Monetary Policy across Space and Time
Laura Liu (),
Christian Matthes and
No 18-14, Working Paper from Federal Reserve Bank of Richmond
In this paper we ask two questions: (i) is the conduct of monetary policy stable across time and similar across major economies, and (ii) do policy decisions of major central banks have international spillover effects. To address these questions, we build on recent semi-parametric advances in time-varying parameter models that allow us to increase the VAR dimension and to jointly model three advanced economies (US, UK, and the Euro Area). In order to study policy spillovers, we jointly identify three economy-specific monetary policy shocks using a combination of sign and magnitude restrictions.
Keywords: Monetary policy spillovers; changing volatility; time-varying parameters (search for similar items in EconPapers)
JEL-codes: C54 E58 E30 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2018-08-13, Revised 2018-08-13
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Journal Article: Monetary Policy across Space and Time (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedrwp:18-14
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