Changes in US Monetary Policy and its Transmission over the Last Century

Sebastian Breitfuß, Martin Feldkircher, Florian Huber

Publication: Scientific journalJournal articlepeer-review


In this paper, we investigate US monetary policy and its time-varying
effects over more than 130 years. For that purpose, we use a Bayesian time-varying
parameter vector autoregression that features mo dern shrinkage priors and stochastic
volatility. Our results can be summarized as follows: First, we find that monetary policy
transmits jointly through the interest rate, credit/bank lending and wealth channels.
Second, we find evidence for changes of both responses to a monetary policy shock and
volatility characterizing the macroeconomic environment. Effects on the macroeconomy
are significantly lower in the period from 1960 to 2013 than in the early part of our
sample, whereas responses of short- and long-term interest rates are nearly unaltered
throughout the sample. Changes in the way the Fed conducts monetary policy and dif-
ferent economic environments may account for that
Original languageEnglish
JournalGerman Economic Review
Publication statusPublished - 2018

Austrian Classification of Fields of Science and Technology (ÖFOS)

  • 101026 Time series analysis
  • 502025 Econometrics
  • 502018 Macroeconomics

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