This thesis presents three applied pieces of research on monetary and financial economics. Using new advances in multivariate time-series models, I investigate the effects of monetary policy in a) the real economy and b) the credit channel of monetary policy transmission. However, this methodology, in particular, the factor-augmented vector autoregression, is very flexible. It can be used to analyze dynamic systems, allowing researchers to analyze micro-markets and extract conclusions about their agents. This thesis presents (i) a quantitative assessment of the heterogeneous effects of the monetary policy across countries in a currency area, (ii) evidence of the time variation of the credit channel and (iii) the effects of the interactions among banks in a payment system on funding patterns.