Changing effects of monetary policy in the US-evidence from a time-varying coefficient VAR
AbstractWe estimate a time-varying coefficient VAR model for the US economy to analyse (i) if the effect of monetary policy on output has been changing systematically over time, and (ii) if monetary policy has asymmetric effects over the business cycle. We find that the impact of monetary policy shocks has been gradually declining over the sample period (1962 to 2002), as some theories of the monetary transmission mechanism imply. In addition, our results indicate that the effects of monetary policy are greater in a recession than in a boom.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 40 (2008)
Issue (Month): 18 ()
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- Heather L. R. Tierney, 2012.
"Examining the ability of core inflation to capture the overall trend of total inflation,"
Taylor & Francis Journals, vol. 44(4), pages 493-514, February.
- Tierney, Heather L.R., 2009. "Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation," MPRA Paper 22409, University Library of Munich, Germany, revised Feb 2010.
- Chance Mwabutwa & Manoel Bittencourt & Nicola Viegi, 2013. "Evolution of Monetary Policy Transmission Mechanism in Malawi: A TVP-VAR Approach," Working Papers 201327, University of Pretoria, Department of Economics.
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