Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318163 
Year of Publication: 
2019
Series/Report no.: 
BCAM Working Paper No. 1910
Publisher: 
Birkbeck, University of London, Birkbeck Centre for Applied Macroeconomics (BCAM), London
Abstract: 
We investigate regime-dependent Granger causality between real output, in ation 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 in ation. 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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