Has Monetary Policy Become More Aggressive, But Less Effective Over Time?

Tuan Phan

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the changes in monetary policy and monetary transmission over time in four developed countries (the United States, the United Kingdom, Canada, and Australia) using time-varying vector autoregression (TVP-VAR) models. The results suggest some comovements in the monetary policy reactions to unemployment across countries before the recent Global Financial Crisis (GFC). The policy rate seems to react more aggressively against unemployment in more recent years. However, the effects of monetary policy shocks on unemployment and inflation appear to have weakened over time.

Keywords: monetary policy; monetary transmission; Time-Varying VAR (search for similar items in EconPapers)
JEL-codes: E2 E4 E5 E6 F4 J64 (search for similar items in EconPapers)
Date: 2016-04-01
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:107200

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