {68},
  pages     = {298--330},
  owner     = {FELDKIRC},
  timestamp = {2017.11.14},
}

@TechReport{Altavilla2015,
  author      = {Altavilla, Carlo and Carboni, Giacomo and Motto, Roberto},
  title       = {{Asset purchase programmes and financial markets: lessons from the euro area}},
  institution = {European Central Bank},
  year        = {2015},
  type        = {Working Paper Series},
  number      = {1864},
  month       = Nov,
  abstract    = {We evaluate the effects on asset prices of the ECB asset purchase
	programme (APP) announced in January 2015 and assess its main transmission
	channels. We do so by first extending a term structure model with
	bond supply effects to account for assets with different types of
	risk premia. We then derive model-based predictions for cross-asset
	price movements associated with the transmission channels identified
	in the model. We finally validate empirically these predictions by
	means of an event- study methodology, reaching the following conclusions:
	The impact of the APP on asset prices is sizeable albeit the programme
	was announced at a time of low financial distress. This may appear
	puzzling in light of existing literature that finds a large impact
	of asset purchases only in periods of high financial distress. Consistent
	with the model, we explain this apparent puzzle by showing how the
	low financial distress, while indeed weakening certain transmission
	channels, has reinforced other channels because of its interplay
	with the asset composition of the programme. Targeting assets at
	long maturity and spanning the investment-grade space have supported
	the duration and the credit channels. At the same time, the low degree
	of financial stress prevailing at announcement of the programme,
	while weakening the local supply channel, has facilitated spill-overs
	to non-targeted assets. JEL Classification: E43, E44, E52, E58, E65,
	G14},
  keywords    = {APP; Event study; LSAP; Quantitative Easing; Yield curve},
  url         = {https://ideas.repec.org/p/ecb/ecbwps/20151864.html},
}

@Article{Altavilla2016,
  author      = {Altavilla, Carlo and Giannone, Domenico and Lenza, Michele},
  title       = {{The Financial and Macroeconomic Effects of OMT Announcements}},
  journal     = {International Journal of Central Banking},
  year        = {2016},
  volume      = {12},
  number      = {3},
  pages       = {29-57},
  month       = {September},
  abstract    = {This study evaluates the macroeconomic effects of Outright Monetary
	Transaction (OMT) announcements by the European Central Bank (ECB).
	Using high-frequency data, we find that OMT announcements decreased
	the Italian and Spanish 2-year government bond yields by about 2
	percentage points, while leaving unchanged the bond yields of the
	same maturity in Germany and France. These results are used to calibrate
	a scenario in a multi-country model describing the macrofinancial
	linkages in France, Germany, Italy, and Spain. The scenario analysis
	suggests that the reduction in bond yields due to OMT announcements
	is associated with a significant increase in real activity, credit,
	and prices in Italy and Spain with relatively muted spillovers in
	France and Germany.},
  institution = {C.E.P.R. Discussion Papers},
  keywords    = {event study; multi-country vector autoregressive model; news; Outright Monetary Transactions},
  type        = {CEPR Discussion Papers},
  url         = {https://ideas.repec.org/p/cpr/ceprdp/10025.html},
}

@Article{Ambler2019,
  author        = {Ambler, Steve and Rumler, Fabio},
  title         = {The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study},
  journal       = {Journal of International Money and Finance},
  volume        = {94},
  pages         = {48--61},
  year          = {2019},
}

@TechReport{Arias2015,
  author      = {Arias, J. and Caldara, D. and Rubio-Ramirez, J.},
  title       = {The systematic component of monetary policy in svars: an agnostic identification procedure},
  institution = {FRB International Finance Discussion Paper},
  year        = {2015},
  number      = {1131},
  owner       = {FELDKIRC},
  timestamp   = {2017.04.10},
}

@TechReport{Baeurle2015,
  author      = {B\"{a}urle, Gregor and Kaufmann, Daniel},
  title       = {{Monetary Policy Regimes in a Small Open Economy Facing the Zero Lower Bound}},
  institution = {KOF Swiss Economic Institute mimeo},
  year        = {2015},
  owner       = {FELDKIRC},
  timestamp   = {2015.03.24},
}

@Article{Barakchian2013,
  author   = {Barakchian, S. Mahdi and Crowe, Christopher},
  title    = {{Monetary policy matters: Evidence from new shocks data}},
  journal  = {Journal of Monetary Economics},
  year     = {2013},
  volume   = {60},
  number   = {8},
  pages    = {950-966},
  abstract = {The evidence suggests that monetary policy post 1988 became more forward-looking,
	invalidating the identifying assumptions in conventional methods
	of measuring monetary policy's effects, leading to spurious and unlikely
	results for this period. We propose a new identification scheme that
	uses factors extracted from Fed Funds futures to measure exogenous
	changes in policy. Using this shock series in a VAR, we recover the
	contractionary effect of monetary tightening on output. Moreover,
	we find that as much as half of the variability in output was driven
	by monetary policy shocks, and that there is a mild price puzzle.},
  keywords = {Monetary policy; VAR estimation; Fed Funds futures; FOMC},
  url      = {http://ideas.repec.org/a/eee/moneco/v60y2013i8p950-966.html},
}

@Article{Bech2014,
  author    = {Bech, Morten L. and Gambacorta, Leonardo and Kharroubi, Enisse},
  title     = {{Monetary Policy in a Downturn: Are Financial Crises Special?}},
  journal   = {International Finance},
  year      = {2014},
  volume    = {17},
  number    = {1},
  pages     = {99--119},
  issn      = {1468-2362},
  doi       = {10.1111/infi.12040},
  owner     = {FELDKIRC},
  timestamp = {2015.02.25},
  url       = {http://dx.doi.org/10.1111/infi.12040},
}

@TechReport{Beckmann2017,
  author      = {Beckmann, J and Koop, G and Korobilis, D and Sch\"{u}ssler, R},
  title       = {{Exchange rate predictability and dynamic Bayesian learning}},
  institution = {University of Essex, Essex Business School},
  year        = {2017},
  type        = {Essex Finance Centre Working Papers},
  number      = {20781},
  month       = Dec,
  abstract    = {This paper considers how an investor in foreign exchange markets might exploit predictive information in macroeconomic fundamentals by allowing for switching between multivariate time series regression models. These models are chosen to reflect a wide array of established empirical and theoretical stylized facts. In an application involving monthly exchange rates for seven countries, we find that an investor using our methods to dynamically allocate assets achieves significant gains relative to benchmark strategies. In particular, we find strong evidence for fast model switching, with most of the time only a small set of macroeconomic fundamentals being relevant for forecasting.},
  url         = {https://ideas.repec.org/p/esy/uefcwp/20781.html},
}

@Article{Bekaert2013,
  author    = {Bekaert, Geert and Hoerova, Marie and {Lo Duca}, Marco},
  title     = {Risk, uncertainty and monetary policy},
  journal   = {Journal of Monetary Economics},
  year      = {2013},
  volume    = {60},
  pages     = {771-788},
  owner     = {FELDKIRC},
  timestamp = {2017.10.19},
}

@Article{Bernanke1992,
  author   = {Bernanke, Ben S and Blinder, Alan S},
  journal  = {American Economic Review},
  title    = {{The Federal Funds Rate and the Channels of Monetary Transmission}},
  year     = {1992},
  month    = {September},
  number   = {4},
  pages    = {901-21},
  volume   = {82},
  abstract = {The authors show that the interest rate on Federal funds is extremely
	informative about future movements of real macroeconomic variables.
	Then they argue that the reason for this forecasting success is that
	the funds rate sensitively records shocks to the supply of bank reserves;
	that is, the funds rate is a good indicator of monetary policy actions.
	Finally, using innovations to the funds rate as a measure of changes
	in policy, the authors present evidence consistent with the view
	that monetary policy works at least in part through \&quot;credit\&quot;
	(i.e., bank loans) as well as through \&quot;money\&quot; (i.e.,
	bank deposits). Copyright 1992 by American Economic Association.},
  url      = {http://ideas.repec.org/a/aea/aecrev/v82y1992i4p901-21.html},
}

@Article{Bernanke1988,
  author    = {Bernanke, Ben S. and Blinder, Alan S.},
  title     = {{Credit, Money, and Aggregate Demand}},
  journal   = {American Economic Review},
  year      = {1988},
  volume    = {78},
  number    = {2},
  pages     = {435-439},
  owner     = {mfeldk},
  timestamp = {2015.02.04},
}

@Article{Bernanke2005,
  author    = {Bernanke, Ben S. and Boivin, Jean and Eliasz, Piotr},
  title     = {{Measuring The Effects Of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach}},
  journal   = {Quarterly Journal of Economics},
  year      = {2005},
  pages     = {387-422},
  owner     = {FELDKIRC},
  timestamp = {2017.04.10},
}

@Article{Bernanke2005a,
  author    = {Bernanke, B. S. and Kuttner, K. N.},
  title     = {What explains the stock market's reaction to federal reserve policy?},
  journal   = {Journal of Finance},
  year      = {2005},
  volume    = {60},
  number    = {3},
  pages     = {1221-1257},
  owner     = {FELDKIRC},
  timestamp = {2017.10.19},
}

@TechReport{Black2007,
  author      = {Black, Lamont and Hancock, Diana and Passmore, Waynee},
  title       = {{Bank Core Deposits and the Mitigation of Monetary Policy}},
  institution = {Federal Reserve Board Finance and Economics Discussion series},
  year        = {2007},
  number      = {65},
  owner       = {FELDKIRC},
  timestamp   = {2015.09.30},
}

@TechReport{Blattner2010,
  author      = {Blattner, Tobias and Margaritov, Emil},
  title       = {{Towards a robust monetary policy rule for the euro area}},
  institution = {European Central Bank},
  year        = {2010},
  type        = {Working Paper Series, European Central Bank},
  number      = {1210},
  month       = Jun,
  abstract    = {Estimations of simple monetary policy rules are often very rigid.
	Standard practice requires that a decision is made as to which indicators
	the central bank is assumed to respond to, ignoring the data-rich
	environment in which policy-makers typically form their decisions.
	However, the choice of the feedback variables in the estimations
	of simple rules bears non-trivial implications for the prescriptions
	borne from these rules. This paper addresses this issue for the euro
	area using a new comprehensive real-time database for the euro area
	and examines the ECB???s past interest-rate setting behaviour in
	two complementary ways that are designed to deal with both model
	and data uncertainty. In a first step we follow the ???thick-modelling???
	approach suggested by Granger and Jeon (2004) and estimate a series
	of 3,330 policy rules. In a second step we employ a factor-model
	approach similar to Bernanke and Boivin (2003) for the US Fed, but
	with structurally interpretable factors ? la Belviso and Milani (2006).
	Taken together, we find a strong justification for the need of adopting
	robust approaches to describe the historical evolution of euro area
	monetary policy. We also find that the ECB is neither purely backward
	nor forward-looking, but reacts to a synthesis of the available information
	on the current and future state of the economy. JEL Classification:
	C50, E52, E58},
  keywords    = {monetary policy; real-time data; Taylor rules},
  url         = {http://ideas.repec.org/p/ecb/ecbwps/20101210.html},
}

@Article{Blinder2012,
  author    = {Blinder, A. S.},
  title     = {Revisiting Monetary Policy in a Low-Inflation and Low-Utilization Environment},
  journal   = {Journal of Money, Credit and Banking},
  year      = {2012},
  volume    = {44},
  number    = {s1},
  pages     = {141-146},
  owner     = {FELDKIRC},
  timestamp = {2017.03.27},
}

@InCollection{Blinder1982,
  author    = {Alan S. Blinder},
  title     = {{The Anatomy of Double-Digit Inflation in the 1970s}},
  booktitle = {{Inflation: Causes and Effects}},
  publisher = {National Bureau of Economic Research, Inc},
  year      = {1982},
  series    = {NBER Chapters},
  pages     = {261-282},
  month     = {November},
  abstract  = {No abstract is available for this item.},
  url       = {http://ideas.repec.org/h/nbr/nberch/11462.html},
}

@Article{Bloom2009,
  author   = {Nicholas Bloom},
  journal  = {Econometrica},
  title    = {{The Impact of Uncertainty Shocks}},
  year     = {2009},
  month    = {05},
  number   = {3},
  pages    = {623-685},
  volume   = {77},
  abstract = {Uncertainty appears to jump up after major shocks like the Cuban
	Missile crisis, the assassination of JFK, the OPEC I oil-price shock,
	and the 9/11 terrorist attacks. This paper offers a structural framework
	to analyze the impact of these uncertainty shocks. I build a model
	with a time-varying second moment, which is numerically solved and
	estimated using firm-level data. The parameterized model is then
	used to simulate a macro uncertainty shock, which produces a rapid
	drop and rebound in aggregate output and employment. This occurs
	because higher uncertainty causes firms to temporarily pause their
	investment and hiring. Productivity growth also falls because this
	pause in activity freezes reallocation across units. In the medium
	term the increased volatility from the shock induces an overshoot
	in output, employment, and productivity. Thus, uncertainty shocks
	generate short sharp recessions and recoveries. This simulated impact
	of an uncertainty shock is compared to vector autoregression estimations
	on actual data, showing a good match in both magnitude and timing.
	The paper also jointly estimates labor and capital adjustment costs
	(both convex and nonconvex). Ignoring capital adjustment costs is
	shown to lead to substantial bias, while ignoring labor adjustment
	costs does not. Copyright 2009 The Econometric Society.},
  url      = {http://ideas.repec.org/a/ecm/emetrp/v77y2009i3p623-685.html},
}

@Article{Bobeica2019,
  author    = {Bobeica, Elena and Jaroci\'{n}ski, Marek},
  title     = {{Missing Disinflation and Missing Inflation: A VAR Perspective}},
  journal   = {International Journal of Central Banking},
  year      = {2019},
  volume    = {15},
  number    = {1},
  pages     = {199-232},
  owner     = {FELDKIRC},
  timestamp = {2017.02.20},
}

@Article{Boeckx2017,
  author    = {Boeckx, Jef and Dossche, Maarten and Peersman, Gert},
  title     = {{Effectiveness and Transmission of the ECB's Balance Sheet Policies}},
  journal   = {International Journal of Central Banking},
  year      = {2017},
  volume    = {13},
  number    = {1},
  pages     = {297-333},
  owner     = {FELDKIRC},
  timestamp = {2017.02.20},
}

@Article{Boivin2006,
  author   = {Boivin, Jean},
  title    = {{Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data}},
  journal  = {Journal of Money, Credit and Banking},
  year     = {2006},
  volume   = {38},
  number   = {5},
  pages    = {1149-1173},
  month    = {August},
  abstract = {Despite the large amount of empirical research on monetary policy
	rules, there is surprisingly little consensus on the nature or even
	the existence of changes in the conduct of U.S. monetary policy.
	Three issues appear central to this disagreement: (1) the specific
	type of changes in the policy coefficients, (2) the treatment of
	heteroskedasticity, and (3) the real-time nature of the data used.
	This paper addresses these issues in the context of forward-looking
	Taylor rules with drifting coefficients. The estimation is based
	on real-time data and accounts for the presence of heteroskedasticity
	in the policy shock. The findings suggest important but gradual changes
	in the rule coefficients, not adequately captured by the usual split-sample
	estimation. In contrast to Orphanides (2002, 2003), I find that the
	Fed's response to the real-time forecast of inflation was weak in
	the second half of the 1970s, perhaps not satisfying Taylor's principle
	as suggested by Clarida, Gali, and Gertler (2000). However, the response
	to inflation was strong before 1973 and gradually regained strength
	from the early 1980s onward. Moreover, as in Orphanides (2003), the
	Fed's response to real activity fell substantially and lastingly
	during the 1970s.},
  url      = {http://ideas.repec.org/a/mcb/jmoncb/v38y2006i5p1149-1173.html},
}

@Article{Boivin2002,
  author   = {Jean Boivin and Marc Giannoni},
  title    = {{Assessing changes in the monetary transmission mechanism: a VAR approach}},
  journal  = {Economic Policy Review},
  year     = {2002},
  number   = {May},
  pages    = {97-111},
  abstract = {Paper for a conference sponsored by the Federal Reserve Bank of New
	York entitled Financial Innovation and Monetary Transmission},
  keywords = {Economic conditions - United States ; Monetary policy},
  url      = {http://ideas.repec.org/a/fip/fednep/y2002imayp97-111nv.8no.1.html},
}

@Article{Boivin2006a,
  author   = {Jean Boivin and Marc P. Giannoni},
  journal  = {The Review of Economics and Statistics},
  title    = {{Has Monetary Policy Become More Effective?}},
  year     = {2006},
  month    = {August},
  number   = {3},
  pages    = {445-462},
  volume   = {88},
  abstract = {We investigate the implications of changes in the structure of the
	U.S. economy for monetary policy effectiveness. Estimating a vector
	autoregression over the pre- and post-1980 periods, we provide evidence
	of a reduced effect of monetary policy shocks in the latter period.
	We estimate a structural model that replicates well the economy's
	response in both periods, and perform counterfactual experiments
	to determine the source of the change in the monetary transmission
	mechanism and in the economy's volatility. We find that by responding
	more strongly to inflation expectations, monetary policy has stabilized
	the economy more effectively in the post-1980 period. Copyright by
	the President and Fellows of Harvard College and the Massachusetts
	Institute of Technology.},
  url      = {http://ideas.repec.org/a/tpr/restat/v88y2006i3p445-462.html},
}

@InCollection{Boivin2010,
  author    = {Boivin, Jean and Kiley, Michael T. and Mishkin, Frederic S.},
  title     = {{How Has the Monetary Transmission Mechanism Evolved Over Time?}},
  booktitle = {{Handbook of Monetary Economics}},
  publisher = {Elsevier},
  year      = {2010},
  editor    = {Benjamin M. Friedman and Michael Woodford},
  volume    = {3},
  series    = {Handbook of Monetary Economics},
  chapter   = {8},
  pages     = {369-422},
  month     = {January},
  abstract  = {We discuss the evolution in macroeconomic thought on the monetary
	policy transmission mechanism and present related empirical evidence.
	The core channels of policy transmission -- the neoclassical links
	between short-term policy interest rates, other asset prices such
	as long-term interest rates, equity prices, and the exchange rate,
	and the consequent effects on household and business demand -- have
	remained steady from early policy-oriented models (like the Penn-MIT-SSRC
	MPS model) to modern dynamic, stochastic general equilibrium (DSGE)
	models. In contrast, non-neoclassical channels, such as credit-based
	channels, have remained outside the core models. In conjunction with
	this evolution in theory and modeling, there have been notable changes
	in policy behavior (with policy more focused on price stability)
	and in the reduced form correlations of policy interest rates with
	activity in the United States. Regulatory effects on credit provision
	have also changed significantly. As a result, we review the empirical
	evidence on the changes in the effect of monetary policy actions
	on real activity and inflation and present new evidence, using both
	a relatively unrestricted factor-augmented vector autoregression
	(FAVAR) and a DSGE model. Both approaches yield similar results:
	Monetary policy innovations have a more muted effect on real activity
	and inflation in recent decades as compared to the effects before
	1980. Our analysis suggests that these shifts are accounted for by
	changes in policy behavior and the effect of these changes on expectations,
	leaving little role for changes in underlying private-sector behavior
	(outside shifts related to monetary policy changes).},
  keywords  = {Monetary Policy; Monetary Transmission; Stability},
  url       = {http://ideas.repec.org/h/eee/monchp/3-08.html},
}

@Article{Brady2011,
  author   = {Ryan R. Brady},
  title    = {{Consumer Credit, Liquidity, And The Transmission Mechanism Of Monetary Policy}},
  journal  = {Economic Inquiry},
  year     = {2011},
  volume   = {49},
  number   = {1},
  pages    = {246-263},
  month    = {01},
  abstract = {That the lending channel is alive and well for consumer lending is
	at first glance a compelling notion given the growth in consumer
	credit. However, this paper demonstrates with disaggregated monthly
	and quarterly consumer credit data that the consumer loan-supply
	effect has diminished over time. Contrary to assumptions motivating
	the lending channel, households are not constrained in accessing
	credit from any lender (or in any form) in response to a monetary
	shock. The findings of this paper have important implications for
	research on the monetary transmission mechanism beyond the lending
	channel and for business cycle research in general.<P>(This abstract
	was borrowed from another version of this item.)},
  url      = {http://ideas.repec.org/a/bla/ecinqu/v49y2011i1p246-263.html},
}

@Article{Curdia2013,
  author   = {Vasco C\'{u}rdia and Andrea Ferrero},
  title    = {{How stimulatory are large-scale asset purchases?}},
  journal  = {FRBSF Economic Letter},
  year     = {2013},
  number   = {aug12},
  abstract = {The Federal Reserve?s large-scale purchases of long-term Treasury
	securities most likely provided a moderate boost to economic growth
	and inflation. Importantly, the effects appear to depend greatly
	on the Fed?s guidance that short-term interest rates would remain
	low for an extended period. Indeed, estimates from a macroeconomic
	model suggest that such interest rate forward guidance probably has
	greater effects than signals about the amount of assets purchased.},
  keywords = {Open market operations ; Interest rates},
  url      = {https://ideas.repec.org/a/fip/fedfel/y2013iaug12n2013-22.html},
}

