Changes in US Monetary Policy and Its Transmission over the Last Century
| Autor: | Florian Huber, Martin Feldkircher, Sebastian Breitfuß |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Macroeconomics
Economics and Econometrics Stochastic volatility 502025 Ökonometrie 502018 Macroeconomics Inflation targeting media_common.quotation_subject 05 social sciences Monetary policy 502018 Makroökonomie 01 natural sciences Forward guidance 101026 Time series analysis Vector autoregression Interest rate Credit channel 010104 statistics & probability 101026 Zeitreihenanalyse 0502 economics and business 502025 Econometrics Economics 050207 economics 0101 mathematics Volatility (finance) media_common |
| Zdroj: | German Economic Review. 20:447-470 |
| ISSN: | 1468-0475 1465-6485 |
| DOI: | 10.1111/geer.12154 |
| Popis: | In this paper, we investigate US monetary policy and its time-varying effects over more than 130 years. For that purpose, we use a Bayesian time-varying parameter vector autoregression that features modern shrinkage priors and stochastic volatility. Our results can be summarized as follows: First, we find that monetary policy transmits jointly through the interest rate, credit/bank lending and wealth channels. Second, we find evidence for changes of both responses to a monetary policy shock and volatility characterizing the macroeconomic environment. Effects on the macroeconomy are significantly lower in the period from 1960 to 2013 than in the early part of our sample, whereas responses of short- and long-term interest rates are nearly unaltered throughout the sample. Changes in the way the Fed conducts monetary policy and different economic environments may account for that. |
| Databáze: | OpenAIRE |
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