The dynamic effects of monetary policy : A structural factor model approach

@inproceedings{Forni2008TheDE,
  title={The dynamic effects of monetary policy : A structural factor model approach},
  author={Mario Forni and Luca Gambetti},
  year={2008}
}
We use the structural factor model proposed by Forni, Giannone, Lippi and Reichlin (2007) to study the effects of monetary policy. The advantage with respect to the traditional vector autoregression model is that we can exploit information from a large data set, made up of 112 US monthly macroeconomic series. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. Such a scheme, when applied to a VAR… CONTINUE READING

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