@Article{Canova2009,
  author   = {Canova, Fabio and Gambetti, Luca},
  journal  = {Journal of Economic Dynamics and Control},
  title    = {{Structural changes in the US economy: Is there a role for monetary policy?}},
  year     = {2009},
  month    = {February},
  number   = {2},
  pages    = {477-490},
  volume   = {33},
  abstract = {This paper investigates the contribution of monetary policy to the
	changes in output growth and inflation dynamics in the US. We identify
	a policy shock and a policy rule in a time-varying coefficients VAR
	using robust sign restrictions. The transmission of policy shocks
	has been relatively stable. The variance of the policy shock has
	decreased over time, but policy shocks account for a small fraction
	of the level and the variations in inflation and output growth volatility
	and persistence. Finally we find little evidence of a significant
	increase in the long run response of the interest rate to inflation.},
  keywords = {Monetary policy Inflation persistence Transmission of shocks Time-varying coefficients structural V},
  url      = {http://ideas.repec.org/a/eee/dyncon/v33y2009i2p477-490.html},
}

@Article{Carpenter2012,
  author   = {Carpenter, Seth and Demiralp, Selva},
  title    = {{Money, reserves, and the transmission of monetary policy: Does the money multiplier exist?}},
  journal  = {Journal of Macroeconomics},
  year     = {2012},
  volume   = {34},
  number   = {1},
  pages    = {59-75},
  abstract = {With the use of non-traditional policy tools, the level of reserve
	balances has risen in the US from roughly $20 billion before the
	financial crisis to well past $1 trillion. The effect of reserve
	balances in macroeconomic models often comes through the money multiplier,
	affecting the money supply and the bank lending. In this paper, we
	document that the mechanism does not work through the standard multiplier
	model or the bank lending channel. If the level of reserve balances
	is expected to have an impact on the economy, it seems unlikely that
	a standard multiplier story will explain the effect.},
  keywords = {Monetary transmission mechanism; Money multiplier; Lending channel},
  url      = {http://ideas.repec.org/a/eee/jmacro/v34y2012i1p59-75.html},
}

@TechReport{Castelnuovo2012,
  author      = {Efrem Castelnuovo},
  title       = {{Monetary Policy Neutrality: Sign Restrictions Go to Monte Carlo}},
  institution = {Dipartimento di Scienze Economiche "Marco Fanno"},
  year        = {2012},
  type        = {"Marco Fanno" Working Papers},
  number      = {0151},
  month       = Oct,
  abstract    = {A new-Keynesian DSGE model in which contractionary monetary policy
	shocks generate recessions is estimated with U.S. data. It is then
	used in a Monte Carlo exercise to generate artificial data with which
	VARs are estimated. VAR monetary policy shocks are identified via
	sign restrictions. Our VAR impulse responses replicate Uhlig?s (2005,
	Journal of Monetary Economics) evidence on unexpected interest rate
	hikes having ambiguous effects on output. The mismatch between the
	true (DSGE-consistent) responses and those produced with sign-restriction
	VARs is shown to be due to the low relative strength of the signal
	of the monetary policy shock. We conclude that Uhlig?s (2005) finding
	is not inconsistent with monetary policy non-neutrality.},
  keywords    = {Monetary policy shocks; VARs; sign restrictions; dynamic stochastic general equilibrium models; mone},
  url         = {http://ideas.repec.org/p/pad/wpaper/0151.html},
}


@article{Castelnuovo2010,
author = {Castelnuovo, Efrem and Surico, Paolo},
title = {Monetary Policy, Inflation Expectations and The Price Puzzle*},
journal = {The Economic Journal},

volume = {120},
number = {549},
pages = {1262-1283},
doi = {10.1111/j.1468-0297.2010.02368.x},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1468-0297.2010.02368.x},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1468-0297.2010.02368.x},
abstract = {This article re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and model-consistent sign restrictions, we find that the positive response of prices to a monetary policy shock is historically limited to the sub-samples that are typically associated with a weak interest rate response to inflation. Using pseudo data generated by a sticky price model of the US economy, we then show that the structural VARs are capable of reproducing the price puzzle only when monetary policy is passive. The omission in the VARs of a variable capturing expected inflation is found to account for the price puzzle observed in simulated and actual data.},
year = {2010}
}


@Article{Cetorelli2012,
  author    = {Cetorelli, Nicola and Goldberg, Linda S.},
  title     = {Banking Globalization and Monetary Transmission},
  journal   = {The Journal of Finance},
  year      = {2012},
  volume    = {67},
  number    = {5},
  pages     = {1811--1843},
  issn      = {1540-6261},
  doi       = {10.1111/j.1540-6261.2012.01773.x},
  publisher = {Blackwell Publishing Inc},
  url       = {http://dx.doi.org/10.1111/j.1540-6261.2012.01773.x},
}

@Article{Chen2012,
  author    = {Chen, Han and C\'{u}rdia, Vasco and Ferrero, Andrea},
  title     = {{The Macroeconomic Effects of Large-scale Asset Purchase Programmes}},
  journal   = {The Economic Journal},
  year      = {2012},
  volume    = {122},
  number    = {564},
  pages     = {F289--F315},
  issn      = {1468-0297},
  doi       = {10.1111/j.1468-0297.2012.02549.x},
  owner     = {FELDKIRC},
  publisher = {Blackwell Publishing Ltd},
  timestamp = {2015.10.14},
  url       = {http://dx.doi.org/10.1111/j.1468-0297.2012.02549.x},
}

@Article{Christensen2015,
  author   = {Christensen, Jens H.E. and Krogstrup, Signe},
  title    = {{Transmission of asset purchases: the role of reserves}},
  journal  = {FRBSF Economic Letter},
  year     = {2015},
  abstract = {The Swiss National Bank expanded bank reserves as part of its unconventional
	monetary policy during the European sovereign debt crisis. The unprecedented
	expansion involved short-term rather than long-term asset purchases.
	This approach provides novel insights into how central bank balance
	sheet expansions affect interest rates. In particular, it illustrates
	how an expansion of reserves can lower long-term yields through a
	reserve-induced portfolio balance effect that is independent of the
	assets purchased.},
  url      = {https://ideas.repec.org/a/fip/fedfel/00060.html},
}

@TechReport{Christensen2013,
  author      = {Jens H. E. Christensen and James M. Gillan},
  title       = {{Does quantitative easing affect market liquidity?}},
  institution = {Federal Reserve Bank of San Francisco},
  year        = {2013},
  type        = {Working Paper Series},
  number      = {2013-26},
  abstract    = {The second round of large-scale asset purchases by the Federal Reserve?frequently
	referred to as QE2?included repeated purchases of Treasury inflation-protected
	securities (TIPS). To quantify the effect QE2 had on the functioning
	of the TIPS market and the related market for inflation swaps, we
	exploit the measure of combined liquidity premiums in TIPS yields
	and inflation swap rates derived by Christensen and Gillan (2012).
	We find that, on TIPS purchase dates, the liquidity premium dropped
	by 8 to 11 basis points depending on maturity, or about 50 percent.
	Furthermore, the effect was sustained on nonpurchase dates during
	most of the program, but dissipated towards its end.},
  keywords    = {Monetary policy},
  url         = {https://ideas.repec.org/p/fip/fedfwp/2013-26.html},
}

@Article{Christiano1996,
  author   = {Christiano, Lawrence J and Eichenbaum, Martin and Evans, Charles},
  journal  = {The Review of Economics and Statistics},
  title    = {{The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds}},
  year     = {1996},
  month    = {February},
  number   = {1},
  pages    = {16-34},
  volume   = {78},
  abstract = {This paper assesses the impact of a monetary policy shock on the
	U.S. economy. The authors' measures of contractionary monetary policy
	shocks are associated with a fall in various monetary aggregates
	and a rise in the federal funds rate, declines in different measures
	of real activity, and sharp declines in commodity prices and a delayed
	decline in the GDP price deflator. In addition, net funds raised
	by the business sector increases for roughly a year, after which
	it falls. Finally, the authors find that households do not adjust
	their financial assets and liabilities for several quarters after
	a monetary shock. Copyright 1996 by MIT Press.},
  url      = {http://ideas.repec.org/a/tpr/restat/v78y1996i1p16-34.html},
}

@InCollection{Christiano1999,
  author    = {Christiano, Lawrence J. and Eichenbaum, Martin and Evans, Charles L.},
  title     = {{Monetary policy shocks: What have we learned and to what end?}},
  booktitle = {{Handbook of Macroeconomics}},
  publisher = {Elsevier},
  year      = {1999},
  editor    = {J. B. Taylor and M. Woodford},
  volume    = {1},
  series    = {Handbook of Macroeconomics, Elsevier},
  chapter   = {2},
  pages     = {65-148},
  abstract  = {This chapter reviews recent research that grapples with the question:
	What happens after an exogenous shock to monetary policy? We argue
	that this question is interesting because it lies at the center of
	a particular approach to assessing the empirical plausibility of
	structural economic models that can be used to think about systematic
	changes in monetary policy institutions and rules.The literature
	has not yet converged on a particular set of assumptions for identifying
	the effects of an exogenous shock to monetary policy. Nevertheless,
	there is considerable agreement about the qualitative effects of
	a monetary policy shock in the sense that inference is robust across
	a large subset of the identification schemes that have been considered
	in the literature. We document the nature of this agreement as it
	pertains to key economic aggregates.},
  url       = {http://ideas.repec.org/h/eee/macchp/1-02.html},
}

@Article{Chung2012,
  author    = {Chung, Hess and Laforte, Jan-Philippe and Reifschneider, David and Williams, John C.},
  title     = {{Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?}},
  journal   = {Journal of Money, Credit and Banking},
  year      = {2012},
  volume    = {44},
  pages     = {47--82},
  issn      = {1538-4616},
  doi       = {10.1111/j.1538-4616.2011.00478.x},
  keywords  = {E37, E47, E52, E58, E65},
  owner     = {FELDKIRC},
  publisher = {Blackwell Publishing Inc},
  timestamp = {2015.10.14},
  url       = {http://dx.doi.org/10.1111/j.1538-4616.2011.00478.x},
}

@Article{Ciarlone2016,
  author   = {Alessio Ciarlone and Andrea Colabella},
  title    = {{Spillovers of the ECB's non-standard monetary policy into CESEE economies}},
  journal  = {Ensayos sobre pol\'{i}tica econ\'{o}mica},
  year     = {2016},
  volume   = {34},
  number   = {81},
  pages    = {175-190},
  month    = {November},
  abstract = {In this paper we provide evidence that ECB's asset purchase programmes
	spill over into CESEE countries contributing to easing their financial
	conditions, both in the short- and in the long-term through different
	transmission channels. In the short run, a selected number of financial
	variables in CESEE markets appear to respond to the news related
	to ECB non-standard policies, moving in the expected direction. On
	a longer-term horizon, we found that that portfolio and banking capital
	inflows towards CESEE economies were affected by announcements of
	ECB's asset purchase programmes and actual asset purchases, pointing
	to the existence of a portfolio rebalancing and a (banking) liquidity
	channels in the latter case.******En este estudio se encuentra evidencia
	de que los programas de compra de activos del BCE repercuten en los
	paÃ¯Â¿Â½ses de la regiÃ¯Â¿Â½n de Europa Central, Oriental y Sudoriental (CESEE),
	de manera que contribuyen a facilitar su situaciÃ¯Â¿Â½n financiera tanto
	a corto como a largo plazo por medio de distintos canales de transmisiÃ¯Â¿Â½n.
	A corto plazo, un nÃ¯Â¿Â½mero reducido de variables financieras en estos
	mercados CESEE parecen reaccionar a las noticias relacionadas con
	las polÃ¯Â¿Â½ticas no convencionales del BCE y en la direcciÃ¯Â¿Â½n esperada.
	En el horizonte a largo plazo hallamos que los flujos de portafolio
	y de capitales bancarios hacia las economÃ¯Â¿Â½as CESEE se vieron afectados
	por los anuncios de los programas de compra de activos y por las
	compras efectivas de activos del BCE, lo que seÃ¯Â¿Â½ala la existencia
	de un canal de recomposiciÃ¯Â¿Â½n del portafolio y de un canal de liquidez
	(bancario) en el segundo caso.},
  keywords = {Unconventional monetary policy; ECB; Central and Eastern Europe; International spillovers; Event stu},
  url      = {https://ideas.repec.org/a/col/000107/015219.html},
}

@InCollection{Cogley2002,
  author    = {Timothy Cogley and Thomas J. Sargent},
  title     = {{Evolving Post-World War II U.S. Inflation Dynamics}},
  booktitle = {{NBER Macroeconomics Annual 2001, Volume 16}},
  publisher = {National Bureau of Economic Research, Inc},
  year      = {2002},
  series    = {NBER Chapters},
  pages     = {331-388},
  month     = {May},
  abstract  = {This paper uses a nonlinear stochastic model to describe inflation-unemployment
	dynamics in the U.S. after World War II. The model is a vector autoregression
	with coefficients that are random walks with innovations that are
	arbitrarily correlated with each other and with innovations to the
	observables. The model enables us to detect features that have been
	emphasized in theoretical analyses of inflation-unemployment dynamics.
	Those analyses involve coefficient drift in essential ways.<P>(This
	abstract was borrowed from another version of this item.)},
  url       = {http://ideas.repec.org/h/nbr/nberch/11068.html},
}

@TechReport{Comunale2017,
  author      = {Mariarosaria Comunale and Jonas Striaukas},
  title       = {Unconventional monetary policy: interest rates and low inflation. A review of literature and methods},
  institution = {Center for Operations Research and Econometrics, Universit\'{e} catholique de Louvain},
  year        = {2017},
  type        = {DP},
  number      = {2017/26},
  owner       = {FELDKIRC},
  timestamp   = {2017.11.07},
}

@Misc{Coure2017,
  author        = {Beno\^{\i}t Cour\'{e}},
  title         = {The international dimension of the ECB's asset purchase programme},
  howpublished  = {Speech at the Foreign Exchange Contact Group meeting, 11 July 2017},
  month         = {July},
  year          = {2017},
  bdsk-url-1    = {https://www.ecb.europa.eu/press/key/date/2017/html/ecb.sp170711.en.html},
  date-added    = {2018-09-19 14:02:49 +0200},
  date-modified = {2018-09-19 14:08:37 +0200},
  url           = {https://www.ecb.europa.eu/press/key/date/2017/html/ecb.sp170711.en.html},
}

@Article{CrespoCuaresma2019,
  author   = {{Crespo Cuaresma}, Jes\'{u}s, and Doppelhofer, Gernot and Feldkircher, Martin and Huber, Florian},
  title    = {{Spillovers from US monetary policy: evidence from a time varying parameter global vector auto-regressive model}},
  journal  = {Journal of the Royal Statistical Society: Series A\textup{, forthcoming}},
  year     = {2019},
  abstract = {Summary The paper develops a global vector auto-regressive model with time varying parameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed enables us to assess whether coefficients evolve gradually over time or are better characterized by infrequent, but large, breaks. Our findings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices and exchange rates against the US dollar. In general, the strength of spillovers has weakened in the aftermath of the global financial crisis. Using simple panel regressions, we link the variation in international responses to measures of trade and financial globalization. We find that a broad trade base and a high degree of financial integration with the world economy tend to cushion risks stemming from a foreign shock such as US tightening of monetary policy, whereas a reduction in trade barriers and/or a liberalization of the capital account increase these risks.},
  doi      = {10.1111/rssa.12439},
  eprint   = {https://rss.onlinelibrary.wiley.com/doi/pdf/10.1111/rssa.12439},
  keywords = {Globalization, Mixture innovation models, Spillovers, Zero lower bound},
  url      = {https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssa.12439},
}

@Article{Croushore2006,
  author   = {Croushore, Dean and Evans, Charles L.},
  title    = {{Data revisions and the identification of monetary policy shocks}},
  journal  = {Journal of Monetary Economics},
  year     = {2006},
  volume   = {53},
  number   = {6},
  pages    = {1135-1160},
  month    = {September},
  abstract = {Monetary policy research using time series methods has been criticized
	for using more information than the Federal Reserve had available
	in setting policy. To quantify the role of this criticism, we propose
	a method to estimate a VAR with real-time data while accounting for
	the latent nature of many economic variables, such as output. Our
	estimated monetary policy shocks are closely correlated with a typically
	estimated measure. The impulse response functions are broadly similar
	across the methods. Our evidence suggests that the use of revised
	data in VAR analyses of monetary policy shocks may not be a serious
	limitation.<P>(This abstract was borrowed from another version of
	this item.)},
  url      = {http://ideas.repec.org/a/eee/moneco/v53y2006i6p1135-1160.html},
}

@Article{Cushman1997,
  author   = {Cushman, David O. and Zha, Tao},
  title    = {{Identifying monetary policy in a small open economy under flexible exchange rates}},
  journal  = {Journal of Monetary Economics},
  year     = {1997},
  volume   = {39},
  number   = {3},
  pages    = {433-448},
  month    = {August},
  abstract = {Previous empirical study on the effects of monetary policy shocks
	in small open economies has produced exchange rate responses that
	are inconsistent with existing open economy macroeconomic theory.
	We argue that a careful identification of monetary policy in an explicit
	open economy setting is required. Using Canada as a case study, we
	specify and estimate a vector-autoregressive model that focuses on
	the identification of contemporaneous monetary policy, and we obtain
	tightly estimated results overall. The resulting dynamic responses
	to the identified monetary policy shock as well as to a foreign shock
	are consistent with traditional open economy analyses and highlight
	the importance of the exchange rate as a transmission mechanism.<P>(This
	abstract was borrowed from another version of this item.)},
  url      = {http://ideas.repec.org/a/eee/moneco/v39y1997i3p433-448.html},
}

@Article{DAgostino2012,
  author   = {Antonello D'Agostino and Paolo Surico},
  journal  = {The Review of Economics and Statistics},
  title    = {{A Century of Inflation Forecasts}},
  year     = {2012},
  month    = {November},
  number   = {4},
  pages    = {1097-1106},
  volume   = {94},
  abstract = {We investigate inflation predictability in the United States across
	the monetary regimes of the twentieth century. The forecasts based
	on money growth and output growth were significantly more accurate
	than the forecasts based on past inflation only during the regimes
	associated with neither a clear nominal anchor nor a credible commitment
	to fight inflation. These include the years from the outbreak of
	World War II in 1939 to the implementation of the Bretton Woods Agreements
	in 1951 and from Nixon's closure of the gold window in 1971 to the
	end of Volcker's disinflation in 1983. ? 2012 The President and Fellows
	of Harvard College and the Massachusetts Institute of Technology.},
  keywords = {inflation; predictability; monetary regimes; Phillips curve; time-varying models},
  url      = {http://ideas.repec.org/a/tpr/restat/v94y2012i4p1097-1106.html},
}

@Article{DAmico2013,
  author   = {D'Amico, Stefania and King, Thomas B.},
  title    = {{Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply}},
  journal  = {Journal of Financial Economics},
  year     = {2013},
  volume   = {108},
  number   = {2},
  pages    = {425-448},
  abstract = {The Federal Reserve?s 2009 program to purchase $300 billion of US
	Treasury securities represented an unprecedented intervention in
	the Treasury market and provides a natural experiment with the potential
	to shed light on the price elasticities of Treasuries and theories
	of supply effects in the term structure. Using security-level data
	on Treasury prices and quantities during the course of this program,
	we document a ?local supply? effect in the yield curve?yields within
	a particular maturity sector responded more to changes in the amounts
	outstanding in that sector than to similar changes in other sectors.
	We find that this phenomenon was responsible for a persistent downward
	shift in yields averaging about 30 basis points over the course of
	the program (the ?stock effect?). In addition, except at very long
	maturities, purchase operations caused an average decline in yields
	in the sector purchased of 3.5 basis points on the days when those
	operations occurred (the ?flow effect?). The sensitivity of our results
	to security characteristics generally supports a view of segmentation
	or imperfect substitution within the Treasury market during this
	time.},
  keywords = {Yield curve; Quantitative easing; LSAP; Preferred habitat; Limits of arbitrage},
  url      = {http://ideas.repec.org/a/eee/jfinec/v108y2013i2p425-448.html},
}

@Article{DAmico2013b,
  author   = {D'Amico, Stefania and King, Thomas B.},
  title    = {{Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply}},
  journal  = {Journal of Financial Economics},
  year     = {2013},
  volume   = {108},
  number   = {2},
  pages    = {425-448},
}



@Article{deHaan2018,
  author   = {de Haan, Leo and van den End, Jan Willem},
  title    = {{The signalling content of asset prices for inflation: Implications for quantitative easing}},
  journal  = {Economic Systems},
  year     = {2018},
  volume   = {42},
  number   = {1},
  pages    = {45-63},
  abstract = {We investigate the information content of financial variables as signalling devices of two abnormal inflationary regimes: (1) low inflation or deflation, and (2) high inflation. Specifically, we determine the information content of equity and house prices, private credit volumes, and sovereign and corporate bond yields, for 11 advanced economies over the past three decades, using both signalling extraction and logit modelling. The outcomes show that high asset prices more often signal high inflation than low inflation/deflation. However, in some countries, high asset prices and low bond yields are a significant indicator of low inflation or deflation as well. The transmission time of financial developments to inflation can be quite long (up to 8 quarters). For monetary policy, these findings imply that stimulating asset prices through Quantitative Easing (QE) can effectively influence inflation, but that the effects are quite uncertain, both regarding timing and direction.},
  doi      = {10.1016/j.ecosys.2017.08.},
  keywords = {Quantitative easing; Inflation; Financial markets},
  url      = {https://ideas.repec.org/a/eee/ecosys/v42y2018i1p45-63.html},
}

