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Drifts, Volatilities and Impulse Responses Over the Last Century

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  • Amir Ahmadi, Pooyan
  • Matthes, Christian
  • Wang, Mu-Chun

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.

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  • Amir Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2014. "Drifts, Volatilities and Impulse Responses Over the Last Century," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100562, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc14:100562
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    1. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2017. "Measurement errors and monetary policy: Then and now," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 66-78.
    2. Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019. "Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014," Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
    3. Kim Abildgren, 2016. "A century of macro-financial linkages," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 8(4), pages 458-471, November.

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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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