We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...

This paper analyses the effects of loan supply, as well as aggregate demand, aggregate supply and monetary policy shocks between 1998 and 2014 in Macedonia using a structural Vector Auto Regression with sign restrictions and Bayesian estimation. The main results indicate that loan supply shocks...

This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...

Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply – on the labour market outcomes of black...

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...

This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this issue using a structural VAR model that is identified using a combination of...

We assess the transmission of monetary policy shocks on oil prices using a VAR model. We identify monetary policy and financial activity shocks disentangled from demand and oil supply shocks using sign restrictions. We obtain the following main findings. (i) Monetary policy and financial...

We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...

This paper analyzes how monetary policy has responded to exchange rate movements in six open economies, paying particular attention to the two-way interaction between monetary policy and the exchange rate. We address this issue using a structural VAR model that is identified using a combination...