@InCollection{DeLong1997,
  author    = {DeLong, J. Bradford},
  title     = {{America's Peacetime Inflation: The 1970s}},
  booktitle = {Reducing Inflation: Motivation and Strategy},
  publisher = {Chicago: University of Chicago Press},
  year      = {1997},
  editor    = {Romer, Christina and Romer, David},
  owner     = {FELDKIRC},
  timestamp = {2015.02.24},
}


@InCollection{Giannone2010,
  author    = {Giannone,D. and Lenza,M. and Reichlin,L.},
  title     = {{Business Cycles in the Euro Area}},
  booktitle = {Europe and the euro},
  publisher = {Chicago: University of Chicago Press},
  year      = {2010},
  pages     = {141--167},
  editor    = {Alesina, A. and Giavazzi, F.},
  owner     = {FELDKIRC},
  timestamp = {2015.02.24},
}



@Article{Dubois2009,
  author={Emmanuel Dubois and Jerome Hericourt and Valerie Mignon},
  title={{What if the euro had never been launched? A counterfactual analysis of the macroeconomic impact of euro membership}},
  journal={Economics Bulletin},
  year=2009,
  volume={29},
  number={3},
  pages={2241-2255},
  month={},
  keywords={Euro; counterfactual analysis; global VAR.},
  doi={},
  abstract={The aim of this paper is to gauge quantitatively the macroeconomic impact of EMU membership. Building on the Global VAR framework designed by Pesaran et al. (2004), we want to shed light on the following important questions: What if the euro had never been launched? How would national outputs and inflation rates have evolved? We show that monetary unification promoted lower interest rates and higher output in most euro area (EA) countries, relatively to a situation where national monetary policies would have followed a German-type one. If national monetary policies had adopted British monetary preferences after September 1992 however, this would have led to higher interest rates, depreciations of national exchange rates and higher output in most EA countries, especially over the 1992-1998 period. This is particularly true for the three biggest countries of the EA (France, Germany and Italy). Besides, the single currency regime probably did not have a massive impact on price developments.},
  url={https://ideas.repec.org/a/ebl/ecbull/eb-09-00317.html}
}

@Article{Wright2011,
  author  = {Wright, Jonathan H.},
  title   = {{Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset}},
  journal = {American Economic Review},
  year    = {2011},
  volume  = {101},
  number  = {4},
  pages   = {1514--34},
}

@Article{Chen2013,
  author  = {Chen, {Yu-chin} and Tsang, Kwok Ping},
  title   = {{What Does the Yield Curve Tell Us about Exchange Rate Predictability?}},
  journal = {The Review of Economics and Statistics},
  year    = {2013},
  volume  = {95},
  number  = {1},
  pages   = {185--205},
}

@TechReport{Devereux2015,
  author      = {Devereux, M. and Young, Eric and Yun, C.},
  title       = {{A New Dilemma: Capital Controls and Monetary Policy in Sudden Stop Economies}},
  institution = {NBER},
  year        = {2015},
  type        = {NBER Working Paper},
  number      = {21791},
  owner       = {mfeldk},
  timestamp   = {2015.02.04},
}

@Article{Doh2010,
  author    = {Taeyoung Doh},
  title     = {{The efficacy of large-scale asset purchases at the zero lower bound}},
  journal   = {Economic Review},
  year      = {2010},
  number    = {Q II},
  pages     = {5-34},
  abstract  = {During the recent financial crisis, the Federal Reserve took unprecedented
	actions to prevent the economy from collapsing. First, the Federal
	Open Market Committee (FOMC) lowered the short-term federal funds
	rate nearly to its zero lower bound. Then, several months later,
	the FOMC began making large-scale purchases of long-term Treasury
	bonds to lower long-term interest rates by reducing the supply of
	long-term assets. The FOMC?s announcement of its intent led to immediate
	and substantial declines in the yields of long-term Treasury bonds,
	but some observers questioned whether such purchases could really
	lower long-term interest rates. ; Doh uses a preferred-habitat model
	that explicitly considers the zero bound for nominal interest rates.
	His analysis suggests that purchasing assets on a large scale can
	effectively lower long-term interest rates. Furthermore, when heightened
	risk aversion disrupts the activities of arbitrageurs, policymakers
	may lower long-term rates more effectively through asset purchases
	than through communicating their intentions to lower the expected
	path of future short-term rates.},
  owner     = {mfeldk},
  timestamp = {2015.09.26},
  url       = {http://ideas.repec.org/a/fip/fedker/y2010iqiip5-34nv.95no.2.html},
}

@Article{Dunne2015,
  author   = {Dunne, Peter and Everett, Mary and Stuart, Rebecca},
  title    = {{The Expanded Asset Purchase Programme ? What, Why and How of Euro Area QE}},
  journal  = {Quarterly Bulletin Articles},
  year     = {2015},
  pages    = {61-71},
  month    = {July},
  abstract = {This article explains the what, why and how of the ECB?s expanded
	asset purchase programme, commonly referred to as ?Quantitative Easing?.
	The scope and scale of this purchase programme is unparalleled in
	the euro area and it is expected to have a large effect on the euro
	area economy. This article discusses the details of the programme,
	the reasons it was introduced, and the various channels through which
	it is expected to affect the real economy.},
  url      = {https://ideas.repec.org/a/cbi/qtbart/y2015m07p61-71.html},
}

@Article{Ellis2014,
  author    = {Ellis, Colin and Mumtaz, Haroon and Zabczyk, Pawel},
  title     = {What Lies Beneath? A Time-varying FAVAR Model for the UK Transmission Mechanism},
  journal   = {The Economic Journal},
  year      = {2014},
  volume    = {124},
  number    = {576},
  pages     = {668--699},
  issn      = {1468-0297},
  doi       = {10.1111/ecoj.12147},
  owner     = {FELDKIRC},
  timestamp = {2015.09.21},
  url       = {http://dx.doi.org/10.1111/ecoj.12147},
}

@TechReport{Endut2013,
  author      = {Endut, N. and Morley, J. and Tien, P.},
  title       = {{The Changing Transmission Mechanism of U.S. Monetary Policy}},
  institution = {Central Bank of Malaysia, University of New South Wales, Wesleyan University},
  year        = {2013},
  owner       = {mfeldk},
  timestamp   = {2015.02.04},
}

@TechReport{ECB2017,
  author      = {{European Central Bank}},
  title       = {Low inflation in the euro area: causes and consequences},
  institution = {Occasional Paper Series},
  year        = {2017},
  number      = {181},
  month       = {January},
  owner       = {FELDKIRC},
  timestamp   = {2017.03.27},
}

@TechReport{Falagiarda2015,
  author      = {Falagiarda, Matteo and McQuade, Peter and Tirp\'{a}k, Marcel},
  title       = {{Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis}},
  institution = {ECB},
  year        = {2015},
  type        = {Working paper},
  number      = {1869},
  owner       = {FELDKIRC},
  timestamp   = {2017.01.18},
}

@Article{Faust1997,
  author   = {Faust, Jon and Leeper, Eric M},
  journal  = {Journal of Business \& Economic Statistics, American Statistical Association},
  title    = {{When Do Long-Run Identifying Restrictions Give Reliable Results?}},
  year     = {1997},
  month    = {July},
  number   = {3},
  pages    = {345-53},
  volume   = {15},
  abstract = {Many recent articles have identified behavioral disturbances in vector
	autoregressions by imposing restrictions on the long-run effects
	of shocks. This article demonstrates that this approach will be unreliable
	unless the underlying economy satisfies three types of strong restrictions.
	Although many aspects of these issues have been raised before, this
	article draws out and illustrates the implications for inferences
	under the long-run scheme. Furthermore, it provides strategies for
	dealing with the problems.},
  url      = {http://ideas.repec.org/a/bes/jnlbes/v15y1997i3p345-53.html},
}

@Article{Fawley2012,
  author   = {Brett W. Fawley and Luciana Juvenal},
  title    = {{Quantitative easing: lessons we've learned}},
  journal  = {The Regional Economist},
  year     = {2012},
  abstract = {No abstract is available for this item.},
  keywords = {Monetary policy},
  url      = {http://ideas.repec.org/a/fip/fedlre/y2012ijulx4.html},
}

@Article{Fawley2013,
  author   = {Fawley, Brett W. and Neely, Christopher J.},
  title    = {{Four stories of quantitative easing}},
  journal  = {Review},
  year     = {2013},
  pages    = {51-88},
  abstract = {This article describes the circumstances of and motivations for the
	quantitative easing programs of the Federal Reserve, Bank of England,
	European Central Bank, and Bank of Japan during the recent financial
	crisis and recovery. The programs initially attempted to alleviate
	financial market distress, but this pur- pose soon broadened to include
	achieving inflation targets, stimulating the real economy, and containing
	the European sovereign debt crisis. The European Central Bank and
	Bank of Japan focused their programs on direct lending to banks?reflecting
	the bank-centric structure of their financial systems? while the
	Federal Reserve and the Bank of England expanded their respective
	monetary bases by purchasing bonds.},
  keywords = {Monetary policy - United States; Financial crises},
  url      = {http://ideas.repec.org/a/fip/fedlrv/y2013ijanuaryp51-88nv.95no.1.html},
}

@Article{Feldkircher2015,
  author    = {Feldkircher, M. and Huber, F. and Moder, I.},
  title     = {Towards a New Normal: How Different Paths of US Monetary Policy Affect the World Economy},
  journal   = {Economic Notes},
  year      = {2015},
  volume    = {44},
  number    = {3},
  pages     = {409--418},
  issn      = {1468-0300},
  doi       = {10.1111/ecno.12041},
  owner     = {FELDKIRC},
  timestamp = {2015.10.16},
  url       = {http://dx.doi.org/10.1111/ecno.12041},
}

@Article{Mohaddes2020,
  author = {Mohaddes, K. and Raissi, M.},
  title  = {Compilation, Revision and Updating of the Global VAR (GVAR) Database, 1979Q2-2019Q4},
  year   = {2020},
  journal= {University of Cambridge: Faculty of Economics (mimeo)},
}

@Article{Fernandez-Villaverde2011,
  author  = {Fern\'{a}ndez-Villaverde, Jes\'{u}s and Guerr\'{o}-Quintana, Pablo and Rubio-Ram\'{i}rez, Juan F. and Uribe, Martin},
  title   = {Risk Matters: The Real Effects of Volatility Shocks},
  journal = {American Economic Review},
  year    = {2011},
  volume  = {101},
  number  = {6},
  pages   = {2530-61},
  doi     = {10.1257/aer.101.6.2530},
  url     = {http://www.aeaweb.org/articles.php?doi=10.1257/aer.101.6.2530},
}

@Article{Forni2010,
  author   = {Forni, Mario and Gambetti, Luca},
  journal  = {Journal of Monetary Economics},
  title    = {{The dynamic effects of monetary policy: A structural factor model approach}},
  year     = {2010},
  month    = {March},
  number   = {2},
  pages    = {203-216},
  volume   = {57},
  abstract = {A structural factor model for 112 US monthly macroeconomic series
	is used to study the effects of monetary policy. Monetary policy
	shocks are identified using a standard recursive scheme, in which
	the impact effects on both industrial production and prices are zero.
	The main findings are the following. First, the maximal effect on
	bilateral real exchange rates is observed on impact, so that the
	\&quot;delayed overshooting\&quot; puzzle disappears. Second, after
	a contractionary shock prices fall at all horizons, so that the price
	puzzle is not there. Finally, monetary policy has a sizable effect
	on both real and nominal variables.},
  keywords = {Delayed overshooting puzzle Monetary policy Price puzzle Structural factor model Structural VAR},
  url      = {http://ideas.repec.org/a/eee/moneco/v57y2010i2p203-216.html},
}

@Article{Fruehwirth-Schnatter1994,
  author    = {Fr{\"u}hwirth-Schnatter, Sylvia},
  title     = {Data augmentation and dynamic linear models},
  journal   = {Journal of time series analysis},
  year      = {1994},
  volume    = {15},
  number    = {2},
  pages     = {183--202},
  publisher = {Wiley Online Library},
}

@TechReport{Francis2014,
  author      = {Francis, N. and Jackson, L. E. and Owyang, M. T.},
  title       = {How has empirical monetary policy analysis changed after the financial crisis?},
  institution = {Federal Reserve Bank of St. Louis.},
  year        = {2014},
  type        = {Working Papers},
  number      = {2014-19},
  owner       = {FELDKIRC},
  timestamp   = {2017.01.20},
}

@Article{Gagnon2011,
  author    = {Joseph Gagnon and Matthew Raskin and Julie Remache and Brian Sack},
  title     = {{The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases}},
  journal   = {International Journal of Central Banking},
  year      = {2011},
  volume    = {7},
  number    = {1},
  pages     = {3-43},
  month     = {March},
  abstract  = {Since December 2008, the Federal Reserve?s traditional policy instrument,
	the target federal funds rate, has been effectively at its lower
	bound of zero. In order to further ease the stance of monetary policy
	as the economic outlook deteriorated, the Federal Reserve purchased
	substantial quantities of assets with medium and long maturities.
	In this paper, we explain how these purchases were implemented and
	discuss the mechanisms through which they can affect the economy.
	We present evidence that the purchases led to economically meaningful
	and long-lasting reductions in longer-term interest rates on a range
	of securities, including securities that were not included in the
	purchase programs. These reductions in interest rates primarily reflect
	lower risk premiums, including term premiums, rather than lower expectations
	of future short-term interest rates.},
  owner     = {mfeldk},
  timestamp = {2015.09.26},
  url       = {http://ideas.repec.org/a/ijc/ijcjou/y2011q1a1.html},
}

@Article{Gambacorta2014,
  author   = {Gambacorta, Leonardo and Hofmann, Boris and Peersman, Gert},
  title    = {The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis},
  journal  = {Journal of Money, Credit and Banking},
  year     = {2014},
  volume   = {46},
  number   = {4},
  pages    = {615--642},
  issn     = {1538-4616},
  doi      = {10.1111/jmcb.12119},
  keywords = {C32, E30, E44, E51, E52, unconventional monetary policy, zero lower bound, panel VARs},
  url      = {http://dx.doi.org/10.1111/jmcb.12119},
}

@Article{Georgiadis2016a,
  author    = {Georgiadis, Georgios and Mehl, Arnaud},
  title     = {Financial globalisation and monetary policy effectiveness},
  journal   = {Journal of International Economics},
  year      = {2016},
  volume    = {103},
  pages     = {200-212},
  owner     = {FELDKIRC},
  timestamp = {2017.11.13},
}

@TechReport{Inoue2018,
  author    = {Inoue, Atsushi and Rossi, Barbara},
  title     = {The Effects of Conventional and Unconventional Monetary Policy: A New Identication Procedure},
  year      = {2018},
  journal   = {Mimeo},
  institution ={Barcelona Graduate School of Economics},
  timestamp = {2017.11.13},
  url       = {https://sites.google.com/site/barbararossiwebsite/Barbara-Rossi-research},
}

@Article{Giannone2012,
  author    = {Giannone, Domenico and Lenza, Michele and Pill, Huw and Reichlin, Lucrezia},
  title     = {{The ECB and the Interbank Market}},
  journal   = {The Economic Journal},
  year      = {2012},
  volume    = {122},
  number    = {564},
  pages     = {F467--F486},
  issn      = {1468-0297},
  doi       = {10.1111/j.1468-0297.2012.02553.x},
  owner     = {FELDKIRC},
  publisher = {Blackwell Publishing Ltd},
  timestamp = {2015.10.14},
  url       = {http://dx.doi.org/10.1111/j.1468-0297.2012.02553.x},
}

@Article{Moder2019,
  author    = {Moder, Isabella},
  title     = {{Spillovers from the ECB's non-standard monetary policy measures on Southeastern Europe}},
  journal   = {International Journal of Central Banking},
  year      = {2019},
  volume    = {forthcoming},
  owner     = {FELDKIRC},
  timestamp = {2017.02.20},
}

@Article{Giannone2008,
  author    = {Giannone, Domenico and Lenza, Michele and Reichlin, Lucrezia},
  title     = {EXPLAINING THE GREAT MODERATION: IT IS NOT THE SHOCKS},
  journal   = {Journal of the European Economic Association},
  year      = {2008},
  volume    = {6},
  number    = {2-3},
  pages     = {621--633},
  issn      = {1542-4774},
  doi       = {10.1162/JEEA.2008.6.2-3.621},
  owner     = {FELDKIRC},
  publisher = {Blackwell Publishing Ltd},
  timestamp = {2015.02.27},
  url       = {http://dx.doi.org/10.1162/JEEA.2008.6.2-3.621},
}

@TechReport{Halberstadt2016,
  author      = {Halberstadt , Arne and Krippner, L.},
  title       = {{The Effect of Conventional and Unconventional Euro Area Monetary Policy on Macroeconomic Variables}},
  institution = {Deutsche Bundesbank},
  year        = {2016},
  type        = {Discussion Paper},
  number      = {49/2016},
  owner       = {FELDKIRC},
  timestamp   = {2017.01.20},
}

@Article{Hamilton2012,
  author   = {James D. Hamilton and Jing Cynthia Wu},
  title    = {{The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment}},
  journal  = {Journal of Money, Credit and Banking},
  year     = {2012},
  volume   = {44},
  pages    = {3-46},
  month    = {02},
  abstract = {This paper reviews alternative options for monetary policy when the
	short-term interest rate is at the zero lower bound and develops
	new empirical estimates of the effects of the maturity structure
	of publicly held debt on the term structure of interest rates. We
	use a model of risk-averse arbitrageurs to develop measures of how
	the maturity structure of debt held by the public might affect the
	pricing of level, slope and curvature term-structure risk. We find
	these Treasury factors historically were quite helpful for predicting
	both yields and excess returns over 1990-2007. The historical correlations
	are consistent with the claim that if in December of 2006, the Fed
	were to have sold off all its Treasury holdings of less than one-year
	maturity (about $400 billion) and use the proceeds to retire Treasury
	debt from the long end, this might have resulted in a 14-basis-point
	drop in the 10-year rate and an 11-basis-point increase in the 6-month
	rate. We also develop a description of how the dynamic behavior of
	the term structure of interest rates changed after hitting the zero
	lower bound in 2009. Our estimates imply that at the zero lower bound,
	such a maturity swap would have the same effects as buying $400 billion
	in long-term maturities outright with newly created reserves, and
	could reduce the 10-year rate by 13 basis points without raising
	short-term yields.<P>(This abstract was borrowed from another version
	of this item.)},
  url      = {http://ideas.repec.org/a/mcb/jmoncb/v44y2012ip3-46.html},
}

@TechReport{Hollo2012,
  author      = {Holl\'{o}, D\'{a}niel and Kremer, Manfred and {Lo Duca}, Marco},
  title       = {{CISS - a composite indicator of systemic stress in the financial system}},
  institution = {European Central Bank},
  year        = {2012},
  type        = {Working Paper Series},
  number      = {1426},
  month       = Mar,
  abstract    = {This paper introduces a new indicator of contemporaneous stress in
	the financial system named Composite Indicator of Systemic Stress
	(CISS). Its specific statistical design is shaped according to standard
	definitions of systemic risk. The main methodological innovation
	of the CISS is the application of basic portfolio theory to the aggregation
	of five market-specific subindices created from a total of 15 individual
	financial stress measures. The aggregation accordingly takes into
	account the time-varying cross-correlations between the subindices.
	As a result, the CISS puts relatively more weight on situations in
	which stress prevails in several market segments at the same time,
	capturing the idea that financial stress is more systemic and thus
	more dangerous for the economy as a whole if financial instability
	spreads more widely across the whole financial system. Applied to
	euro area data, we determine within a threshold VAR model a systemic
	crisis-level of the CISS at which financial stress tends to depress
	real economic activity. Weekly updates of the CISS dataset at: sdw.ecb.europa.eu/browseSelection.do?node=9551138
	JEL Classification: G01, G10, G20, E44},
  keywords    = {Financial Stability; Financial Stress Index; financial system; macro-financial linkages; systemic ri},
  url         = {https://ideas.repec.org/p/ecb/ecbwps/20121426.html},
}

@Article{Huber2017,
  author    = {Huber, Florian and Punzi, Maria Teresa},
  title     = {The shortage of safe assets in the US investment portfolio: Some international evidence},
  journal   = {Journal of International Money and Finance},
  year      = {2017},
  volume    = {74},
  pages     = {318--336},
  publisher = {Elsevier},
}

@Article{Iacoviello2005,
  author    = {Iacoviello, Matteo},
  title     = {House prices, borrowing constraints, and monetary policy in the business cycle},
  journal   = {The American economic review},
  year      = {2005},
  volume    = {95},
  number    = {3},
  pages     = {739--764},
  publisher = {American Economic Association},
}

@TechReport{Ireland2005,
  author      = {Peter N. Ireland},
  title       = {{The monetary transmission mechanism}},
  institution = {Federal Reserve Bank of Boston},
  year        = {2005},
  type        = {Working Papers},
  number      = {06-1},
  abstract    = {The monetary transmission mechanism describes how policy-induced changes
	in the nominal money stock or the short-term nominal interest rate
	impact real variables such as aggregate output and employment. Specific
	channels of monetary transmission operate through the effects that
	monetary policy has on interest rates, exchange rates, equity and
	real estate prices, bank lending, and firm balance sheets. Recent
	research on the transmission mechanism seeks to understand how these
	channels work in the context of dynamic, stochastic, general equilibrium
	models.},
  keywords    = {Monetary policy},
  url         = {http://ideas.repec.org/p/fip/fedbwp/06-1.html},
}

