We study the transmission of monetary policy shocks to loan volumes using a structural VAR. To disentangle different transmission channels, we use aggregated data from the market for large certificates of deposits and apply a sign restrictions approach. We find that although the standard bank...

We use a factor-augmented VAR with time-varying parameters to study the transmission of monetary policy shocks and central bank information shocks associated with ECB announcements. We find time-variation in the volatilities of monetary policy shocks and information shocks and in the...

Can monetary policy stimulate consumption through inflation expectations? We study how US consumers revise inflation expectations and planned consumption in response to monetary policy shocks using VAR models, where we identify exogenous policy shocks with interest rate surprises around FOMC...

This paper assesses how the financial system influences the strength of the liquidity effect in a calibrated limited participation model of the monetary transmission mechanism. The model suggests that bankbased systems should be characterized by smaller liquidity effects since monetary...