A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy
开发了一个马尔可夫转换因子增强向量自回归模型，研究美国商业周期不同阶段货币政策的传导机制，发现货币政策冲击的传导差异主要源于金融市场的异质性反应。
Abstract This paper develops a Markov switching factor‐augmented vector autoregression to investigate the transmission mechanisms of monetary policy for distinct stages of the US business cycle. We assume that autoregressive parameters and covariance matrices of the error terms are regime dependent, driven by an unobserved Markov indicator. Endogenously determined transition probabilities are governed by an underlying probit model that features a large set of possible predictors. The empirical findings provide evidence for differences in the transmission of monetary policy shocks that mainly stem from heterogeneity in the responses of financial market quantities.