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Drifts, Volatilities, and Impulse Responses Over the Last Century

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  • Pooyan Amir-Ahmadi
  • Christian Matthes
  • Mu-Chun Wang

Abstract

How much have the dynamics of U.S. time series and in particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are \"a lot\" and \"probably less than you think,\" respectively. We use vector autoregressions with time-varying parameters and stochastic volatility to tackle these questions. In our analysis we use variables that both influenced monetary policy and in turn were influenced by monetary policy itself, including bond market data (the difference between long-term and short-term nominal interest rates) and the growth rate of money.

Suggested Citation

  • Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2014. "Drifts, Volatilities, and Impulse Responses Over the Last Century," Working Paper 14-10, Federal Reserve Bank of Richmond.
  • Handle: RePEc:fip:fedrwp:14-10
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    Cited by:

    1. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    2. Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019. "Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014," Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
    3. Kim Abildgren, 2016. "A century of macro-financial linkages," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 8(4), pages 458-471, November.

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    More about this item

    Keywords

    Bayesian VAR; Time variation; U.S. monetary policy;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • N12 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - U.S.; Canada: 1913-

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