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Changing Effects of Monetary Policy in the U.S. –Evidence from a Time-Varying Coefficient VAR

  • Christian Melzer
  • Thorsten Neumann
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    We estimate a time-varying coefficient VAR model for the U.S. 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 (1962-2002), 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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    File URL: http://repec.org/sce2005/up.9975.1106856696.pdf
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    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 144.

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    Date of creation: 11 Nov 2005
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    Handle: RePEc:sce:scecf5:144
    Contact details of provider: Web page: http://comp-econ.org/
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