Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150418
Authors: 
Amir-Ahmadi, Pooyan
Matthes, Christian
Wang, Mu-Chun
Year of Publication: 
2016
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 7 [Year:] 2016 [Issue:] 2 [Pages:] 591-611
Abstract: 
How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement errors in observables. We find substantial changes in the structure of the economy. There is also large variation in the impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.