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

Yunus Aksoy, Rubens Morita and Zacharias Psaradakis

No 1910, BCAM Working Papers from Birkbeck Centre for Applied Macroeconomics

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.

Keywords: Causality Regimes; Domestic Money; Federal Reserve Chairperson; Markov Switching; Policy Instrument; Vector Autoregression (search for similar items in EconPapers)
JEL-codes: C32 C54 C61 E52 E58 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-ore
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https://eprints.bbk.ac.uk/id/eprint/30658/1/30658.pdf First version, 2019

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Working Paper: The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes (2019)
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