Transmission of US monetary policy to the world economies. A time varying multi-country factor augmented vector autoregressive approach

• Main Author: Ευγενίδης, Αναστάσιος
• Other Authors: Συριόπουλος, Κωνσταντίνος
• Format: Thesis
• Language: Greek
• Published: 2016
• Subjects: Monetary policy; International transmission mechanism; FAVAR; Bayesian statistics; Time varying parameters; Νομισματική πολιτική; Μηχανισμός διεθνούς διάδοσης; 332.46

In this thesis, I examine the international transmission of US monetary policy shocks across euro area and Asian countries. For this purpose I use a time varying Factor Augmented VAR (FAVAR) model which I estimate by using Bayesian techniques. I first examine all the possible channels through whic...