A Bayesian vector-autoregressive application with time-varying parameters on the monetary shocks-production network nexus

Simionescu, Mihaela, Schneider, Nicolas and Gavurova, Beata (2024) A Bayesian vector-autoregressive application with time-varying parameters on the monetary shocks-production network nexus. Journal of Applied Economics, 27 (1). ISSN 1514-0326

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Abstract

Transmission channels from monetary shocks might be identified by studying the features of the production network. The main aim of this paper is to provide insights about the role of production network into the propagation of monetary policy shocks in G7 economies. Time-varying Bayesian vector-autoregressions were built to compute impulse response functions of output to monetary policy shocks in these countries. Panel Auto-Regressive Distributed Lag Bound Approach based on Mean-Group estimator was used to assess the long and short-run connections between production network structure and various shocks associated to monetary policy in the period 2000–2018 and during the Great Recession (2007–2009). The results show that upstreamness is more significant than downstremness in the period 2000–2018, while the financial sector significantly contributed to the spread of various monetary shocks during the Great Recession.

Item Type:	Article
Additional Information:	© 2024 The Author(s)
Divisions:	Geography & Environment
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications
Date Deposited:	30 Sep 2024 18:03
Last Modified:	28 Oct 2024 20:57
URI:	http://eprints.lse.ac.uk/id/eprint/125580

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