@Unpublished{Jannsen2014,
  author    = {Jannsen, Nils and Potjagailo, Galina and Wolters, Maik H.},
  title     = {{Monetary Policy during Financial Crises: Is the Transmission Mechanism Impaired?}},
  note      = {Kiel Institute for the World Economy, mimeo.},
  month     = {September},
  year      = {2014},
  owner     = {FELDKIRC},
  timestamp = {2015.02.25},
}

@Article{Jawadi2016,
  author    = {Jawadi, Fredj and Sousa, Ricardo M. and Traverso, Raffaella},
  title     = {On the macroeconomic and wealth effects of unconventional monetary policy},
  journal   = {Macroeconomic Dynamics},
  year      = {2016},
  pages     = {1Ã¯Â¿Â½16},
  doi       = {10.1017/S1365100515000292},
  publisher = {Cambridge University Press},
}

@Article{Joyce2012,
  author    = {Joyce, Michael and Miles, David and Scott, Andrew and Vayanos, Dimitri},
  title     = {Quantitative Easing and Unconventional Monetary Policy -- an Introduction},
  journal   = {The Economic Journal},
  year      = {2012},
  volume    = {122},
  number    = {564},
  pages     = {F271--F288},
  issn      = {1468-0297},
  doi       = {10.1111/j.1468-0297.2012.02551.x},
  owner     = {FELDKIRC},
  publisher = {Blackwell Publishing Ltd},
  timestamp = {2015.09.21},
  url       = {http://dx.doi.org/10.1111/j.1468-0297.2012.02551.x},
}

@Article{Kim2012,
  author   = {Soyoung Kim and Doo Yong Yang},
  journal  = {Japan and the World Economy},
  title    = {International monetary transmission in East Asia: Floaters, non-floaters, and capital controls},
  year     = {2012},
  issn     = {0922-1425},
  number   = {4},
  pages    = {305 - 316},
  volume   = {24},
  abstract = {This paper analyzes the impacts of the United States (US) monetary
	shocks on East Asian countries using structural vector-autoregression
	(VAR) model. We find that the impacts of the \{US\} monetary shocks
	on East Asian domestic interest rates and exchange rates contradict
	conventional wisdom. The conventional exchange rate channel is unlikely
	to play much role in the transmission of the \{US\} monetary policy
	shocks to floaters in East Asian countries, excluding Japan. In these
	countries, the domestic interest rates respond strongly to the \{US\}
	interest rate changes, by giving up monetary autonomy, probably because
	of fear of floating. However, the domestic interest rate does not
	respond much in countries with fixed exchange rate regimes and capital
	account restrictions, such as China and Malaysia. This may suggest
	that the countries with fixed exchange rate regimes enjoy a higher
	degree of monetary autonomy, most likely with the help of capital
	account restrictions.},
  doi      = {http://dx.doi.org/10.1016/j.japwor.2012.05.003},
  keywords = {Structural \{VAR\}},
  url      = {http://www.sciencedirect.com/science/article/pii/S092214251200045X},
}

@Article{Koop2009,
  author   = {Koop, Gary and Leon-Gonzalez, Roberto and Strachan, Rodney W.},
  journal  = {Journal of Economic Dynamics and Control},
  title    = {{On the evolution of the monetary policy transmission mechanism}},
  year     = {2009},
  month    = {April},
  number   = {4},
  pages    = {997-1017},
  volume   = {33},
  abstract = {This paper investigates whether the monetary transmission mechanism
	has changed or whether apparent changes are due to changes in the
	volatility of exogenous shocks. Also, the question of whether any
	changes have been gradual or abrupt is considered. A mixture innovation
	model is used which extends the class of time-varying vector autoregressive
	models with stochastic volatility. The advantage of our extension
	is that it allows us to estimate whether, where, when and how parameter
	change is occurring. Our empirical results indicate that the transmission
	mechanism, the volatility of exogenous shocks and the correlations
	between exogenous shocks are all changing.},
  keywords = {Structural VAR Monetary policy Bayesian Mixture innovation model Time-varying parameter model},
  url      = {http://ideas.repec.org/a/eee/dyncon/v33y2009i4p997-1017.html},
}

@TechReport{Krippner2015,
  author      = {Krippner, L.},
  title       = {A comment on Wu and Xia (2015), and the case for twofactor shadow short rates.},
  institution = {Centre for Applied Macroeconomic Analysis},
  year        = {2015},
  type        = {Working Paper},
  number      = {48/2014},
  owner       = {FELDKIRC},
  timestamp   = {2017.01.20},
}

@Article{Krippner2013,
  author    = {Krippner, L.},
  title     = {Measuring the stance of monetary policy in zero lower bound environments},
  journal   = {Economics Letters},
  year      = {2013},
  volume    = {118},
  number    = {1},
  pages     = {135--138.},
  owner     = {FELDKIRC},
  timestamp = {2017.11.07},
}

@Article{Krishnamurthy2011,
  author    = {Arvind Krishnamurthy and Annette Vissing-Jorgensen},
  title     = {{The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy}},
  journal   = {Brookings Papers on Economic Activity},
  year      = {2011},
  volume    = {43},
  number    = {2 (Fall)},
  pages     = {215-287},
  abstract  = {No abstract is available for this item.},
  keywords  = {interest rates; quantitative easing; Federal Reserve; Treasury; policy},
  owner     = {mfeldk},
  timestamp = {2015.09.26},
  url       = {http://ideas.repec.org/a/bin/bpeajo/v43y2011i2011-02p215-287.html},
}

@Article{Kuttner2002,
  author   = {Kenneth N. Kuttner and Patricia C. Mosser},
  title    = {{The monetary transmission mechanism: some answers and further questions}},
  journal  = {Economic Policy Review},
  year     = {2002},
  pages    = {15-26},
  abstract = {Overview of the proceedings of a conference sponsored by the Federal
	Reserve Bank of New York entitled Financial Innovation and Monetary
	Transmission},
  keywords = {Monetary policy ; Financial modernization ; Bank reserves ; Interest rates},
  url      = {http://ideas.repec.org/a/fip/fednep/y2002imayp15-26nv.8no.1.html},
}

@Article{Leeper1996,
  author   = {Eric M. Leeper and Christopher A. Sims and Tao Zha},
  title    = {{What Does Monetary Policy Do?}},
  journal  = {Brookings Papers on Economic Activity},
  year     = {1996},
  volume   = {27},
  number   = {2},
  pages    = {1-78},
  abstract = {No abstract is available for this item.},
  keywords = {macroeconomics; monetary policy},
  url      = {http://ideas.repec.org/a/bin/bpeajo/v27y1996i1996-2p1-78.html},
}

@Article{Lenza2010,
  author   = {Michele Lenza and Huw Pill and Lucrezia Reichlin},
  journal  = {Economic Policy},
  title    = {{Monetary policy in exceptional times}},
  year     = {2010},
  pages    = {295-339},
  volume   = {25},
  abstract = {\&quot;This paper describes the way in which the European Central
	Bank (ECB), the Federal Reserve and the Bank of England conducted
	monetary policy since the beginning of the financial crisis in August
	2007. We argue that both quantitative easing -- and the other non-standard
	measures introduced by central banks that changed the composition
	of the asset side of their balance sheets (so-called 'qualitative
	easing') -- acted mainly through their effects on interest rates
	and, in particular, on money market spreads, rather than solely through
	'quantity effects' in terms of the money supply. We perform a quantitative
	exercise on the euro area which estimates the effect of the reduction
	of these spreads to the broader economy.\&quot; Copyright (c) CEPR,
	CES, MSH, 2010.},
  url      = {https://ideas.repec.org/a/bla/ecpoli/v25y2010ip295-339.html},
}

@Article{Ludvigson2002,
  author   = {Sydney Ludvigson and Charles Steindel and Martin Lettau},
  title    = {{Monetary policy transmission through the consumption-wealth channel}},
  journal  = {Economic Policy Review},
  year     = {2002},
  number   = {May},
  pages    = {117-133},
  abstract = {Paper for a conference sponsored by the Federal Reserve Bank of New
	York entitled Financial Innovation and Monetary Transmission},
  keywords = {Monetary policy ; Consumption (Economics) ; Wealth},
  url      = {http://ideas.repec.org/a/fip/fednep/y2002imayp117-133nv.8no.1.html},
}

@TechReport{Manganelli2012,
  author      = {Manganelli, Simone},
  title       = {{The impact of the Securities Markets Programme}},
  institution = {European Central Bank},
  year        = {2012},
  type        = {Research Bulletin},
  number      = {17},
  owner       = {FELDKIRC},
  timestamp   = {2015.10.14},
}

@InCollection{Meltzer1986,
  author    = {Meltzer, A.},
  title     = {{Some Evidence on the Comparative Uncertainty Experienced under Different Monetary Regimes}},
  booktitle = {Alternative Monetary Regimes},
  publisher = {Baltimore, MD: Johns Hopkins University Press},
  year      = {1986},
  editor    = {Campbell. C. D. and Dougan, W. R.},
  owner     = {FELDKIRC},
  timestamp = {2015.03.23},
}

@InCollection{Miron1994,
  author    = {Jeffrey A. Miron and Christina D. Romer and David N. Weil},
  title     = {{Historical Perspectives on the Monetary Transmission Mechanism}},
  booktitle = {{Monetary Policy}},
  publisher = {National Bureau of Economic Research, Inc},
  year      = {1994},
  series    = {NBER Chapters},
  pages     = {263-306},
  month     = {December},
  abstract  = {This paper examines changes over time in the importance of the lending
	channel in the transmission of monetary shocks to the real economy.
	We first use a simple extension of the Bernanke-Blinder model to
	isolate the observable factors that affect the strength of the lending
	channel. We then show that based on changes in the structure of banks
	assets, reserve requirements, and the composition of external firm
	finance, the lending channel should have been stronger before 1929
	than during the post-World War II period, especially the first half
	of this period. Finally, we demonstrate that conventional indicators
	of the importance of the lending channel, such as the spread between
	the loan rate and the bond rate and the correlation between loans
	and output, do not show the predicted decline in the importance of
	lending over time. From this we conclude that either the traditional
	indicators are not useful measures of the strength of the lending
	channel or that the lending channel has not been quantitatively important
	in any era.<P>(This abstract was borrowed from another version of
	this item.)},
  url       = {http://ideas.repec.org/h/nbr/nberch/8335.html},
}

@Article{Mumtaz2013,
  author   = {Haroon Mumtaz and Francesco Zanetti},
  title    = {{The Impact of the Volatility of Monetary Policy Shocks}},
  journal  = {Journal of Money, Credit and Banking},
  year     = {2013},
  volume   = {45},
  number   = {4},
  pages    = {535-558},
  month    = {06},
  abstract = {No abstract is available for this item.},
  url      = {http://ideas.repec.org/a/mcb/jmoncb/v45y2013i4p535-558.html},
}

@TechReport{Nelson2015,
  author      = {Nelson, Benjamin and Pinter, Gabor and Theodoridis, Konstantinos},
  title       = {{Do contractionary monetary policy shocks expand shadow banking?}},
  institution = {Bank of England},
  year        = {2015},
  type        = {Bank of England working papers},
  number      = {521},
  month       = Jan,
  abstract    = {Using vector autoregressive models with either constant or time-varying
	parameters and stochastic volatility for the United States, we find
	that a contractionary monetary policy shock has a persistent negative
	impact on the asset growth of commercial banks, but increases the
	asset growth of shadow banks and securitisation activity. To explain
	this ?waterbed? effect, we propose a standard New Keynesian model
	featuring both commercial and shadow banking, and we show that the
	model comes close to explaining the empirical results. Our findings
	cast doubt on the idea that monetary policy can usefully ?get in
	all the cracks? of the financial sector in a uniform way.},
  keywords    = {Monetary policy; financial intermediaries; shadow banking; VAR; DSGE},
  url         = {http://ideas.repec.org/p/boe/boeewp/0521.html},
}


@article{Passari2015,
author = {Passari, Evgenia and Rey, H\Â´{e}l\`{e}ne},
title = {Financial Flows and the International Monetary System},
journal = {The Economic Journal},
volume = {125},
number = {584},
pages = {675-698},
doi = {10.1111/ecoj.12268},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/ecoj.12268},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/ecoj.12268},
abstract = {We review the findings of the literature on the benefits of international financial flows and find that they are quantitatively elusive. We then present evidence on the existence of a global cycle in gross cross-border flows, asset prices and leverage and discuss its impact on monetary policy autonomy across different exchange rate regimes. We focus in particular on the effect of US monetary policy shocks on the UK's financial conditions.},
year = {2015}
}

@Article{Rafiq2008,
  author   = {Rafiq, M.S. and Mallick, S.K.},
  journal  = {Journal of Macroeconomics},
  title    = {{The effect of monetary policy on output in EMU3: A sign restriction approach}},
  year     = {2008},
  month    = {December},
  number   = {4},
  pages    = {1756-1791},
  volume   = {30},
  abstract = {This paper examines the effects of monetary policy shocks on output
	in the three largest euro area economies - Germany, France and Italy
	(EMU3) - by applying a new VAR identification procedure. The results
	show that monetary policy innovations are at their most potent in
	Germany. However, apart from Germany, it remains ambiguous as to
	whether a rise in interest rates concludes with a fall in output,
	showing a lack of homogeneity in the responses. Homogeneity in response
	to a monetary shock is crucial in a one-size-fits-all framework.
	Nonetheless, the lack of similarity between the responses, which
	is hypothesised to cause de-synchronised business cycles in optimal
	currency area literature, is often based on the premise that monetary
	policy itself is a major source of business cycle fluctuations. This
	paper concludes that monetary policy innovations play, at most, a
	modest role in generating fluctuations in output for the EMU3. Consequently,
	it is less important whether the effects of monetary policy are homogenous.},
  keywords = {Monetary shocks Sign restriction Euro area},
  url      = {http://ideas.repec.org/a/eee/jmacro/v30y2008i4p1756-1791.html},
}

@Article{Ramey1993,
  author   = {Ramey, Valerie},
  title    = {{How important is the credit channel in the transmission of monetary policy?}},
  journal  = {Carnegie-Rochester Conference Series on Public Policy},
  year     = {1993},
  volume   = {39},
  number   = {1},
  pages    = {1-45},
  month    = {December},
  abstract = {This paper empirically tests the importance of the credit channel
	in the transmission of monetary policy. Three credit variables are
	analyzed: total bank loans, bank holdings of securities relative
	to loans, and the difference in the growth rate of short-term debt
	of small and large firms. In order to determine the marginal effect
	of the credit channel over the standard money channel, the significance
	of the credit variables is studied in a model that includes money
	(M2). In most cases, the credit variables play an insignificant role
	in the impact of monetary policy shocks on output.<P>(This abstract
	was borrowed from another version of this item.)},
  url      = {http://ideas.repec.org/a/eee/crcspp/v39y1993ip1-45.html},
}

@Article{Reinhart2014,
  author   = {Carmen M. Reinhart and Kenneth S. Rogoff},
  title    = {{Recovery from Financial Crises: Evidence from 100 Episodes}},
  journal  = {American Economic Review},
  year     = {2014},
  volume   = {104},
  number   = {5},
  pages    = {50-55},
  month    = {May},
  abstract = {We examine the evolution of real per capita GDP around 100 systemic
	banking crises. Part of the costs of these crises owes to the protracted
	nature of recovery. On average, it takes about 8 years to reach the
	pre-crisis level of income; the median is about 6.5 years. Five to
	six years after the onset of crisis, only Germany and the United
	States (out of 12 systemic cases) have reached their 2007-2008 peaks
	in real income. Forty-five percent of the episodes recorded double
	dips. Post-war business cycles are not the relevant comparator for
	the recent crises in advanced economies.},
  url      = {http://ideas.repec.org/a/aea/aecrev/v104y2014i5p50-55.html},
}

@Article{Rigobon2004,
  author    = {Rigobon, R. and Sack, B.},
  title     = {The impact of monetary policy on asset prices},
  journal   = {Journal of Monetary Economics},
  year      = {2004},
  volume    = {51},
  number    = {8},
  pages     = {1553-1575},
  owner     = {FELDKIRC},
  timestamp = {2017.10.19},
}

@Article{Chow1971,
  author    = {Chow, Gregory and Lin, {An-loh}},
  title     = {Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series By Related Series},
  journal   = {Review of Economics and Statistics},
  year      = {1971},
  volume    = {53},
  pages     = {372--375},
  owner     = {FELDKIRC},
  timestamp = {2017.10.19},
}

@Article{Kimura2016,
  author    = {Kimura, T. and Nakajima, J.},
  title     = {Identifying conventional and unconventional monetary policy shocks: A latent threshold approach},
  journal   = {The B.E. Journal of Macroeconomics},
  year      = {2016},
  volume    = {16},
  pages     = {277--300},
  owner     = {FELDKIRC},
  timestamp = {2017.11.13},
}

@Article{Rogers2014,
  author    = {Rogers, John Harold and Scotti, Chiara and Wright, Jonathan H.},
  title     = {{Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Multi-Country Review}},
  journal   = {Economic Policy},
  year      = {2014},
  volume    = {29},
  number    = {80},
  pages     = {3-50},
  owner     = {FELDKIRC},
  timestamp = {2017.11.17},
}

@Article{Romer2013,
  author   = {Christina D. Romer and David H. Romer},
  title    = {{The Missing Transmission Mechanism in the Monetary Explanation of the Great Depression}},
  journal  = {American Economic Review},
  year     = {2013},
  volume   = {103},
  number   = {3},
  pages    = {66-72},
  month    = {May},
  abstract = {This paper examines the missing transmission mechanism in Friedman's
	and Schwartz's monetary explanation of the Great Depression. We review
	the challenge provided by the decline in nominal interest rates in
	the early 1930s, and show that the monetary explanation requires
	not just that there were expectations of deflation, but that they
	were caused by monetary contraction. Using a detailed analysis of
	Business Week magazine, we find evidence that monetary contraction
	and Federal Reserve policy contributed to expectations of deflation
	during the downturn. This suggests that monetary shocks may have
	depressed spending and output in part by raising real interest rates.},
  url      = {http://ideas.repec.org/a/aea/aecrev/v103y2013i3p66-72.html},
}

@Article{Romer2004,
  author   = {Christina D. Romer and David H. Romer},
  title    = {{A New Measure of Monetary Shocks: Derivation and Implications}},
  journal  = {American Economic Review},
  year     = {2004},
  volume   = {94},
  number   = {4},
  pages    = {1055-1084},
  month    = {September},
  abstract = {This paper develops a measure of U. S. monetary policy shocks for
	the period 1969-1996 that is relatively free of endogenous and anticipatory
	movements. Quantitative and narrative records are used to infer the
	Federal Reserve's intentions for the federal funds rate around FOMC
	meetings. This series is regressed on the Federal Reserve's internal
	forecasts to derive a measure free of systematic responses to information
	about future developments. Estimates using the new measure indicate
	that policy has large, relatively rapid, and statistically significant
	effects on both output and inflation. The effects are substantially
	stronger and quicker than those obtained using conventional indicators.},
  url      = {http://ideas.repec.org/a/aea/aecrev/v94y2004i4p1055-1084.html},
}

@Article{Scholl2008,
  author   = {Scholl, Almuth and Uhlig, Harald},
  journal  = {Journal of International Economics},
  title    = {{New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates}},
  year     = {2008},
  month    = {September},
  number   = {1},
  pages    = {1-13},
  volume   = {76},
  abstract = {Past empirical research on monetary policy in open economies has found
	evidence of the 'delayed overshooting puzzle' and the 'forward discount
	puzzle'. We revisit the effects of monetary policy on exchange rates
	by applying Uhlig's [Uhlig, H., 2005a. What are the effects of monetary
	policy on output? Results from an agnostic identification procedure.
	Journal of Monetary Economics 52(2), 381-419.] identification procedure
	that involves sign restrictions on the impulse responses of selected
	variables. In a first step, we leave the response of the exchange
	rate agnostically open and find sizeable evidence for both puzzles.
	In a second step, we additionally rule out the delayed overshooting
	by construction. Our results indicate that the forward discount puzzle
	is robust even without delayed overshooting.},
  keywords = {Vector autoregressions Agnostic identification Forward discount puzzle Delayed overshooting Exchang},
  url      = {http://ideas.repec.org/a/eee/inecon/v76y2008i1p1-13.html},
}

@Article{Schularick2012,
  author   = {Moritz Schularick and Alan M. Taylor},
  journal  = {American Economic Review},
  title    = {{Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008}},
  year     = {2012},
  month    = {April},
  number   = {2},
  pages    = {1029-61},
  volume   = {102},
  abstract = {The financial crisis has refocused attention on money and credit
	fluctuations, financial crises, and policy responses. We study the
	behavior of money, credit, and macroeconomic indicators over the
	long run based on a new historical dataset for 14 countries over
	the years 1870-2008. Total credit has increased strongly relative
	to output and money in the second half of the twentieth century.
	Monetary policy responses to financial crises have also been more
	aggressive, but the output costs of crises have remained large. Credit
	growth is a powerful predictor of financial crises, suggesting that
	policymakers ignore credit at their peril. (JEL E32, E44, E52, G01,
	N10, N20)},
  url      = {http://ideas.repec.org/a/aea/aecrev/v102y2012i2p1029-61.html},
}

