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

Christian Melzer and Thorsten Neumann

No 144, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: 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.

JEL-codes: C52 E32 E52 (search for similar items in EconPapers)
Date: 2005-11-11
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf5:144

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