Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economic Modelling 30 (2013) C, pp. 90-116
We study the changing international transmission of U.S. monetary policy shocks to 14 OECD countries over the period 1981Q1–2010Q4. The U.S. monetary policy shock is defined as unexpected change in Effective Federal Funds Rate (FFR). We use a time varying parameter factor augmented VAR...