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Drifts, Volatilities and Impulse Responses Over the Last Century

Pooyan Amir Ahmadi (), Christian Matthes and Mu-Chun Wang

Annual Conference 2014 (Hamburg): Evidence-based Economic Policy from Verein für Socialpolitik / German Economic Association

Abstract: How much have the dynamics of US time series and in the 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 autoregression with time-varying parameters and stochastic volatility to tackle these question. 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.

JEL-codes: E31 E52 E43 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-his, nep-mac and nep-mon
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