@Article{Sims2001,
  author    = {Sims, C. A.},
  title     = {{Discussion of Cogley and Sargent 'Evolving Post World War II U.S. Inflation Dynamics'}},
  journal   = {NBER Macroeconomics Annual},
  year      = {2001},
  volume    = {16},
  pages     = {373-379.},
  owner     = {FELDKIRC},
  timestamp = {2015.03.17},
}

@Article{Sims2006,
  author    = {Sims, Christopher A. and Zha, Tao},
  title     = {{Does Monetary Policy Generate Recessions?}},
  journal   = {Macroeconomic Dynamics},
  year      = {2006},
  volume    = {10},
  number    = {2},
  pages     = {231-272},
  owner     = {mfeldk},
  timestamp = {2014.11.05},
}

@InCollection{Taylor2002,
  author    = {John B. Taylor},
  title     = {{The Monetary Transmission Mechanism and the Evaluation of Monetary Policy Rules}},
  booktitle = {{Monetary Policy: Rules and Transmission Mechanisms}},
  publisher = {Central Bank of Chile},
  year      = {2002},
  editor    = {Norman Loayza and Klaus Schmidt-Hebbel and Norman Loayza (Series Editor) and Klaus Schmidt-Hebbel (Series},
  volume    = {4},
  series    = {Central Banking, Analysis, and Economic Policies Book Series},
  chapter   = {2},
  pages     = {021-046},
  month     = {July},
  abstract  = {This paper shows that different models of the monetary transmission
	mechanism lead to surprisingly similar choices about monetary policy
	rules. In particular, simple rules in which the interest rate reacts
	to inflation and real output seem to be robust to many different
	views about how monetary policy works. In models of small open economies?where
	the monetary transmission mechanism has a relatively strong exchange
	rate channel?the policy rule should also adjust to the exchange rate,
	but the gains from such exchange rate rules over rules that react
	only to inflation and output are small. The results suggest the need
	for more research on both the effect of exchange rate fluctuations
	and on policy rules that take account of exchange rates.<P>(This
	abstract was borrowed from another version of this item.)},
  url       = {http://ideas.repec.org/h/chb/bcchsb/v04c02pp021-046.html},
}

@Article{Taylor1995,
  author    = {Taylor, John B.},
  title     = {{The Monetary Transmission Mechanism: An Empirical Framework}},
  journal   = {Journal of Economic Perspectives},
  year      = {1995},
  volume    = {9},
  pages     = {11-26},
  owner     = {FELDKIRC},
  timestamp = {2015.09.18},
}

@Article{Taylor1993,
  author   = {Taylor, John B.},
  title    = {{Discretion versus policy rules in practice}},
  journal  = {Carnegie-Rochester Conference Series on Public Policy},
  year     = {1993},
  volume   = {39},
  number   = {1},
  pages    = {195-214},
  month    = {December},
  abstract = {No abstract is available for this item.},
  url      = {http://ideas.repec.org/a/eee/crcspp/v39y1993ip195-214.html},
}

@Article{Thorbecke1997,
  author    = {Thorbecke, W.},
  title     = {On stock market returns and monetary Policy},
  journal   = {Journal of Finance},
  year      = {1997},
  volume    = {52},
  number    = {2},
  pages     = {635-654},
  owner     = {FELDKIRC},
  timestamp = {2017.10.19},
}

@Article{Tobin1969,
  author    = {Tobin, J.},
  title     = {A general equilibrium approach to monetary theory},
  journal   = {Journal of Money, Credit and Banking},
  year      = {1969},
  volume    = {1},
  pages     = {15-29},
  owner     = {FELDKIRC},
  timestamp = {2017.01.26},
}

@Article{Walentin2014,
  author   = {Karl Walentin},
  journal  = {Journal of Monetary Economics},
  title    = {Business cycle implications of mortgage spreads},
  year     = {2014},
  issn     = {0304-3932},
  pages    = {62 - 77},
  volume   = {67},
  abstract = {Abstract How do aggregate quantities at the business cycle frequency
	respond to shocks to the spread between residential mortgage rates
	and government bonds? Using a structural \{VAR\} approach, we find
	that mortgage spread shocks impact the real economy by both economically
	and statistically significant magnitudes: a 100 basis point decline
	in the spread causes a peak increase in consumption, residential
	investment and \{GDP\} by 1.6 percent, 6.2 percent and 1.9 percent,
	respectively. Presumably, these effects are magnified when the policy
	rate is held fixed, as was the case in the \{US\} during the recent
	implementation of unconventional monetary policy.},
  doi      = {http://dx.doi.org/10.1016/j.jmoneco.2014.07.005},
  keywords = {Sources of business cycles},
  url      = {http://www.sciencedirect.com/science/article/pii/S0304393214001032},
}

@Article{Weale2016,
  author   = {Martin Weale and Tomasz Wieladek},
  journal  = {Journal of Monetary Economics},
  title    = {What are the macroeconomic effects of asset purchases?},
  year     = {2016},
  issn     = {0304-3932},
  pages    = {81 - 93},
  volume   = {79},
  abstract = {Abstract The impact of announcements of large-scale purchases of government
	bonds on real \{GDP\} and the \{CPI\} in the United Kingdom and the
	United States is explored with a Bayesian VAR, estimated on monthly
	data from 2009M3 to 2014M5. Four different identification schemes
	are used, all leaving the reactions of \{GDP\} and \{CPI\} unrestricted,
	and the transmission channels of the policy are examined. An asset
	purchase announcement of 1% of \{GDP\} leads to a statistically significant
	rise of 0.58% (0.25%) and 0.62% (0.32%) rise in real \{GDP\} and
	\{CPI\} for the \{US\} (UK). The transmission channels differ in
	the two countries.},
  doi      = {http://dx.doi.org/10.1016/j.jmoneco.2016.03.010},
  keywords = {Quantitative easing},
  url      = {http://www.sciencedirect.com/science/article/pii/S0304393216300101},
}

@TechReport{Wieladek2016,
  author      = {Tomasz Wieladek and Antonio I. Garcia Pascual},
  title       = {{The European Central Bank's QE: A New Hope}},
  institution = {CESifo Group Munich},
  year        = {2016},
  type        = {CESifo Working Paper Series},
  number      = {5946},
  abstract    = {We examine the impact of the ECBÃ¯Â¿Â½s QE on Euro Area real GDP and core
	CPI with a Bayesian VAR, estimated on monthly data from 2012M6 to
	2016M4. We assess the total impact via a counter-factual exercise,
	country-by-country and through alternative transmission channels.
	QE anouncement shocks are identified with four different identification
	schemes as in Weale and Wieladek (2016). We find that in absence
	of the first round of ECB QE, real GDP and core CPI would have been
	1.3\% and 0.9\% lower, respectively. The effect is roughly 2/3 times
	smaller than in the UK/US. Impulse response analysis suggests that
	the policy is transmitted via the portfolio rebalancing, the signalling,
	credit easing and exchange rate channels. Spanish real GDP benefited
	the most and Italian the least.},
  keywords    = {ECB unconventional monetary policy; transmission mechanism},
  url         = {https://ideas.repec.org/p/ces/ceswps/_5946.html},
}

@Article{Wu2016,
  author   = {Wu, Jing Cynthia and Xia, Fan Dora},
  title    = {Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound},
  journal  = {Journal of Money, Credit and Banking},
  year     = {2016},
  volume   = {48},
  number   = {2-3},
  pages    = {253--291},
  issn     = {1538-4616},
  doi      = {10.1111/jmcb.12300},
  keywords = {E43, E44, E52, E58, monetary policy, shadow federal funds rate, zero lower bound, dynamic term structure model, unemployment},
  url      = {http://dx.doi.org/10.1111/jmcb.12300},
}

@Article{Gambetti2017,
  author    = {Gambetti, Luca and Musso, Alberto},
  journal   = {Journal of Applied Econometrics},
  title     = {Loan supply shocks and the business cycle},
  year      = {2017},
  number    = {4},
  pages     = {764--782},
  volume    = {32},
  groups    = {[FELDKIRC:]},
  publisher = {Wiley Online Library},
}

@InCollection{Adrian2010,
  author     = {Adrian, Tobias and Shin, Hyun Song},
  booktitle  = {{Handbook of Monetary Economics}},
  publisher  = {Elsevier},
  title      = {{Financial Intermediaries and Monetary Economics}},
  year       = {2010},
  chapter    = {12},
  editor     = {Benjamin M. Friedman and Michael Woodford},
  month      = jan,
  pages      = {601--650},
  series     = {Handbook of Monetary Economics},
  volume     = {3},
  abstract   = {We reconsider the role of financial intermediaries in monetary economics,
	and explore the hypothesis that the financial intermediary sector
	is the engine that drives the financial cycle through fluctuations
	in the price of risk. In this framework, balance sheet quantities
	emerge as a key indicator of risk appetite and, hence, for the "risk-taking
	channel" of monetary policy. We document evidence that balance sheets
	of financial intermediaries provide a window on the transmission
	of monetary policy through capital market conditions. Short-term
	interest rates are found to be important in influencing the size
	of financial intermediary balance sheets. Our findings suggest that
	the traditional focus on the money stock for the conduct of monetary
	policy may have more modern counterparts, and suggest the importance
	of tracking balance sheet quantities.},
  bdsk-url-1 = {http://ideas.repec.org/h/eee/monchp/3-12.html},
  groups     = {[FELDKIRC:]},
  keywords   = {Monetary Economics; Financial Intermediation; Risk Taking Channel; Bank Lending Channel},
  owner      = {FELDKIRC},
  timestamp  = {2018.03.30},
  url        = {http://ideas.repec.org/h/eee/monchp/3-12.html},
}

@Article{Benetrix2015,
  author     = {B\'{e}n\'{e}trix, Agustin S. and Lane, Philip R. and Shambaugh, Jay C.},
  journal    = {Journal of International Economics},
  title      = {{International currency exposures, valuation effects and the global financial crisis}},
  year       = {2015},
  number     = {S1},
  pages      = {S98--S109},
  volume     = {96},
  bdsk-url-1 = {https://ideas.repec.org/a/eee/inecon/v96y2015is1ps98-s109.html},
  groups     = {[FELDKIRC:]},
  keywords   = {International currency exposures; Valuation channel},
  url        = {https://ideas.repec.org/a/eee/inecon/v96y2015is1ps98-s109.html},
}

@TechReport{Beck2009,
  author      = {Beck , Thorsten and {Demirguc-Kunt}, Asli and Levine, Ross},
  institution = {The World Bank},
  title       = {{Financial institutions and markets across countries and over time - data and analysis}},
  year        = {2009},
  month       = may,
  number      = {4943},
  type        = {Policy Research Working Paper Series},
  bdsk-url-1  = {https://ideas.repec.org/p/wbk/wbrwps/4943.html},
  groups      = {[FELDKIRC:]},
  keywords    = {; Debt Markets; Emerging Markets; Banks\&Banking Reform; Economic Theory\&Research},
  url         = {https://ideas.repec.org/p/wbk/wbrwps/4943.html},
}

@Article{Bekaert2013a,
  author     = {Geert Bekaert and Marie Hoerova and Marco Lo Duca},
  journal    = {Journal of Monetary Economics},
  title      = {Risk, uncertainty and monetary policy},
  year       = {2013},
  issn       = {0304-3932},
  number     = {7},
  pages      = {771--788},
  volume     = {60},
  bdsk-url-1 = {http://www.sciencedirect.com/science/article/pii/S0304393213000871},
  bdsk-url-2 = {https://doi.org/10.1016/j.jmoneco.2013.06.003},
  doi        = {https://doi.org/10.1016/j.jmoneco.2013.06.003},
  groups     = {[FELDKIRC:]},
  keywords   = {Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle},
  owner      = {FELDKIRC},
  timestamp  = {2018.04.03},
  url        = {http://www.sciencedirect.com/science/article/pii/S0304393213000871},
}

@TechReport{Bernanke2007,
  author      = {Bernanke, B.S.},
  institution = {Speech at the Fourth Economic Summit, Stanford Institute for Economic Policy Research, Stanford,},
  title       = {{Globalization and Monetary Policy}},
  year        = {2007},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2015.06.17},
}

@TechReport{Binder2013,
  author      = {Binder, Michael and Gross, Marco},
  institution = {European Central Bank},
  title       = {{Regime-switching global vector autoregressive models}},
  year        = {2013},
  month       = aug,
  number      = {1569},
  type        = {Working Paper Series},
  abstract    = {The purpose of the paper is to develop a Regime-Switching Global Vector
	Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring
	or non-recurring structural changes in all or a subset of countries.
	It can be used to generate regime-dependent impulse response functions
	which are conditional upon a regime-constellation across countries.
	Coupling the RS and the GVAR methodology improves out-of-sample forecast
	accuracy significantly in an application to real GDP, price inflation,
	and stock prices. JEL Classification: C32, E17, G20},
  bdsk-url-1  = {http://ideas.repec.org/p/ecb/ecbwps/20131569.html},
  groups      = {[FELDKIRC:]},
  keywords    = {forecasting and simulation; Global macroeconometric modeling; nonlinear modeling; Regime switching},
  url         = {http://ideas.repec.org/p/ecb/ecbwps/20131569.html},
}

@Article{Bitto2014,
  author    = {Bitto, Angela and Fr{\"u}hwirth-Schnatter, Sylvia},
  journal   = {Unpublished manuscript},
  title     = {{Time-varying parameter models--achieving shrinkage and variable selection}},
  year      = {2014},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2018.03.30},
}

@Article{Breitfus2018,
  author        = {Breitfu\ss, S.Sebastian and Feldkircher, Martin and Huber, Florian},
  journal       = {German Economic Review},
  title         = {Changes in US Monetary Policy and Its Transmission over the Last Century},
  year          = {2018},
  volume        = {forthcoming},
  abstract      = {Abstract In this paper, we investigate US monetary policy and its
	time?varying effects over more than 130 years. For that purpose,
	we use a Bayesian time?varying parameter vector autoregression that
	features modern shrinkage priors and stochastic volatility. Our results
	can be summarized as follows: First, we find that monetary policy
	transmits jointly through the interest rate, credit/bank lending
	and wealth channels. Second, we find evidence for changes of both
	responses to a monetary policy shock and volatility characterizing
	the macroeconomic environment. Effects on the macroeconomy are significantly
	lower in the period from 1960 to 2013 than in the early part of our
	sample, whereas responses of short? and long?term interest rates
	are nearly unaltered throughout the sample. Changes in the way the
	Fed conducts monetary policy and different economic environments
	may account for that.},
  bdsk-url-1    = {https://onlinelibrary.wiley.com/doi/abs/10.1111/geer.12154},
  bdsk-url-2    = {https://doi.org/10.1111/geer.12154},
  date-modified = {2018-04-22 12:51:04 +0000},
  doi           = {10.1111/geer.12154},
  eprint        = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/geer.12154},
  groups        = {[FELDKIRC:]},
  keywords      = {Bayesian TVP--SV--VAR, sign restrictions, monetary policy},
  url           = {https://onlinelibrary.wiley.com/doi/abs/10.1111/geer.12154},
}

@Article{Canova2004,
  author    = {Canova, Fabio and Ciccarelli, Matteo},
  journal   = {Journal of Econometrics},
  title     = {{Forecasting and turning point predictions in a Bayesian panel VAR model}},
  year      = {2004},
  number    = {2},
  pages     = {327--359},
  volume    = {120},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Article{Carriero2016,
  author    = {Andrea Carriero and Todd E. Clark and Massimiliano Marcellino},
  journal   = {Journal of Business \& Economic Statistics},
  title     = {Common Drifting Volatility in Large Bayesian VARs},
  year      = {2016},
  number    = {3},
  pages     = {375-390},
  volume    = {34},
  doi       = {10.1080/07350015.2015.1040116},
  eprint    = {https://doi.org/10.1080/07350015.2015.1040116},
  groups    = {[FELDKIRC:]},
  publisher = {Taylor \& Francis},
  url       = {https://doi.org/10.1080/07350015.2015.1040116},
}

@Article{Carter1994,
  author    = {Carter, Chris K and Kohn, Robert},
  journal   = {Biometrika},
  title     = {{On Gibbs sampling for state space models}},
  year      = {1994},
  number    = {3},
  pages     = {541--553},
  volume    = {81},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Biometrika Trust},
  timestamp = {2018.03.30},
}

@TechReport{Cesa-Bianchi2014,
  author      = {Cesa-Bianchi, Ambrogio and Pesaran, M Hashem and Rebucci, Alessandro},
  institution = {CESifo Working Paper},
  title       = {{Uncertainty and economic activity: A global perspective}},
  year        = {2014},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2018.03.30},
}

@Article{Christiano2005,
  author    = {Christiano, Lawrence J and Eichenbaum, Martin and Evans, Charles L},
  journal   = {Journal of political Economy},
  title     = {Nominal rigidities and the dynamic effects of a shock to monetary policy},
  year      = {2005},
  number    = {1},
  pages     = {1--45},
  volume    = {113},
  groups    = {[FELDKIRC:]},
  publisher = {JSTOR},
}

@Article{Ciccarelli2013,
  author    = {Ciccarelli, M. and Maddaloni, A. and Peydr\'{o}, J.-L.},
  journal   = {Economic policy},
  title     = {Heterogeneous transmission mechanism: monetary policy and financial fragility in the eurozone},
  year      = {2013},
  number    = {75},
  pages     = {459--512},
  volume    = {28},
  groups    = {[FELDKIRC:]},
  publisher = {JSTOR},
}

@Article{Clark2011,
  author    = {Clark, Todd E},
  journal   = {Journal of Business \& Economic Statistics},
  title     = {Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility},
  year      = {2011},
  number    = {3},
  volume    = {29},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2018.03.30},
}

@Article{Cogley2005,
  author    = {Cogley, Timothy and Morozov, Sergei and Sargent, Thomas J},
  journal   = {Journal of Economic Dynamics and Control},
  title     = {Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system},
  year      = {2005},
  number    = {11},
  pages     = {1893--1925},
  volume    = {29},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Article{Coibion2012,
  author     = {Olivier Coibion},
  journal    = {American Economic Journal: Macroeconomics},
  title      = {{Are the Effects of Monetary Policy Shocks Big or Small?}},
  year       = {2012},
  month      = {April},
  number     = {2},
  pages      = {1--32},
  volume     = {4},
  abstract   = {This paper studies the small estimated effects of monetary policy
	shocks from standard VARs versus the large effects from the Romer
	and Romer (2004) approach. The differences are driven by three factors:
	the different contractionary impetus, the period of reserves targeting,
	and lag length selection. Accounting for these factors, the real
	effects of policy shocks are consistent across approaches and most
	likely medium. Alternative monetary policy shock measures from estimated
	Taylor rules also yield medium-sized real effects and indicate that
	the historical contribution of monetary policy shocks to real fluctuations
	has been significant, particularly during the 1970s and early 1980s.
	(JEL E32, E43, E52)},
  bdsk-url-1 = {http://ideas.repec.org/a/aea/aejmac/v4y2012i2p1-32.html},
  groups     = {[FELDKIRC:]},
  url        = {http://ideas.repec.org/a/aea/aejmac/v4y2012i2p1-32.html},
}

@InCollection{Corsetti2010,
  author     = {Giancarlo Corsetti and Luca Dedola and Sylvain Leduc},
  booktitle  = {{Handbook of Monetary Economics}},
  publisher  = {Elsevier},
  title      = {{Optimal Monetary Policy in Open Economies}},
  year       = {2010},
  editor     = {Benjamin M. Friedman and Michael Woodford},
  pages      = {3--1520},
  series     = {Handbook of Monetary Economics},
  volume     = {3},
  bdsk-url-1 = {https://www.sciencedirect.com/science/handbooks/15734498},
  bdsk-url-2 = {https://doi.org/10.1016/B978-0-444-53454-5.00004-9},
  doi        = {https://doi.org/10.1016/B978-0-444-53454-5.00004-9},
  groups     = {[FELDKIRC:]},
  issn       = {1573-4498},
  keywords   = {Currency Misalignments, Demand Imbalances, Pass-Through, Asset Markets and Risk Sharing, Optimal Targeting Rules, International Policy Cooperation},
  owner      = {FELDKIRC},
  timestamp  = {2018.04.02},
  url        = {https://www.sciencedirect.com/science/handbooks/15734498},
}

@Article{DAgostino2011,
  author    = {{D'Agostino}, Antonello and Gambetti, Luca and Giannone, Domenico},
  journal   = {Journal of Applied Econometrics},
  title     = {Macroeconomic forecasting and structural change},
  year      = {2011},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2018.03.30},
}

