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Changing Effects of Monetary Policy in the U.S. – Evidence from a Time-Varying Coefficient VAR

[journal article]

Melzer, Christian; Hoeppner, Florian; Neumann, Thorsten

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Abstract We estimate a time-varying coefficient VAR model for the U.S. economy to analyse (i) if the effect of monetary policy on output has been changing systematically over time, and (ii) if monetary policy has asymmetric effects over the business cycle. We find that the impact of monetary policy shocks has been gradually declining over the sample period (1962-2002), as some theories of the monetary transmission mechanism imply. In addition, our results indicate that the effects of monetary policy are greater in a recession than in a boom.
Document language English
Publication Year 2008
Page/Pages p. 2353-2360
Journal Applied Economics, 40 (2008) 18
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)