Series: IMF Working Papers
Author(s): Adina Popescu , and Alina Carare
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2011
Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis
We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...