@TechReport{Dees2010,
  author      = {Dees, Stephane and Pesaran, Hashem and Smith, Vanessa and Smith, Ron P.},
  institution = {European Central Bank},
  title       = {{Supply, demand and monetary policy shocks in a multi-country New Keynesian Model}},
  year        = {2010},
  month       = Sep,
  number      = {1239},
  type        = {Working Paper Series},
  abstract    = {This paper estimates and solves a multi-country version of the standard
	DSGE New Keynesian (NK) model. The country-specific models include
	a Phillips curve determining inflation, an IS curve determining output,
	a Taylor Rule determining interest rates, and a real effective exchange
	rate equation. The IS equation includes a real exchange rate variable
	and a countryspecific foreign output variable to capture direct inter-country
	linkages. In accord with the theory all variables are measured as
	deviations from their steady states, which are estimated as long-horizon
	forecasts from a reduced-form cointegrating global vector autoregression.
	The resulting rational expectations model is then estimated for 33
	countries on data for 1980Q1-2006Q4, by inequality constrained IV,
	using lagged and contemporaneous foreign variables as instruments,
	subject to the restrictions implied by the NK theory. The multi-country
	DSGE NK model is then solved to provide estimates of identified supply,
	demand and monetary policy shocks. Following the literature, we assume
	that the within country supply, demand and monetary policy shocks
	are orthogonal, though shocks of the same type (e.g. supply shocks
	in different countries) can be correlated. We discuss estimation
	of impulse response functions and variance decompositions in such
	large systems, and present estimates allowing for both direct channels
	of international transmission through regression coefficients and
	indirect channels through error spillover effects. Bootstrapped error
	bands are also provided for the cross country responses of a shock
	to the US monetary policy. JEL Classification: C32, E17, F37, F42},
  bdsk-url-1  = {http://ideas.repec.org/p/ecb/ecbwps/20101239.html},
  groups      = {[FELDKIRC:]},
  keywords    = {demand shocks; Global VAR (GVAR); monetary policy shocks; New Keynesian DSGE models; supply shocks},
  url         = {http://ideas.repec.org/p/ecb/ecbwps/20101239.html},
}

@Article{Ehrmann2005,
  author  = {Ehrmann, M. and M. Fratzscher},
  journal = {The Economic Journal},
  title   = {{Equal Size, Equal Role? Interest Rate Interdependence Between the Euro Area and the United States}},
  year    = {2005},
  pages   = {928--948},
  volume  = {115},
  groups  = {[FELDKIRC:]},
}

@Article{Ehrmann2011,
  author     = {Michael Ehrmann and Marcel Fratzscher and Roberto Rigobon},
  journal    = {Journal of Applied Econometrics},
  title      = {Stocks, bonds, money markets and exchange rates: measuring international financial transmission},
  year       = {2011},
  number     = {6},
  pages      = {948--974},
  volume     = {26},
  bdsk-url-1 = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1173},
  bdsk-url-2 = {http://dx.doi.org/10.1002/jae.1173},
  doi        = {10.1002/jae.1173},
  eprint     = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.1173},
  groups     = {[FELDKIRC:]},
  url        = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1173},
}

@TechReport{Eisenstat2014,
  author      = {Eisenstat, Eric and Strachan, Rodney W},
  institution = {Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University},
  title       = {Modelling Inflation Volatility},
  year        = {2014},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2018.03.30},
}

@TechReport{Engen2015,
  author      = {Engen, Eric M. and Laubach, Thomas T. and Reifschneider, David},
  institution = {Board of Governors of the Federal Reserve System (U.S.)},
  title       = {{The Macroeconomic Effects of the Federal ReserveÃ¢Â€Â™s Unconventional Monetary Policies}},
  year        = {2015},
  number      = {2015-005},
  type        = {Finance and Economic Discussion Series},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2015.12.01},
}

@TechReport{Erceg2009,
  author        = {Christopher J. Erceg and Luca Guerrieri and Steven B. Kamin},
  institution   = {Board of Governors of the Federal Reserve System (U.S.)},
  title         = {{Did easy money in the dollar bloc fuel the global commodity boom?}},
  year          = {2009},
  number        = {979},
  type          = {International Finance Discussion Papers},
  date-added    = {2018-04-24 08:18:47 +0000},
  date-modified = {2018-04-24 08:20:00 +0000},
  groups        = {[FELDKIRC:]},
}

@Article{Fama1990,
  author    = {Fama, Eugene F},
  journal   = {Journal of Monetary Economics},
  title     = {Term-structure forecasts of interest rates, inflation and real returns},
  year      = {1990},
  number    = {1},
  pages     = {59--76},
  volume    = {25},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Article{Faust2007,
  author        = {Faust, J. and Rogers, J. H. and Wang, S. B. and Wright, J. H.},
  journal       = {Journal of Monetary Economics},
  title         = {{The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements}},
  year          = {2007},
  pages         = {1051--1068},
  volume        = {54},
  date-modified = {2018-04-22 07:56:43 +0000},
  groups        = {[FELDKIRC:]},
}

@Article{Feldkircher2015b,
  author    = {Feldkircher, M. and Moder, I. and Huber, F.},
  journal   = {Economic Notes},
  title     = {{Towards a New Normal -- How Different Paths of US Monetary Policy affect the World Economy}},
  year      = {2015},
  number    = {3},
  pages     = {409--418},
  volume    = {44},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2015.03.19},
}

@Article{Feldkircher2018a,
  author         = {Feldkircher, Martin and Huber, Florian},
  journal        = {Journal of Risk and Financial Management},
  title          = {Unconventional U.S. Monetary Policy: New Tools, Same Channels?},
  year           = {2018},
  issn           = {1911-8074},
  number         = {4},
  volume         = {11},
  abstract       = {In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit/bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventional monetary policy shock during the period of the global financial crisis and stronger effects in its aftermath. This might imply that when the central bank has left the policy rate unaltered for an extended period of time, a policy surprise might boost output particularly strongly. By contrast, the spread shock has affected output growth most strongly during the period of the global financial crisis and less so thereafter. This might point to diminishing effects of large-scale asset purchase programs.},
  article-number = {71},
  doi            = {10.3390/jrfm11040071},
  groups         = {[FELDKIRC:]},
  url            = {http://www.mdpi.com/1911-8074/11/4/71},
}

@TechReport{Fernandez2015,
  author      = {Andr\'{e}s Fern\'{a}ndez and Michael W. Klein and Alessandro Rebucci and Martin Schindler and Mart\'{i}n Uribe},
  institution = {National Bureau of Economic Research, Inc},
  title       = {{Capital Control Measures: A New Dataset}},
  year        = {2015},
  month       = Feb,
  number      = {20970},
  type        = {NBER Working Papers},
  bdsk-url-1  = {https://ideas.repec.org/p/nbr/nberwo/20970.html},
  groups      = {[FELDKIRC:]},
  url         = {https://ideas.repec.org/p/nbr/nberwo/20970.html},
}

@Article{Forbes2004,
  author        = {Forbes, Kristin J. and Chinn, Menzie D.},
  journal       = {Review of Economics and Statistics},
  title         = {{A Decomposition of Global Linkages In Financial Markets Over Time}},
  year          = {2004},
  number        = {3},
  pages         = {705--722},
  volume        = {86},
  date-modified = {2018-04-22 07:57:07 +0000},
  groups        = {[FELDKIRC:]},
}

@Article{Fruehwirth-Schnatter2010,
  author    = {Fr{\"u}hwirth-Schnatter, Sylvia and Wagner, Helga},
  journal   = {Journal of Econometrics},
  title     = {Stochastic model specification search for Gaussian and partial non-Gaussian state space models},
  year      = {2010},
  number    = {1},
  pages     = {85--100},
  volume    = {154},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Article{Fratzscher2018,
  author  = {Fratzscher, Marcel and {Lo Duca}, M. and Straub, Roland},
  journal = {The Economic Journal},
  title   = {{On the International Spillovers of US Quantitative Easing}},
  year    = {2018},
  pages   = {330--337},
  volume  = {128},
  groups  = {[FELDKIRC:]},
}

@TechReport{Galesi2009,
  author      = {Galesi, Alessandro and Sgherri, Silvia},
  institution = {International Monetary Fund},
  title       = {{Regional Financial Spillovers Across Europe: A Global VAR Analysis}},
  year        = {2009},
  month       = Feb,
  number      = {09/23},
  type        = {IMF Working Papers},
  abstract    = {The recent financial crisis raises important issues about the transmission
	of financial shocks across borders. In this paper, a global vector
	autoregressive (GVAR) model is constructed to assess the relevance
	of international spillovers following a historical slowdown in U.S.
	equity prices. The GVAR model contains 27 country-specific models,
	including the United States, 17 European advanced economies, and
	9 European emerging economies. Each country model is linked to the
	others by a set of country-specific foreign variables, computed using
	bilateral bank lending exposures. Results reveal considerable comovements
	of equity prices across mature financial markets. However, the effects
	on credit growth are found to be country-specific. Evidence indicates
	that asset prices are the main channel through which-in the short
	run-financial shocks are transmitted internationally, while the contribution
	of other variables-like the cost and quantity of credit-becomes more
	important over longer horizons.},
  bdsk-url-1  = {http://ideas.repec.org/p/imf/imfwpa/09-23.html},
  groups      = {[FELDKIRC:]},
  keywords    = {Spillovers ; Europe ; Emerging markets ; Financial systems ; Economic integration ; Regional sh},
  owner       = {FELDKIRC},
  timestamp   = {2018.03.30},
  url         = {http://ideas.repec.org/p/imf/imfwpa/09-23.html},
}

@Article{Gertler2015,
  author  = {Mark Gertler and Peter Karadi},
  journal = {American Economic Journal: Macroeconomics},
  title   = {Monetary policy surprises, credit costs, and economic activity},
  year    = {2015},
  month   = {Jan.},
  number  = {1},
  pages   = {44--76},
  volume  = {7},
  groups  = {[FELDKIRC:]},
}

@InProceedings{Geweke1992,
  author    = {Geweke, John},
  booktitle = {Bayesian Statistics 4},
  title     = {Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments},
  year      = {1992},
  editor    = {Bernardo, J M and Berger, J O and Dawid, A P and Smith, A F M},
  pages     = {pp. 169--193},
  publisher = {Oxford University Press, Oxford},
  groups    = {[FELDKIRC:]},
}

@Article{Giannone2015,
  author    = {Giannone, Domenico and Lenza, Michele and Primiceri, Giorgio E},
  title     = {Prior selection for vector autoregressions},
  year      = {2015},
  number    = {2},
  pages     = {436--451},
  volume    = {97},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2018.03.30},
}

@Article{Giordani2008,
  author    = {Giordani, Paolo and Kohn, Robert},
  journal   = {Journal of Business \& Economic Statistics},
  title     = {Efficient Bayesian inference for multiple change-point and mixture innovation models},
  year      = {2008},
  number    = {1},
  pages     = {66--77},
  volume    = {26},
  groups    = {[FELDKIRC:]},
  publisher = {Taylor \& Francis},
}

@Article{Giordani2010,
  author    = {Giordani, Paolo and Villani, Mattias},
  journal   = {International Journal of Forecasting},
  title     = {Forecasting macroeconomic time series with locally adaptive signal extraction},
  year      = {2010},
  number    = {2},
  pages     = {312--325},
  volume    = {26},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@TechReport{Gyglia2018,
  author      = {Gyglia, Savina and Haelgb, Florian and Sturm, Jan-Egbert},
  institution = {ETH Z\"{u}rich},
  title       = {{The KOF Globalisation Index -- Revisited}},
  year        = {2018},
  month       = feb,
  number      = {439},
  type        = {KOF Working Papers},
  groups      = {[FELDKIRC:]},
}

@Book{Harvey1990,
  author    = {Harvey, A. C.},
  publisher = {Cambridge university press},
  title     = {{Forecasting, structural time series models and the Kalman filter}},
  year      = {1990},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2016.07.29},
}

@Article{Hausman2011,
  author     = {Hausman, Joshua and Wongswan, Jon},
  journal    = {Journal of International Money and Finance},
  title      = {{Global asset prices and FOMC announcements}},
  year       = {2011},
  month      = {April},
  number     = {3},
  pages      = {547--571},
  volume     = {30},
  abstract   = {This paper analyzes the impact of U.S. monetary policy announcement
	surprises on foreign equity indexes, short- and long-term interest
	rates, and exchange rates in 49 countries. We use two proxies for
	monetary policy surprises: the surprise change to the current target
	federal funds rate (target surprise) and the revision to the expected
	path of future monetary policy (path surprise). We find that different
	asset classes respond to different components of the monetary policy
	surprises. Global equity indexes respond mainly to the target surprise;
	exchange rates and long-term interest rates respond mainly to the
	path surprise; and short-term interest rates respond to both surprises.
	On average, a hypothetical surprise 25-basis-point cut in the federal
	funds target rate is associated with about a 1 percent increase in
	foreign equity indexes and a 5 basis point decline in foreign short-term
	interest rates. A surprise 25-basis-point downward revision in the
	expected path of future policy is associated with about a percent
	decline in the exchange value of the dollar against foreign currencies
	and 5 and 8 basis point declines in short- and long-term interest
	rates, respectively. We also find that asset prices' responses to
	FOMC announcements vary greatly across countries, and that these
	cross-country variations in the response are related to a country's
	exchange rate regime. Equity indexes and interest rates in countries
	with a less flexible exchange rate regime respond more to U.S. monetary
	policy surprises. In addition, the cross-country variation in the
	equity market response is strongly related to the percentage of each
	country's equity market capitalization owned by U.S. investors. This
	result suggests that investors' asset holdings may play a role in
	transmitting monetary policy surprises across countries.},
  bdsk-url-1 = {https://ideas.repec.org/a/eee/jimfin/v30y2011i3p547-571.html},
  groups     = {[FELDKIRC:]},
  keywords   = {Monetary policy announcements Equity markets Interest rates Exchange rates Exchange rate regime},
  url        = {https://ideas.repec.org/a/eee/jimfin/v30y2011i3p547-571.html},
}

@Article{Huber2019,
  author     = {Florian Huber and Martin Feldkircher},
  journal    = {Journal of Business \& Economic Statistics},
  title      = {Adaptive Shrinkage in Bayesian Vector Autoregressive Models},
  year       = {2019},
  number     = {1},
  pages      = {27--39},
  volume     = {37},
  bdsk-url-1 = {https://doi.org/10.1080/07350015.2016.1256217},
  doi        = {10.1080/07350015.2016.1256217},
  eprint     = {https://doi.org/10.1080/07350015.2016.1256217},
  groups     = {[FELDKIRC:]},
  publisher  = {Taylor \& Francis},
  url        = {https://doi.org/10.1080/07350015.2016.1256217},
}

@Article{Kuttner2001,
  author   = {Kuttner, Kenneth N.},
  journal  = {Journal of Monetary Economics},
  title    = {{Monetary policy surprises and interest rates: Evidence from the Fed funds futures market}},
  year     = {2001},
  month    = {June},
  number   = {3},
  pages    = {523-544},
  volume   = {47},
  abstract = {This paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Bond rates' response to anticipated changes is essentially zero, while their response to unanticipated movements is large and highly significant. Surprise policy actions have little effect on near-term expectations of future actions, which helps explain the failure of the expectations hypothesis on the short end of the yield curve.<br><small>(This abstract was borrowed from another version of this item.)</small>},
  groups   = {[FELDKIRC:]},
  url      = {https://ideas.repec.org/a/eee/moneco/v47y2001i3p523-544.html},
}

@Article{Huber2018,
  author       = {{Huber}, F. and {Kastner}, G. and {Feldkircher}, M.},
  journal      = {Journal of Applied Econometrics},
  title        = {{Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models}},
  year         = {2018},
  volume       = {forthcoming},
  groups       = {[FELDKIRC:]},
  keywords     = {Statistics - Methodology, Economics - Econometrics, Statistics - Applications, Statistics - Computation},
  primaryclass = {stat.ME},
}

@InCollection{Kamin2013,
  author    = {Kamin, Steven B.},
  booktitle = {Handbooks in Financial Globalization},
  publisher = {Elsevier UK: Academic Press},
  title     = {{Financial Globalization and Monetary Policy}},
  year      = {2013},
  pages     = {391--415},
  volume    = {3},
  groups    = {[FELDKIRC:]},
}

@Article{Kastner2013,
  author    = {Kastner, G},
  journal   = {R package version 0.7-1, URL http://CRAN. R-project. org/package= stochvol},
  title     = {{stochvol: Efficient Bayesian inference for stochastic volatility (SV) models}},
  year      = {2013},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2018.03.30},
}

@Article{Klein2008,
  author     = {Klein, Michael W. and Shambaugh, Jay C.},
  journal    = {Journal of International Economics},
  title      = {{The dynamics of exchange rate regimes: Fixes, floats, and flips}},
  year       = {2008},
  month      = {May},
  number     = {1},
  pages      = {70--92},
  volume     = {75},
  bdsk-url-1 = {https://ideas.repec.org/a/eee/inecon/v75y2008i1p70-92.html},
  groups     = {[FELDKIRC:]},
  url        = {https://ideas.repec.org/a/eee/inecon/v75y2008i1p70-92.html},
}

@Article{Koop2012,
  author    = {Koop, Gary},
  journal   = {Central European Journal of Economic Modelling and Econometrics},
  title     = {Using VARs and TVP-VARs with Many Macroeconomic Variables},
  year      = {2012},
  number    = {3},
  pages     = {143--167},
  volume    = {4},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Polska Akademia Nauk Oddzia{\l} w {\L}odzi},
  timestamp = {2018.03.30},
}

@Article{Koop2013a,
  author    = {Koop, Gary and Korobilis, Dimitris},
  journal   = {Journal of Econometrics},
  title     = {Large time-varying parameter VARs},
  year      = {2013},
  number    = {2},
  pages     = {185--198},
  volume    = {177},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Article{Koop2011,
  author     = {Koop, Gary and Leon-Gonzalez, Roberto and Strachan, Rodney W.},
  journal    = {Journal of Econometrics},
  title      = {{Bayesian inference in a time varying cointegration model}},
  year       = {2011},
  number     = {2},
  pages      = {210--220},
  volume     = {165},
  bdsk-url-1 = {http://ideas.repec.org/a/eee/econom/v165y2011i2p210-220.html},
  groups     = {[FELDKIRC:]},
  keywords   = {Bayesian; Time varying cointegration; Error correction model; Reduced rank regression; Markov Chain},
  owner      = {FELDKIRC},
  timestamp  = {2018.03.30},
  url        = {http://ideas.repec.org/a/eee/econom/v165y2011i2p210-220.html},
}

@Article{Korobilis2013,
  author    = {Korobilis, Dimitris},
  journal   = {Oxford Bulletin of Economics and Statistics},
  title     = {{Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models}},
  year      = {2013},
  number    = {2},
  pages     = {157--179},
  volume    = {75},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2018.03.30},
}

@Article{Kose2009,
  author        = {Kose, M. A. and Prasad, E. and Rogoff, K. and Wei, S.J.},
  journal       = {IMF Staff Papers},
  title         = {{Financial Globalization: A Reappraisal}},
  year          = {2009},
  number        = {1},
  pages         = {8--62},
  volume        = {56},
  date-added    = {2018-04-22 12:33:42 +0000},
  date-modified = {2018-04-22 12:43:57 +0000},
  groups        = {[FELDKIRC:]},
  institution   = {IMF},
  rating        = {0},
}

@Article{Lane2007,
  author     = {Philip R. Lane and Gian Maria Milesi-Ferretti},
  journal    = {Journal of International Economics},
  title      = {The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970{\^a}Ã¢Â‚Â¬``2004},
  year       = {2007},
  issn       = {0022-1996},
  number     = {2},
  pages      = {223--250},
  volume     = {73},
  bdsk-url-1 = {http://www.sciencedirect.com/science/article/pii/S0022199607000591},
  bdsk-url-2 = {http://dx.doi.org/10.1016/j.jinteco.2007.02.003},
  doi        = {http://dx.doi.org/10.1016/j.jinteco.2007.02.003},
  groups     = {[FELDKIRC:]},
  keywords   = {Financial integration},
  url        = {http://www.sciencedirect.com/science/article/pii/S0022199607000591},
}

@Article{Ley2009,
  author     = {Eduardo Ley and Mark F.J. Steel},
  journal    = {Journal of Applied Econometrics},
  title      = {On the effect of prior assumptions in Bayesian model averaging with applications to growth regression},
  year       = {2009},
  number     = {4},
  pages      = {651--674},
  volume     = {24},
  bdsk-url-1 = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1057},
  bdsk-url-2 = {http://dx.doi.org/10.1002/jae.1057},
  doi        = {10.1002/jae.1057},
  eprint     = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.1057},
  groups     = {[FELDKIRC:]},
  owner      = {FELDKIRC},
  timestamp  = {2018.03.30},
  url        = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1057},
}

@Manual{Leydold2015,
  title      = {{GIGrvg}: Random variate generator for the {GIG} distribution},
  author     = {Josef Leydold and Wolfgang H{\"o}rmann},
  note       = {R package version 0.4},
  year       = {2015},
  bdsk-url-1 = {http://CRAN.R-project.org/package=GIGrvg},
  groups     = {[FELDKIRC:]},
  url        = {http://CRAN.R-project.org/package=GIGrvg},
}

@Article{Li2010,
  author     = {Yun Daisy Li and Talan B. Iscan and Kuan Xu},
  journal    = {Journal of International Money and Finance},
  title      = {The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States},
  year       = {2010},
  issn       = {0261-5606},
  number     = {5},
  pages      = {876--896},
  volume     = {29},
  bdsk-url-1 = {http://www.sciencedirect.com/science/article/pii/S0261560610000422},
  bdsk-url-2 = {https://doi.org/10.1016/j.jimonfin.2010.03.008},
  doi        = {https://doi.org/10.1016/j.jimonfin.2010.03.008},
  groups     = {[FELDKIRC:]},
  keywords   = {Monetary policy shocks, Stock prices, Open economy, Structural vector autoregressive model},
  url        = {http://www.sciencedirect.com/science/article/pii/S0261560610000422},
}

