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The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes

Author

Listed:
  • Yunus Aksoy

    (Birkbeck, University of London)

  • Rubens Morita

    (Birkbeck, University of London)

  • Zacharias Psaradakis

    (Birkbeck, University of London)

Abstract

We investigate regime-dependent Granger causality between real output, in ation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and Domestic Money (DM) are substitutes in their role as lead or feedback variables to explain variations in real output and in ation. We provide a comprehensive account of evolution of causal relationships associated with all US Fed Chairpersons we consider.

Suggested Citation

  • Yunus Aksoy & Rubens Morita & Zacharias Psaradakis, 2019. "The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes," BCAM Working Papers 1910, Birkbeck Centre for Applied Macroeconomics.
    • Handle: RePEc:bbk:bbkcam:1910
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    File URL: https://eprints.bbk.ac.uk/id/eprint/30658/1/30658.pdf
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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