Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/215037 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 8035
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We investigate regime-dependent Granger causality between real output, inflation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and Domestic Money (DM) are substitutes in their role as lead or feedback variables to explain variations in real output and inflation. We provide a comprehensive account of evolution of causal relationships associated with all US Fed Chairpersons we consider.
Subjects: 
causality regimes
domestic money
Federal Reserve Chairperson
Markov switching
policy instrument
vector autoregression
JEL: 
C32
C54
C61
E52
E58
Document Type: 
Working Paper
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