@TechReport{Lopes2013,
  author      = {Lopes, Hedibert F and McCulloch, RE and Tsay, RS},
  institution = {University of Chicago, mimeo.},
  title       = {{Cholesky Stochastic Volatility Models for High-Dimensional Time Series}},
  year        = {2013},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2018.03.30},
}

@Article{Masanjala2008,
  author     = {Masanjala, Winford H. and Papageorgiou, Chris},
  journal    = {Journal of Applied Econometrics},
  title      = {Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging},
  year       = {2008},
  issn       = {1099-1255},
  number     = {5},
  pages      = {671--682},
  volume     = {23},
  bdsk-url-1 = {http://dx.doi.org/10.1002/jae.1020},
  doi        = {10.1002/jae.1020},
  groups     = {[FELDKIRC:]},
  publisher  = {John Wiley \& Sons, Ltd.},
  url        = {http://dx.doi.org/10.1002/jae.1020},
}

@Article{Miniane2007,
  author     = {Miniane, Jacques and Rogers, John H.},
  journal    = {Journal of Money, Credit and Banking},
  title      = {{Capital Controls and the International Transmission of U.S. Money Shocks}},
  year       = {2007},
  number     = {5},
  pages      = {1003--1035},
  volume     = {39},
  abstract   = {We assess whether capital controls effectively insulate countries
	from U.S. monetary shocks, examining a large range of country experiences
	in a unified estimation framework. We estimate the effect of identified
	U.S. monetary shocks on the exchange rate and foreign country interest
	rates, and test whether countries with less open capital accounts
	exhibit systematically smaller responses. We find essentially no
	evidence of this. Other country factors such as the exchange rate
	regime or degree of dollarization explain more of the cross-country
	differences in responses. The significant differences in responses
	we do find are more pronounced at short horizons.},
  bdsk-url-1 = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1538-4616.2007.00056.x},
  bdsk-url-2 = {http://dx.doi.org/10.1111/j.1538-4616.2007.00056.x},
  doi        = {10.1111/j.1538-4616.2007.00056.x},
  eprint     = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1538-4616.2007.00056.x},
  groups     = {[FELDKIRC:]},
  keywords   = {F32, F34, capital mobility, foreign shocks},
  url        = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1538-4616.2007.00056.x},
}

@TechReport{Miranda-Agrippino2015,
  author      = {Silvia Miranda-Agrippino and Helene Rey},
  institution = {NBER},
  title       = {World asset markets and the global financial cycle},
  year        = {2015},
  month       = {Nov},
  number      = {21722},
  type        = {NBER Working Paper},
  groups      = {[FELDKIRC:]},
}

@TechReport{Miranda-Agrippino2015a,
  author      = {Silvia Miranda-Agrippino and Giovanni Ricco},
  institution = {Centre for Macroeconomics (CFM)},
  title       = {{The Transmission of Monetary Policy Shocks}},
  year        = {2015},
  month       = Sep,
  number      = {1711},
  type        = {Discussion Papers},
  abstract    = {Despite years of research, there is still uncertainty around the effects
	of monetary policy shocks. We reassess the empirical evidence by
	combining a new identification that accounts for informational rigidities,
	with a exible econometric method robust to misspecifications that
	bridges between VARs and Local Projections. We show that most of
	the lack of robustness of the results in the extant literature is
	due to compounding unrealistic assumptions of full information with
	the use of severely misspecified models. Using our novel methodology,
	we find that a monetary tightening is unequivocally contractionary,
	with no evidence of either price or output puzzles.},
  bdsk-url-1  = {https://ideas.repec.org/p/cfm/wpaper/1711.html},
  groups      = {[FELDKIRC:]},
  keywords    = {Monetary Policy; Local Projections; VARs; Expectations; Information Rigidity; Survey Forecasts; Exte},
  url         = {https://ideas.repec.org/p/cfm/wpaper/1711.html},
}

@Article{Mishkin2009,
  author        = {Frederic S. Mishkin},
  journal       = {Journal of Money, Credit and Banking},
  title         = {{Globalization, Macroeconomic Performance, and Monetary Policy}},
  year          = {2009},
  number        = {s1},
  pages         = {187--196},
  volume        = {41},
  abstract      = {The paper argues that many of the exaggerated claims that globalization
	has been an important factor in lowering inflation in recent years
	just do not hold up. Globalization does, however, have the potential
	to be stabilizing for individual economies and has been a key factor
	in promoting economic growth. The paper then examines four questions
	about the impact of globalization on the monetary transmission mechanism
	and arrives at the following answers: (i) Has globalization led to
	a decline in the sensitivity of inflation to domestic output gaps
	and thus to domestic monetary policy? No. (ii) Are foreign output
	gaps playing a more prominent role in the domestic inflation process,
	so that domestic monetary policy has more difficulty stabilizing
	inflation? No. (iii) Can domestic monetary policy still control domestic
	interest rates and so stabilize both inflation and output? Yes. (iv)
	Are there other ways, besides possible influences on inflation and
	interest rates, in which globalization may have affected the transmission
	mechanism of monetary policy? Yes.},
  bdsk-url-1    = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1538-4616.2008.00204.x},
  bdsk-url-2    = {https://doi.org/10.1111/j.1538-4616.2008.00204.x},
  date-added    = {2018-04-24 07:41:26 +0000},
  date-modified = {2018-04-24 08:40:33 +0000},
  doi           = {10.1111/j.1538-4616.2008.00204.x},
  eprint        = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1538-4616.2008.00204.x},
  groups        = {[FELDKIRC:]},
  keywords      = {E52, F41, globalization, monetary policy, inflation, monetary transmission mechanism, aggregate output},
  url           = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1538-4616.2008.00204.x},
}

@Book{Mishkin2006,
  author        = {Frederic S. Mishkin},
  publisher     = {Princeton University Press},
  title         = {{The Next Great Globalization: How Disadvantaged Nations Can Harness Their Financial Systems to Get Rich}},
  year          = {2006},
  isbn          = {9780691136417},
  abstract      = {<p>Many prominent critics regard the international financial system
	as the dark side of globalization, threatening disadvantaged nations
	near and far. But in<em>The Next Great Globalization</em>, eminent
	economist Frederic Mishkin argues the opposite: that financial globalization
	today is essential for poor nations to become rich. Mishkin argues
	that an effectively managed financial globalization promises benefits
	on the scale of the hugely successful trade and information globalizations
	of the nineteenth and twentieth centuries. This financial revolution
	can lift developing nations out of squalor and increase the wealth
	and stability of emerging and industrialized nations alike. By presenting
	an unprecedented picture of the potential benefits of financial globalization,
	and by showing in clear and hard-headed terms how these gains can
	be realized, Mishkin provides a hopeful vision of the next phase
	of globalization.</p><p>Mishkin draws on historical examples to caution
	that mismanagement of financial globalization, often aided and abetted
	by rich elites, can wreak havoc in developing countries, but he uses
	these examples to demonstrate how better policies can help poor nations
	to open up their economies to the benefits of global investment.
	According to Mishkin, the international community must provide incentives
	for developing countries to establish effective property rights,
	banking regulations, accounting practices, and corporate governance--the
	institutions necessary to attract and manage global investment. And
	the West must be a partner in integrating the financial systems of
	rich and poor countries--to the benefit of both.</p><p><em>The Next
	Great Globalization</em>makes the case that finance will be a driving
	force in the twenty-first-century economy, and demonstrates how this
	force can and should be shaped to the benefit of all, especially
	the disadvantaged nations most in need of growth and prosperity.</p>},
  bdsk-url-1    = {http://www.jstor.org/stable/j.ctt7t55r},
  date-added    = {2018-04-24 07:39:21 +0000},
  date-modified = {2018-04-24 07:42:27 +0000},
  groups        = {[FELDKIRC:]},
  url           = {http://www.jstor.org/stable/j.ctt7t55r},
}

@TechReport{Moder2017,
  author      = {Moder, Isabella},
  institution = {European Central Bank},
  title       = {{Spillovers from the ECB's non-standard monetary policy measures on Southeastern Europe}},
  year        = {2017},
  number      = {2095},
  type        = {Working Paper},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2017.02.20},
}

@Article{Mountford2009,
  author    = {Mountford, Andrew and Uhlig, Harald},
  journal   = {Journal of applied econometrics},
  title     = {What are the effects of fiscal policy shocks?},
  year      = {2009},
  number    = {6},
  pages     = {960--992},
  volume    = {24},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2018.03.30},
}

@TechReport{Neri2006,
  author      = {Neri, Stefano and Nobili, Andrea},
  institution = {Bank of Italy, Economic Research and International Relations Area},
  title       = {The transmission of monetary policy shocks from the US to the euro area},
  year        = {2006},
  month       = Dec,
  number      = {606},
  type        = {Temi di discussione (Economic working papers)},
  abstract    = {This paper studies the transmission of monetary policy shocks from
	the US to the euro-area using a two-country structural VAR with no
	exogeneity assumption. The analysis reveals the following results.
	First, in response to an unexpected increase in the Federal funds
	rate, the euro immediately depreciates with respect to the dollar
	and then appreciates in line with the prediction of the uncovered
	interest parity condition. Second, there is evidence of a temporary
	positive spillover to euro-area output in the short run, while a
	negative effect emerges in the medium run. Third, the contribution
	of the trade balance channel to the transmission of monetary shocks
	is negligible. Finally, the degree of pass-through of the exchange
	rate changes onto euro-area consumer prices is incomplete and small
	in the short run, while it is close to zero in the medium run.},
  bdsk-url-1  = {http://ideas.repec.org/p/bdi/wptemi/td_606_06.html},
  groups      = {[FELDKIRC:]},
  keywords    = {VAR; Monetary Policy; International transmission},
  owner       = {FELDKIRC},
  timestamp   = {2018.03.30},
  url         = {http://ideas.repec.org/p/bdi/wptemi/td_606_06.html},
}

@Book{Obstfeld1995,
  author    = {Maurice Obstfeld and Kenneth Rogoff},
  publisher = {The MIT Press},
  title     = {Foundations of International Macroeconomics},
  year      = {1995},
  groups    = {[FELDKIRC:]},
}

@Article{Orphanides2003,
  author     = {Orphanides, Athanasios},
  journal    = {Journal of Monetary Economics},
  title      = {{Historical monetary policy analysis and the Taylor rule}},
  year       = {2003},
  month      = {July},
  number     = {5},
  pages      = {983--1022},
  volume     = {50},
  abstract   = {This study examines the usefulness of the Taylor-rule framework as
	an organizing device for describing the policy debate and evolution
	of monetary policy in the United States. Monetary policy during the
	1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly
	interpreted in terms of this framework with rather surprising consistency.
	In broad terms, during these periods policy has been generally formulated
	in a forward-looking manner with price stability and economic stability
	serving as implicit or explicit guides. As early as the 1920s, measures
	of real economic activity relative to \&quot;normal\&quot; or \&quot;potential\&quot;
	supply appear to have influenced policy analysis and deliberations.
	Confidence in such measures as guides for activist monetary policy
	proved counterproductive at times, resulting in excessive activism,
	such as during the Great Inflation and at the brink of the Great
	Depression. Policy during the past two decades is broadly consistent
	with natural-growth targeting variants of the Taylor rule that exhibit
	less activism.<P>(This abstract was borrowed from another version
	of this item.)},
  bdsk-url-1 = {http://ideas.repec.org/a/eee/moneco/v50y2003i5p983-1022.html},
  groups     = {[FELDKIRC:]},
  url        = {http://ideas.repec.org/a/eee/moneco/v50y2003i5p983-1022.html},
}

@Article{Pitt1999,
  author    = {Pitt, Mark and Shephard, Neil},
  journal   = {Bayesian statistics},
  title     = {Time varying covariances: a factor stochastic volatility approach},
  year      = {1999},
  pages     = {547--570},
  volume    = {6},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Oxford University Press},
  timestamp = {2018.03.30},
}

@Article{Quinn2011,
  author        = {Quinn, D. P. and Schindler, M. and Toyoda, M. A.},
  journal       = {IMF Economic Review},
  title         = {{Assessing Measures of Financial Openness and Integration}},
  year          = {2011},
  number        = {3},
  pages         = {488--522},
  volume        = {59},
  date-added    = {2018-04-22 12:44:31 +0000},
  date-modified = {2018-04-22 12:45:42 +0000},
  groups        = {[FELDKIRC:]},
}

@TechReport{Rey2015,
  author      = {Helene Rey},
  institution = {NBER},
  title       = {Dilemma not Trilemma: the global cycle and monetary policy independence},
  year        = {2015},
  month       = {May},
  type        = {NBER Working Paper},
  booktitle   = {Symposium on ``Global Dimensions of Uncoventional Monetary Policy''},
  groups      = {[FELDKIRC:]},
}

@Article{Ritter1992,
  author    = {Ritter, Christian and Tanner, Martin A},
  journal   = {Journal of the American Statistical Association},
  title     = {Facilitating the Gibbs sampler: the Gibbs stopper and the griddy-Gibbs sampler},
  year      = {1992},
  number    = {419},
  pages     = {861--868},
  volume    = {87},
  groups    = {[FELDKIRC:]},
  publisher = {Taylor \& Francis Group},
}

@Article{Rogers2018,
  author   = {Rogers, John H. and Scotti, Chiara and Wright, Jonathan H.},
  journal  = {Journal of Money, Credit and Banking},
  title    = {Unconventional Monetary Policy and International Risk Premia},
  year     = {2018},
  volume   = {forthcoming},
  abstract = {Abstract We assess the relationship between monetary policy, foreign exchange risk premia, and term premia including the period at the zero lower bound (ZLB). We estimate a structural vector autoregression including U.S. and foreign interest rates and exchange rates and identify monetary policy shocks through a method that uses high-frequency monetary policy surprises as the external instrument that achieves identification without using implausible restrictions. We split out effects of different types of monetary policy surprises that apply at the ZLB, including forward guidance and asset purchases. This allows us to measure the effects of policy shocks on expectations, and hence risk premia.},
  doi      = {10.1111/jmcb.12511},
  eprint   = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jmcb.12511},
  groups   = {[FELDKIRC:]},
  keywords = {C1, E58, federal reserve, external instruments, monetary policy shocks},
  url      = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jmcb.12511},
}

@InCollection{Rudebusch1999,
  author    = {Rudebusch, Glenn and Svensson, Lars EO},
  booktitle = {Monetary policy rules},
  publisher = {University of Chicago Press},
  title     = {Policy rules for inflation targeting},
  year      = {1999},
  pages     = {203--262},
  groups    = {[FELDKIRC:]},
}

@Article{Rue2001,
  author    = {Rue, H{\aa}vard},
  journal   = {Journal of the Royal Statistical Society: Series B (Statistical Methodology)},
  title     = {Fast sampling of Gaussian Markov random fields},
  year      = {2001},
  number    = {2},
  pages     = {325--338},
  volume    = {63},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Wiley Online Library},
  timestamp = {2018.03.30},
}

@Article{Shambaugh2004,
  author  = {Shambaugh, J. C.},
  journal = {The Quarterly Journal of Economics},
  title   = {{The Effect of Fixed Exchange Rates on Monetary Policy}},
  year    = {2004},
  pages   = {301--352},
  groups  = {[FELDKIRC:]},
}

@Article{Sims2001a,
  author    = {Sims, C. A.},
  journal   = {NBER Macroeconomics Annual},
  title     = {{Discussion of Cogley and Sargent 'Evolving Post World War II U.S. Inflation Dynamics'}},
  year      = {2001},
  pages     = {373--379},
  volume    = {16},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  timestamp = {2015.03.17},
}

@Article{Sims1992b,
  author    = {Sims, Christopher A},
  journal   = {European Economic Review},
  title     = {Interpreting the macroeconomic time series facts: The effects of monetary policy},
  year      = {1992},
  number    = {5},
  pages     = {975--1000},
  volume    = {36},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Elsevier},
  timestamp = {2018.03.30},
}

@Misc{Stein2012,
  author       = {Stein, Jeremy C},
  howpublished = {Speech at the Brookings Institution, Washington, D.C.},
  month        = {October},
  title        = {{Evaluating Large-Scale Asset Purchases}},
  year         = {2012},
  groups       = {[FELDKIRC:]},
  owner        = {FELDKIRC},
  timestamp    = {2015.12.02},
  url          = {http://www.federalreserve.gov/newsevents/speech/stein20121011a.htm},
}

@Article{Stock2012,
  author  = {James H. Stock and Mark W. Watson},
  journal = {Brookings Papers on Economic Activity},
  title   = {Disentangling the channels of the 2007-09 Recession},
  year    = {2012},
  month   = {Spring},
  number  = {1},
  pages   = {81--156},
  volume  = {44},
  groups  = {[FELDKIRC:]},
}

@TechReport{Wu2014,
  author      = {Wu, Tao},
  institution = {IMF Working Paper},
  title       = {{Unconventional Monetary Policy and Long-Term Interest Rates}},
  year        = {2014},
  number      = {WP/14/189},
  groups      = {[FELDKIRC:]},
  owner       = {FELDKIRC},
  timestamp   = {2015.12.01},
}

@Article{Zellner1976,
  author    = {Zellner, Arnold},
  journal   = {Journal of the American Statistical Association},
  title     = {Bayesian and non-Bayesian analysis of the regression model with multivariate Student-t error terms},
  year      = {1976},
  number    = {354},
  pages     = {400--405},
  volume    = {71},
  groups    = {[FELDKIRC:]},
  owner     = {FELDKIRC},
  publisher = {Taylor \& Francis},
  timestamp = {2018.03.30},
}

@Article{Zeugner2015,
  author     = {Stefan Zeugner and Martin Feldkircher},
  journal    = {Journal of Statistical Software},
  title      = {Bayesian Model Averaging Employing Fixed and Flexible Priors: The BMS Package for R},
  year       = {2015},
  issn       = {1548-7660},
  number     = {1},
  pages      = {1--37},
  volume     = {68},
  abstract   = {This article describes the BMS (Bayesian model sampling) package for
	R that implements Bayesian model averaging for linear regression
	models. The package excels in allowing for a variety of prior structures,
	among them the \"binomial-beta\" prior on the model space and the
	so-called \"hyper-g\" specifications for Zellner's g prior. Furthermore,
	the BMS package allows the user to specify her own model priors and
	offers a possibility of subjective inference by setting \"prior inclusion
	probabilities\" according to the researcher's beliefs. Furthermore,
	graphical analysis of results is provided by numerous built-in plot
	functions of posterior densities, predictive densities and graphical
	illustrations to compare results under different prior settings.
	Finally, the package provides full enumeration of the model space
	for small scale problems as well as two efficient MCMC (Markov chain
	Monte Carlo) samplers that sort through the model space when the
	number of potential covariates is large.},
  bdsk-url-1 = {https://www.jstatsoft.org/index.php/jss/article/view/v068i04},
  bdsk-url-2 = {http://dx.doi.org/10.18637/jss.v068.i04},
  doi        = {10.18637/jss.v068.i04},
  groups     = {[FELDKIRC:]},
  keywords   = {hyper-g prior; binomial-beta prior; empirical Bayes; customized prior inclusion probabilities; BMS; R},
  url        = {https://www.jstatsoft.org/index.php/jss/article/view/v068i04},
}

@Article{Koop2018,
  author  = {Koop, Gary and Korobilis, Dimitris and Pettenuzzo, Davide},
  journal = {Journal of Econometrics},
  title   = {Bayesian compressed vector autoregressions},
  year    = {2018},
  volume  = {forthcoming},
  groups  = {[FELDKIRC:]},
}

@TechReport{Damico2015,
  author      = {D'Amico, Stefania and King, Thomas B.},
  title       = {{What Does Anticipated Monetary Policy Do?}},
  institution = {Federal Reserve Bank of Chicago},
  year        = {2015},
  type        = {Working Paper Series},
  number      = {WP-2015-10},
  month       = Nov,
  abstract    = {Forward rate guidance, which has been used with increasing regularity by monetary policymakers, relies on the manipulation of expectations of future short-term interest rates. We identify shocks to these expectations at short and long horizons since the early 1980s and examine their effects on contemporaneous macroeconomic outcomes. Our identification uses sign restrictions on survey forecasts incorporated in a structural VAR model to isolate expected deviations from the monetary policy rule. We find that expectations of future policy easing that materialize over the subsequent four quarters Ã¯Â¿Â½ similar to those generated by credible forward guidance Ã¯Â¿Â½ have immediate and persistent stimulative effects on output, inflation and employment. The effects are larger than those produced by an identical shift in the policy path that is not anticipated. Our results are broadly consistent with the mechanism underlying forward guidance in New Keynesian models, but they suggest that those models overstate the persistence of the inflation response. Further, we find that changes in short-rate expectations farther in the future have weaker macroeconomic effects, the opposite of what most New Keynesian models predict.},
  keywords    = {Monetary policy; Keynesian models},
  url         = {https://ideas.repec.org/p/fip/fedhwp/wp-2015-10.html},
}

@TechReport{Leombroni2018,
  author      = {Leombroni, Matteo and Vedolin, Andrea and Venter, Gyuri and Whelan, Paul},
  title       = {{Central Bank Communication and the Yield Curve}},
  institution = {SSRN Working paper},
  year        = {2018},
  doi         = {http://dx.doi.org/10.2139/ssrn.2873091},
  url         = {https://ssrn.com/abstract=2873091},
}

