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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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This study develops Factor-Augemented Vector Auto-Regression (FAVAR) Model to analyze monetary policy transmission mechanism in Korea for the period from 1990s, in which inflation targeting is adopted and the short-term interest rate is used as the main policy instrument. Some drawbacks of simple VAR models are discussed first, and then FAVAR model is developed to overcome the drawbacks. Monetary policy transmission mechanism can be inferred more efficiently and consistently by using FAVAR model since FAVAR model allows to use information from a large number of variables and to analyze the responses of a large number of variables simultaneously.
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참고문헌 (16)
참고문헌 신청
Bernanke, B. S. / 2005 / Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach / Quarterly Journal of Economics 120 (1) : 387 ~
Christiano, L. / 1996 / The effects of monetary policy shocks: Evidence from the flow of funds / Review of Economics and Statistics 78 : 16 ~ 34
Christiano, L. J. / 1999 / Monetary policy shocks: What have we learned and to what end? Handbook of macroeconomics / Amsterdam : 65 ~ 148
Kim, S. / 2001 / International transmission of U.S. monetary policy shocks: Evidence from VAR’s / Journal of Monetary Economics 48 (2) : 339 ~ 372
Kim, S. / 2006 / Inflation targeting in Korea: Model of success? in Monetary policy in east Asia: Approaches and implementations : 140 ~ 164
Christiano, L. / 1996 / The effects of monetary policy shocks: Evidence from the flow of funds / Review of Economics and Statistics 78 : 16 ~ 34
Christiano, L. J. / 1999 / Monetary policy shocks: What have we learned and to what end? Handbook of macroeconomics / Amsterdam : 65 ~ 148
Kim, S. / 2001 / International transmission of U.S. monetary policy shocks: Evidence from VAR’s / Journal of Monetary Economics 48 (2) : 339 ~ 372
Kim, S. / 2006 / Inflation targeting in Korea: Model of success? in Monetary policy in east Asia: Approaches and implementations : 140 ~ 164
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