Drifts, Volatilities, and Impulse Responses Over the Last Century

Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang
Authors registered in the RePEc Author Service: Pooyan Amir Ahmadi

No 14-10, Working Paper from Federal Reserve Bank of Richmond

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.

Keywords: Bayesian VARs; Time variation; U.S. monetary policy (search for similar items in EconPapers)
JEL-codes: C50 E31 N12 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2014-04-07
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
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Working Paper: Drifts, Volatilities and Impulse Responses Over the Last Century (2014)
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