The Impact of the Volatility of Monetary Policy Shocks

Material TypeArticleLanguageEnglish
TitleThe Impact of the Volatility of Monetary Policy Shocks Author(S)HAROON MUMTAZ (Author)
Abstract  This paper studies the impact of the volatility of monetary policy using a structural vector auroregression (SVAR) model enriched along two dimensions. First, it allows for time-varying variance of monetary policy shocks via a stochastic volatility specification. Second, it allows a dynamic interaction between the level of the endogenous variables in the VAR and the time-varying volatility. ...Paginationp 535-558
SubjectEconomicsDescriptorsMonetary policy
Journal TitleJournal of Money, Credit, and Banking  
Permanent Linksclick here