On the Time Variations of US Monetary Policy: Who is right?

نویسندگان

  • Fabio Canova
  • Luca Gambetti
چکیده

This paper investigates whether monetary policy accounts for the changes in the output and inflation process observed in the US over the last 25 years. It estimates a structural Bayesian TVC-VAR with MCMC methods, where sign restrictions are used to identify monetary policy shocks, and analyzes the transmission of two types of disturbances: those to the non-systematic and those to the systematic component of monetary policy. Impulse responses are calculated as the difference between two conditional expectations, differing for a shock in the conditioning sets, of a vector of future time series. We find structural variations in both the coefficients of the model and the variance of the structural shocks but only the latters appear to be synchronized across equations. The transmission of monetary policy disturbances has hardly changed over the last 25 years and changes in the systematic component of policy have negligible effects on the dynamic of the system. Changes in inflation persistence are small and disconnection with the dynamics of monetary policy. Results are robust to a number of alterations to the model. ∗We would like to thank the participants of seminars at IGIER Bocconi, UPF and the Federal Reserve Bank of Atlanta for comments and suggestions

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تاریخ انتشار 2004