Drifts, Volatilities, and Impulse Responses Over the Last Century
Christian Matthes and
Authors registered in the RePEc Author Service: Pooyan Amir Ahmadi ()
No 14-10, Working Paper from Federal Reserve Bank of Richmond
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: Time variation; U.S. monetary policy; Bayesian VAR (search for similar items in EconPapers)
JEL-codes: C50 E31 N12 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2014-04-07, Revised 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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