EconPapers    
Economics at your fingertips  
 

Measuring the Stance of Monetary Policy in a Time-Varying World

Fernando Pérez-Forero
Additional contact information
Fernando Pérez-Forero: Banco Central de Reserva del Perú

Authors registered in the RePEc Author Service: Fernando José Pérez Forero ()

No 2018-004, Working Papers from Banco Central de Reserva del Perú

Abstract: Knowing the stance of monetary policy is a general theme of interest for academics, policy makers and private sector agents. The mentioned stance is not necessarily observable, since the Fed have used different monetary instruments at different points in time. This paper provides a measure of this stance for the last forty five years, which is a weighted average of a pool of instruments. We extend Bernanke and Mihov (1998)'s Interbank Market model by allowing structural parameters and shock variances to change over time. In particular, we follow the recent work of Canova and Perez Forero (2015) for estimating non-recursive TVCVARs with Bayesian Methods. The estimated stance measure describes how tight/loose was monetary policy over time and takes into account the uncertainty related with posterior estimates of time varying parameters. Finally, we present how has monetary transmission mechanism changed over time, focusing our attention in the period after the Great Recession.

Keywords: SVARs; Interbank Market; Operating Procedures; Monetary Policy Stance; Time-varying parameters; Bayesian Methods; Multi-move Metropolis within Gibbs Sampling (search for similar items in EconPapers)
JEL-codes: C11 E51 E52 E58 (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcrp.gob.pe/docs/Publicaciones/Documen ... trabajo-004-2018.pdf Application/pdf
Our link check indicates that this URL is bad, the error code is: 555 Security Page

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2018-004

Access Statistics for this paper

More papers in Working Papers from Banco Central de Reserva del Perú Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().

 
Page updated 2025-03-22
Handle: RePEc:rbp:wpaper:2018-004