Seminario 17/14: German López (UCAM) – Macroeconomic Instability and Unconventional Monetary Policy
- Ponente: Germán López. Universidad Católica de San Antonio Murcia
- Fecha: 16/jun/2017 - 12:00 horas
- Lugar: Seminario del Departamento de Métodos Cuantitativos para la Economía y Empresa, UMU. Retransmisión en directo.
This paper studies the evolution of the monetary policy transmission mechanisms in the US after the financial crisis and the extraordinary monetary stimulus applied since 2008. The implementation of a modified Dynamic Factor Model allows the identification of two different structural scenarios based on the information contained in a large dataset of 110 variables. Impulse Response Functions to an increase in official interest rate for this large dataset are estimated for each structural context. In order to deal with the dimensionality problems which emerge from an estimation procedure of this magnitude three techniques are combined: (i) factor decomposition, (ii) an identification strategy independent of the number of variables included in the dataset and (iii) a blockwise optimization algorithm for the correct selection of the Bayesian priors. Results show the presence of a structural break in 2008 and the higher responsiveness of the economy to monetary policy decisions after that date.