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dc.contributor.authorAhmadi, Pooyan Amiren_US
dc.contributor.authorRitschl, Albrechten_US
dc.date.accessioned2009-12-04en_US
dc.date.accessioned2010-08-26T11:56:55Z-
dc.date.available2010-08-26T11:56:55Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39300-
dc.description.abstractThe prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for the 1920s would call into question conventional VAR techniques. We therefore adopt the FAVAR methodology of Bernanke, Boivin, and Eliasz [2005], aggregating a large number of time series into a few factors and inserting these into a monetary policy VAR. We work in a Bayesian framework and apply MCMC methods to obtain the posteriors. Employing the generalized sign restriction approach toward identification of Amir Ahmadi and Uhlig [2008], we find the effects of monetary policy shocks to have been moderate. To analyze the systematic policy component, we back out the monetary policy reaction function and its response to aggregate supply and demand shocks. Results broadly confirm the Friedman/Schwartz view about restrictive monetary policy, but indicate only moderate effects. We further analyze systematic policy through conditional forecasts of key time series at critical junctures, taken with and without the policy instrument. Effects are again quite moderate. Our results caution against a predominantly monetary interpretation of the Great Depression.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2009,054en_US
dc.subject.jelN12en_US
dc.subject.jelE37en_US
dc.subject.jelE47en_US
dc.subject.jelE52en_US
dc.subject.jelC11en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordGreat Depressionen_US
dc.subject.keywordmonetary policyen_US
dc.subject.keywordBayesian FAVARen_US
dc.subject.keywordDynamic Factor Modelen_US
dc.subject.keywordGibb Samplingen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwSchocken_US
dc.subject.stwWirtschaftskriseen_US
dc.subject.stwReaktionsfunktionen_US
dc.subject.stwWirkungsanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleDepression econometrics: A FAVAR model of monetary policy during the great depressionen_US
dc.typeWorking Paperen_US
dc.identifier.ppn614329809en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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