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Drifts, Volatilities, and Impulse Responses Over the Last Century

  • Amir-Ahmadi, Pooyan

    (Goethe University Frankfurt)

  • Matthes, Christian

    (Federal Reserve Bank of Richmond)

  • Wang, Mu-Chun

    (University of Hamburg)

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.

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Paper provided by Federal Reserve Bank of Richmond in its series Working Paper with number 14-10.

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Length: 54 pages
Date of creation: 07 Apr 2014
Date of revision:
Handle: RePEc:fip:fedrwp:14-10
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  1. Moen, Jon R. & Tallman, Ellis W., 2000. "Clearinghouse Membership and Deposit Contraction during the Panic of 1907," The Journal of Economic History, Cambridge University Press, vol. 60(01), pages 145-163, March.
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  16. Francesco Bianchi, 2011. "Monetary/Fiscal Policy Mix and Agents' Beliefs," 2011 Meeting Papers 156, Society for Economic Dynamics.
  17. Kriwoluzky, Alexander & Kliem, Martin & Sarferaz, Samad, 2013. "On the low-frequency relationship between public deficits and inflation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80000, Verein für Socialpolitik / German Economic Association.
  18. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  19. Romer, Christina, 1986. "The Instability of the Prewar Economy Reconsidered: A Critical Examination of Historical Macroeconomic Data," The Journal of Economic History, Cambridge University Press, vol. 46(02), pages 494-496, June.
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