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International Transmission of Japanese Monetary Shocks Under Low and Negative Interest Rates: A Global Favar Approach. (2017). Spiegel, Mark ; Tai, Andrew.
In: Working Paper Series.
RePEc:fip:fedfwp:2017-08.

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  1. ——— (1999): “Monetary Policy Shocks: What Have We Learned and to What End?” in Handbook of Macroecnomics, ed. by J. Taylor and M. Woodford, New York, NY: Elsevier.
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  2. ——— (2001): “International Transmission of U.S. Monetary Policy,” Journal of Monetary Economics, 48, 339–372.
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  3. Agrippino, S. M. and H. Rey (2015): “World Asset Markets and the Global Financial Cycle,” NBER Working Paper 21722.

  4. Bernanke, B. S. and J. Boivin (2003): “Monetary Policy in a Data-Rich Environment,” Journal of Monetary Economics, 50, 525–546.

  5. Bernanke, B. S., J. Boivin, and P. Eliasz (2005): “Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach,” Quarterly Journal of Economics, 120, 387–422.

  6. Boivin, J. and S. Ng (2006): “Are More Data Always Better for Factor Analysis?” Journal of Econometrics, 132, 169–194.

  7. Canova, F. (2005): “The Transmission of U.S. Shocks to Latin Data,” Journal of Applied Econometrics, 20, 229–251.

  8. Christiano, L. J., M. Eichenbaum, and C. L. Evans (1996): “The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds,” The Review of Economics and Statistics, 78, 16–34.

  9. Fernald, J. G., E. Hsu, and M. M. Spiegel (2015): “Is China Fudging Its Figures?: Evidence from Trading Partner Data,” Federal Reserve Bank of San Francisco.

  10. Fernald, J. G., M. M. Spiegel, and E. T. Swanson (2014): “Monetary Policy Effectiveness in China: Evidence from a FAVAR Model,” Journal of International Money and Finance, 49 (A), 83–103.

  11. JAPANESE MONETARY SHOCKS UNDER LOW AND NEGATIVE INTEREST RATES 27 Lescaroux, F. and V. Mignon (2009): “Measuring the Effects of Oil Prices on China’s Economy: A Factor-Augmented Atuoregressive Approach,” Pacific Economic Review, 14, 410–425.

  12. JAPANESE MONETARY SHOCKS UNDER LOW AND NEGATIVE INTEREST RATES 28 1998 2000 2003 2006 2009 2012 2015 US 2y Japan 2y BoJ policy rate
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  13. Kim, S. (1999): “Do Monetary Policy Shocks Matter in the G-7 Countries? Using Common Identifying Assumption about Monetary Policy Across Countries,” Journal of International Economics, 48, 387–412.

  14. Liu, Z., M. M. Spiegel, and A. Tai (2017): “Measuring the Effects of Dollar Appreciation on Asia: A FAVAR Approach,” Forthcoming, Journal of International Money and Finance.

  15. Mackowiak, B. (2006): “What Does the Bank of Japan do to East Asia?” Journal of International Economics, 70, 253–270.

  16. Rose, A. K. and M. M. Spiegel (2012): “Cross-Country Causes and Consequences of the 2008 Crisis: Early Warning,” Japan and the World Economy, 24, 1–16.
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  17. Sims, C. A. and T. Zha (1998): “Bayesian Methods for Dynamic Multivariate Models,” 39, 949–968.

  18. Swanson, E. T. and J. C. Williams (2014): “Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates,” American Economic Review, 104, 3154–3185.

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