Work

Changing effects of monetary policy in the US–evidence from a time-varying coefficient VAR

Year: 2008

Type: article

Abstract: We 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.

Source: Applied Economics

DOI: 10.1080/00036840600970112

Authors: Florian Höppner, Christian Melzer, Thorsten Neumann

Institutions: Federal Ministry of Finance, University of Bonn

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2047809018

FWCI: 2.84

Cites: 46

Cited by: 22

Related to: 10