Title: Cross-country evidence on the effectiveness of monetary policy: A time-varying parameter VAR approach
Authors: Jouchi Nakajima - Bank for International Settlements (Switzerland) [presenting]
Andrew Filardo - Bank for International Settlements (Switzerland)
Abstract: Base on a time-varying parameter VAR approach, the aim is to estimate the time-varying effectiveness of monetary policy, identifying unconventional monetary policy shocks from market surprises and highlighting a lending channel. US, the euro area and Japan experiences are analysed to highlight the similarities and differences in the experiences of quantitative easing.