@InBook{Greenwood2016,
  chapter   = {Forward Guidance in the Yield Curve: Short Rates versus Bond Supply},
  pages     = {11-62},
  title     = {Monetary Policy Through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World},
  publisher = {Central Bank of Chile},
  year      = {2016},
  author    = {Greenwood, Robin and Hanson, Samuel and Vayanos, Dimitri},
  editor    = {Albagli, Elias and Saravia, Diego and Woodford, Michael},
  volume    = {24},
}

@TechReport{Gilli2010,
  author      = {Manfred Gilli and Stefan GroÃ¯Â¿Â½e and Enrico Schumann},
  title       = {{Calibrating the NelsonÃ¯Â¿Â½SiegelÃ¯Â¿Â½Svensson model}},
  institution = {COMISEF},
  year        = {2010},
  type        = {Working Papers},
  number      = {031},
  month       = Mar,
  abstract    = {The NelsonÃ¯Â¿Â½SiegelÃ¯Â¿Â½Svensson model is widely-used for modelling the yield curve, yet many authors have reported Ã¯Â¿Â½numerical difficultiesÃ¯Â¿Â½ when calibrating the model. We argue that the problem is twofold: firstly, the optimisation problem is not convex and has multiple local optima. Hence standard methods that are readily available in statistical packages are not appropriate. We implement and test an optimisation heuristic, Differential Evolution, and show that it is capable of reliably solving the model. Secondly, we also stress that in certain ranges of the parameters, the model is badly conditioned, thus estimated parameters are unstable given small perturbations of the data. We discuss to what extent these difficulties affect applications of the model.},
  url         = {https://ideas.repec.org/p/com/wpaper/031.html},
}

@Article{Hubert2018,
  author      = {Paul Hubert and Fabien Labondance},
  title       = {{The Effect of ECB Forward Guidance on the Term Structure of Interest Rates}},
  journal     = {International Journal of Central Banking},
  year        = {2018},
  volume      = {14},
  number      = {5},
  pages       = {193--222},
  abstract    = {This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of private short-term interest rate expectations. We estimate the static and dynamic impact of forward guidance on private agentsÃ¯Â¿Â½ expectations about future short-term interest rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements decrease most of the term structure of private short-term interest rate expectations, this being robust to several specifications. The effect is stronger on longer maturities and persistent.},
  institution = {CRESE},
  keywords    = {Central bank communication; Short-term interest rate expectations; OIS},
  type        = {Working Papers},
  url         = {https://ideas.repec.org/p/crb/wpaper/2016-12.html},
}

@Article{Diebold2006,
  author   = {Diebold, Francis X. and Li, Canlin},
  title    = {{Forecasting the term structure of government bond yields}},
  journal  = {Journal of Econometrics},
  year     = {2006},
  volume   = {130},
  number   = {2},
  pages    = {337-364},
  month    = {February},
  abstract = {Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross section of interest rates at any given time but neglects time-series dynamics, nor the equilibrium approach, which focuses on time-series dynamics (primarily those of the instantaneous rate) but pays comparatively little attention to fitting the entire cross section at any given time and has been shown to forecast poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve, period-by-period, as a three dimensional parameter evolving dynamically. We show that the three time-varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency. We propose and estimate autoregressive models for the factors, and we show that our models are consistent with a variety of stylized facts regarding the yield curve. We use our models to produce term-structure forecasts at both short and long horizons encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts.<br><small>(This abstract was borrowed from another version of this item.)</small><br><small>(This abstract was borrowed from another version of this item.)</small>},
  url      = {https://ideas.repec.org/a/eee/econom/v130y2006i2p337-364.html},
}

@Article{Diebold2006a,
  author   = {Francis X. Diebold and Glenn D. Rudebusch and S. Bora\v{g}an Aruoba},
  title    = {The macroeconomy and the yield curve: a dynamic latent factor approach},
  journal  = {Journal of Econometrics},
  year     = {2006},
  volume   = {131},
  number   = {1},
  pages    = {309--338},
  issn     = {0304-4076},
  abstract = {We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well. We also relate our results to the expectations hypothesis.},
  doi      = {https://doi.org/10.1016/j.jeconom.2005.01.011},
  keywords = {Term structure, Interest rates, Macroeconomic fundamentals, Factor model, State-space model},
  url      = {http://www.sciencedirect.com/science/article/pii/S030440760500014X},
}

@Article{Nelson1987,
  author  = {Nelson, Charles R. and Siegel, Andrew F.},
  title   = {{Parsimonious Modeling of Yield Curves}},
  journal = {The Journal of Business},
  year    = {1987},
  volume  = {60},
  number  = {4},
  pages   = {473--489},
}

@Article{Neuenkirch2013,
  author  = {Neuenkirch, Matthias},
  title   = {{Monetary policy transmission in vector autoregressions: A new approach using central bank communication}},
  journal = {Journal of Banking \& Finance},
  year    = {2013},
  volume  = {37},
  pages   = {4278--4285},
}

@TechReport{Andrade2016,
  author={Philippe Andrade and Filippo Ferroni},
  title={{Delphic and Odyssean monetary policy shocks: Evidence from the euro-area}},
  year=2016,
  month=Oct,
  institution={School of Economics, University of Surrey},
  type={School of Economics Discussion Papers},
  url={https://ideas.repec.org/p/sur/surrec/1216.html},
  number={1216},
  abstract={In this paper, we study the impact of the ECB announcements on the market-based expectations of interest rates and of in ation rates. We nd that the impact of the ECB announcements on in ation expectations has changed over the last fteen years. In particular, while in the central part of our sample the ECB announcements were read as a signal about the economic conditions (i.e. Delphic component), in latest episodes they have been interpreted as a commitment device on future monetary policy accommodation (i.e. Odyssean component). We propose an approach to separately identify the Delphic and Odyssean component of the ECB monetary policy announcements and we measure their dynamic impact on the economy.},
  keywords={},
  doi={},
}

@TechReport{Feldkircher2018b,
  author={Martin Feldkircher and Pierre L. Siklos},
  title={{Global inflation dynamics and inflation expectations}},
  year=2018,
  month=Nov,
  institution={Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University},
  type={CAMA Working Papers},
  url={https://ideas.repec.org/p/een/camaaa/2018-60.html},
  number={2018-60},
  abstract={In this paper we investigate dynamics of global inflation and short-run inflation expectations. We estimate a global vector autoregressive (GVAR) model estimated using Bayesian techniques. We then explore the effect of three source of inflationary pressure that could drive up inflation expectations: domestic aggregate demand and supply shocks as well as a global increase in oil price inflation. Our results indicate that inflation expectations tend to increase as inflation accelerates. However, the effects of the demand and supply shock are for most countries only short-lived. If domestic inflation accelerates due to a global acceleration of oil price inflation, however, effects are generally more pronounced and long-lasting. This implies that to assess the link between actual inflation and inflation expectations appropriately, it is important to disentangle the underlying sources of inflationary pressure. We also examine whether the relationship between actual inflation and inflation expectations has changed since the global financial crisis. We find that the transmission between inflation and inflation expectations was largely unaffected in response to domestic demand and supply shocks, while effects of an oil price shock on inflation expectations are smaller post-crisis.},
  keywords={inflation; inflation expectations; GVAR modelling; anchoring of inflation expectations},
  doi={},
}

@Article{DeMiguel2007,
  author    = {DeMiguel, Victor and Garlappi, Lorenzo and Uppal, Raman},
  title     = {Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?},
  journal   = {The Review of Financial Studies},
  year      = {2007},
  volume    = {22},
  number    = {5},
  pages     = {1915--1953},
  publisher = {Oxford University Press},
}


@Article{Garleanu2013,
  author    = {G{\^a}rleanu, Nicolae and Pedersen, Lasse Heje},
  title     = {Dynamic trading with predictable returns and transaction costs},
  journal   = {The Journal of Finance},
  year      = {2013},
  volume    = {68},
  number    = {6},
  pages     = {2309--2340},
  publisher = {Wiley Online Library},
}

@Article{Jorion1985,
  author    = {Jorion, Philippe},
  title     = {International portfolio diversification with estimation risk},
  journal   = {Journal of Business},
  year      = {1985},
  pages     = {259--278},
  publisher = {JSTOR},
}

@Article{Bansal2011,
  author    = {Bansal, Ravi and Kiku, Dana},
  title     = {Cointegration and long-run asset allocation},
  journal   = {Journal of Business \& Economic Statistics},
  year      = {2011},
  volume    = {29},
  number    = {1},
  pages     = {161--173},
  publisher = {Taylor \& Francis},
}

@Article{Han2005,
  author    = {Han, Yufeng},
  title     = {Asset allocation with a high dimensional latent factor stochastic volatility model},
  journal   = {The Review of Financial Studies},
  year      = {2005},
  volume    = {19},
  number    = {1},
  pages     = {237--271},
  publisher = {Oxford University Press},
}

@Article{Hautsch2019,
  author    = {Hautsch, Nikolaus and Voigt, Stefan},
  title     = {Large-scale portfolio allocation under transaction costs and model uncertainty},
  journal   = {Journal of Econometrics},
  year      = {2019},
  volume    = {forthcoming},
  publisher = {Elsevier},
}

@InCollection{Stock2016,
  author    = {James H. Stock and Mark W. Watson},
  publisher = {Elsevier},
  title     = {Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics},
  year      = {2016},
  chapter   = {8},
  editor    = {John B. Taylor and Harald Uhlig},
  pages     = {415--525},
  series    = {Handbook of Macroeconomics},
  groups    = {FELDKIRC:6},
}

@TechReport{Eickmeier2011,
  author      = {Eickmeier, Sandra and Lemke, Wolfgang and Marcellino, Massimiliano},
  institution = {Deutsche Bundesbank},
  title       = {{Classical time-varying FAVAR models - estimation, forecasting and structural analysis}},
  year        = {2011},
  number      = {2011,04},
  type        = {Discussion Paper Series 1: Economic Studies},
  abstract    = {We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s.},
  groups      = {FELDKIRC:6},
  keywords    = {FAVAR; time-varying parameters; monetary transmission; forecasting},
  url         = {https://ideas.repec.org/p/zbw/bubdp1/201104.html},
}

@Article{Eickmeier2011a,
  author   = {Sandra Eickmeier and Tim Ng},
  journal  = {International Journal of Forecasting},
  title    = {Forecasting national activity using lots of international predictors: An application to New Zealand},
  year     = {2011},
  issn     = {0169-2070},
  number   = {2},
  pages    = {496 - 511},
  volume   = {27},
  abstract = {We assess the marginal predictive content of a large international dataset for forecasting GDP in New Zealand, an archetypal small open economy. We apply Ã¢Â€Âœdata-richÃ¢Â€? factor and shrinkage methods to efficiently handle hundreds of predictor series from many countries. The methods covered are principal components, targeted predictors, weighted principal components, partial least squares, elastic net and ridge regression. We find that exploiting a large international dataset can improve forecasts relative to data-rich approaches based on a large national dataset only, and also relative to more traditional approaches based on small datasets. This is in spite of New ZealandÃ¢Â€Â™s business and consumer confidence and expectations data capturing a substantial proportion of the predictive information in the international data. The largest forecasting accuracy gains from including international predictors are at longer forecast horizons. The forecasting performance achievable with the data-rich methods differs widely, with shrinkage methods and partial least squares performing best in handling the international data.},
  doi      = {https://doi.org/10.1016/j.ijforecast.2009.10.011},
  groups   = {FELDKIRC:6},
  keywords = {Forecasting, Factor models, Shrinkage methods, Principal components, Targeted predictors, Weighted principal components, Partial least squares, Ridge regression, Elastic net, International business cycles},
  url      = {http://www.sciencedirect.com/science/article/pii/S0169207010000038},
}

@Article{Dees2014a,
  author    = {D\'{e}es, St\'{e}phan and Pesaran, M.H. and Smith, V.L. and Smith, R. P.},
  journal   = {Oxford Bulletin of Economics and Statistics},
  title     = {{Constructing Multi-country Rational Expectations Models}},
  year      = {2014},
  volume    = {forthcoming},
  groups    = {FELDKIRC:6},
  owner     = {FELDKIRC},
  timestamp = {2014.11.27},
}

@Article{Dees2017,
  author  = {D\'{e}es, St\'{e}phane and G\"{u}ntner, Jochen},
  journal = {Journal of Forecasting},
  title   = {{Forecasting Inflation Across Euro Area Countries and Sectors: A Panel VAR Approach}},
  year    = {2017},
  pages   = {431--453},
  volume  = {36},
  doi     = {10.1002/for.2444},
  groups  = {FELDKIRC:6},
}

@Article{Gupta2010,
  author    = {Gupta, R. and Kabundi, A.},
  journal   = {Journal of Forecasting},
  title     = {{Forecasting macroeconomic variables in a small open economy: A comparison between small- and large-scale model}},
  year      = {2010},
  pages     = {168--186},
  volume    = {29},
  groups    = {FELDKIRC:6},
  owner     = {mfeldk},
  timestamp = {2013.06.07},
}

@Article{Litterman1986a,
  author    = {Robert B. Litterman},
  journal   = {Journal of Business \& Economic Statistics},
  title     = {Forecasting with Bayesian Vector Autoregressions: Five Years of Experience},
  year      = {1986},
  number    = {1},
  pages     = {25--38},
  volume    = {4},
  groups    = {FELDKIRC:6},
  publisher = {[American Statistical Association, Taylor \& Francis, Ltd.]},
}

@Article{Miranda-Agrippino2019,
  author  = {{Miranda-Agrippino}, Silvia and Ricco, Giovanni},
  journal = {Oxford Research Encyclopedia of Economics and Finance},
  title   = {{Bayesian Vector Autoregressions}},
  year    = {2019},
  pages   = {forthcoming},
  groups  = {FELDKIRC:6},
}

@Article{Korobilis2016,
  author   = {Korobilis, Dimitris},
  journal  = {Computational Statistics \& Data Analysis},
  title    = {{Prior selection for panel vector autoregressions}},
  year     = {2016},
  number   = {C},
  pages    = {110-120},
  volume   = {101},
  abstract = {Bayesian shrinkage priors have been very popular in estimating vector autoregressions (VARs) of possibly large dimensions. Many of these priors are not appropriate for multi-country settings, as they cannot account for the type of restrictions typically met in panel vector autoregressions (PVARs). With this in mind, new parametric and semi-parametric priors for PVARs are proposed, which perform valuable shrinkage in large dimensions and also allow for soft clustering of variables or countries which are homogeneous. The implication of these new priors for modeling interdependencies and heterogeneities among different countries in a panel VAR setting, is discussed. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains from the new priors compared to existing popular priors for VARs and PVARs.},
  doi      = {10.1016/j.csda.2016.03.00},
  groups   = {FELDKIRC:6},
  keywords = {Bayesian model selection; Shrinkage; Spike and slab priors; Forecasting; Large vector autoregression},
  url      = {https://ideas.repec.org/a/eee/csdana/v101y2016icp110-120.html},
}

@Article{Koop2016,
  author   = {Gary Koop and Dimitris Korobilis},
  journal  = {European Economic Review},
  title    = {Model uncertainty in Panel Vector Autoregressive models},
  year     = {2016},
  issn     = {0014-2921},
  note     = {Model Uncertainty in Economics},
  pages    = {115 - 131},
  volume   = {81},
  abstract = {We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across cross-sectional units. The resulting BMA framework can find a parsimonious PVAR specification, thus dealing with overparameterization concerns. We use these methods in an application involving the euro area sovereign debt crisis and show that our methods perform better than alternatives. Our findings contradict a simple view of the sovereign debt crisis which divides the euro zone into groups of core and peripheral countries and worries about financial contagion within the latter group.},
  doi      = {https://doi.org/10.1016/j.euroecorev.2015.09.006},
  groups   = {FELDKIRC:6},
  keywords = {Bayesian model averaging, Stochastic search variable selection, Financial contagion, Sovereign debt crisis},
  url      = {http://www.sciencedirect.com/science/article/pii/S0014292115001440},
}

@Article{Kose2003,
  author   = {M. Ayhan Kose and Christopher Otrok and Charles H. Whiteman},
  journal  = {American Economic Review},
  title    = {{International Business Cycles: World, Region, and Country-Specific Factors}},
  year     = {2003},
  month    = {September},
  number   = {4},
  pages    = {1216-1239},
  volume   = {93},
  abstract = {The paper investigates the common dynamic properties of business-cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common components in macroeconomic aggregates (output, consumption, and investment) in a 60-country sample covering seven regions of the world. The results indicate that a common world factor is an important source of volatility for aggregates in most countries, providing evidence for a world business cycle. We find that region-specific factors play only a minor role in explaining fluctuations in economic activity. We also document similarities and differences across regions, countries, and aggregates. (JEL F41, E32, C11, C32)},
  groups   = {FELDKIRC:6},
  url      = {https://ideas.repec.org/a/aea/aecrev/v93y2003i4p1216-1239.html},
}

@TechReport{Koop2019,
  author  = {Gary Koop and Dimitris Korobilis},
  title   = {{Forecasting with High-Dimensional Panel VARs}},
  year    = {2019},
  groups  = {FELDKIRC:6},
  journal = {Oxford Bulletin of Economics and Statistics\textup{, forthcoming}},
}

@TechReport{Canova2013,
  author      = {Canova, Fabio and Ciccarelli, Matteo},
  institution = {European Central Bank},
  title       = {{Panel vector autoregressive models: a survey}},
  year        = {2013},
  month       = Jan,
  number      = {1507},
  type        = {Working Paper Series},
  abstract    = {This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal with dynamic models involving heterogeneous units. Finally, it shows how structural time variation can be dealt with and illustrates the challanges that they present to researchers interested in studying cross-unit dynamics interdependences in heterogeneous setups. JEL Classification: C11, C30, C53},
  groups      = {FELDKIRC:6},
  keywords    = {estimation; identification; inference; panel VAR},
  url         = {https://ideas.repec.org/p/ecb/ecbwps/20131507.html},
}

@Article{Moench2008,
  author   = {Moench, Emanuel},
  journal  = {Journal of Econometrics},
  title    = {{Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach}},
  year     = {2008},
  month    = {September},
  number   = {1},
  pages    = {26-43},
  volume   = {146},
  abstract = {This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a Factor-Augmented Vector Autoregression and the term structure is derived using parameter restrictions implied by no-arbitrage. The model has economic appeal and provides better out-of-sample yield forecasts at intermediate and long horizons than a number of previously suggested approaches. The forecast improvement is highly significant and particularly pronounced for short and medium-term maturities.},
  groups   = {FELDKIRC:6},
  keywords = {Yield curve Factor-augmented VAR Affine term structure models Dynamic factor models Forecasting},
  url      = {https://ideas.repec.org/a/eee/econom/v146y2008i1p26-43.html},
}

@Article{Banerjee2014,
  author   = {Anindya Banerjee and Massimiliano Marcellino and Igor Masten},
  journal  = {International Journal of Forecasting},
  title    = {Forecasting with factor-augmented error correction models},
  year     = {2014},
  issn     = {0169-2070},
  number   = {3},
  pages    = {589 - 612},
  volume   = {30},
  abstract = {As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular, it uses a larger dataset than the ECM and incorporates the long-run information which the FAVAR is missing because of its specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets.},
  doi      = {https://doi.org/10.1016/j.ijforecast.2013.01.009},
  groups   = {FELDKIRC:6},
  keywords = {Forecasting, Dynamic factor models, Error correction models, Cointegration, Factor-augmented error correction models, FAVAR},
  url      = {http://www.sciencedirect.com/science/article/pii/S0169207013000368},
}

@Article{Bredendiek2016,
  author  = {Bredendiek, Maximilian and Ottonello, Giorgio and Valkanov, Rossen I},
  title   = {Corporate Bond Portfolios and Macroeoconomic Conditions},
  journal = {Available at SSRN},
  year    = {2016},
}

@Article{Benzoni2007,
  author    = {Benzoni, Luca and Collin-Dufresne, Pierre and Goldstein, Robert S},
  title     = {Portfolio choice over the life-cycle when the stock and labor markets are cointegrated},
  journal   = {The Journal of Finance},
  year      = {2007},
  volume    = {62},
  number    = {5},
  pages     = {2123--2167},
  publisher = {Wiley Online Library},
}

@Article{Joyce2017,
  author    = {Joyce, Michael AS and Liu, Zhuoshi and Tonks, Ian},
  title     = {{Institutional investors and the QE portfolio balance channel}},
  journal   = {Journal of Money, Credit and Banking},
  year      = {2017},
  volume    = {49},
  number    = {6},
  pages     = {1225--1246},
  publisher = {Wiley Online Library},
}

@Article{Markowitz1952,
  author    = {Markowitz, Harry},
  title     = {The utility of wealth},
  journal   = {Journal of Political Economy},
  year      = {1952},
  volume    = {60},
  number    = {2},
  pages     = {151--158},
  publisher = {The University of Chicago Press},
}

@Article{Boeck2021a,
  author  = {Boeck, Maximilian and Feldkircher, Martin and Siklos, Pierre},
  journal = {Oxford Bulletin of Economics and Statistics},
  title   = {International Effects of Forward Guidance},
  year    = {2021},
  volume  = {191},
  pages   = {887--901},
}

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