Please use this identifier to cite or link to this item:
Amir-Ahmadi, Pooyan
Matthes, Christian
Wang, Mu-Chun
Year of Publication: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 7 [Year:] 2016 [Issue:] 2 [Pages:] 591-611
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:
Document Type: 

Files in This Item:

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