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Structural changes in the US economy: Is there a role for monetary policy?

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  • Canova, Fabio
  • Gambetti, Luca

Abstract

This paper investigates the contribution of monetary policy to the changes in output growth and inflation dynamics in the US. We identify a policy shock and a policy rule in a time-varying coefficients VAR using robust sign restrictions. The transmission of policy shocks has been relatively stable. The variance of the policy shock has decreased over time, but policy shocks account for a small fraction of the level and the variations in inflation and output growth volatility and persistence. Finally we find little evidence of a significant increase in the long run response of the interest rate to inflation.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 33 (2009)
Issue (Month): 2 (February)
Pages: 477-490

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Handle: RePEc:eee:dyncon:v:33:y:2009:i:2:p:477-490

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Web page: http://www.elsevier.com/locate/jedc

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Keywords: Monetary policy Inflation persistence Transmission of shocks Time-varying coefficients structural VARs;

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