Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/39300 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorAhmadi, Pooyan Amiren
dc.contributor.authorRitschl, Albrechten
dc.date.accessioned2009-12-04-
dc.date.accessioned2010-08-26T11:56:55Z-
dc.date.available2010-08-26T11:56:55Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,054en
dc.subject.jelN12en
dc.subject.jelE37en
dc.subject.jelE47en
dc.subject.jelE52en
dc.subject.jelC11en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keywordGreat Depressionen
dc.subject.keywordmonetary policyen
dc.subject.keywordBayesian FAVARen
dc.subject.keywordDynamic Factor Modelen
dc.subject.keywordGibb Samplingen
dc.subject.stwGeldpolitiken
dc.subject.stwSchocken
dc.subject.stwWirtschaftskriseen
dc.subject.stwReaktionsfunktionen
dc.subject.stwWirkungsanalyseen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleDepression econometrics: A FAVAR model of monetary policy during the great depression-
dc.type|aWorking Paperen
dc.identifier.ppn614329809en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
4.85 MB





Publikationen in EconStor sind urheberrechtlich geschützt.