This paper presents a quarterly global model combining individual country vector error‐
correcting models in which the domestic variables are related to the country‐specific foreign …

The empirical literature on the transmission of international shocks is based on small‐scale
VARs. In this paper, we use a large panel of data for 17 industrialized countries to …

The transmission of monetary policy to the economy is generally thought to have long and
variable lags. In this paper we quantitatively review the modern literature on monetary …

This paper provides a synthesis and further development of a global modelling approach
introduced in Pesaran et al.(Journal of Business and Economic Statistics, Vol. 22 (2004), pp …

Based on a vector autoregressive (VAR) framework and utilising both recursive and
structural specifications, this study analyses the effects of interest rate, money growth and …

This study examines the link between monetary policy and the housing market. The analysis
is conducted using impulse response functions derived from a factor-augmented vector …

In structural VARs, unexpected monetary tightening often leads to the price puzzle, a
counterintuitive increase in inflation in the impulse response function. The identification of …

In order to overcome the omitted information problem of small-scale Vector Autoregression
(VAR) models, this study combines the VAR methodology with dynamic factor analysis and …

This paper investigates the transmission of monetary policy in the euro area based on the
factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz (2005) as …

This paper examines the effects of monetary policy on macroeconomic variables in
Pakistan's economy using a data-rich environment. We used the factor-augmented vector …