Quotation Breitfuß, Sebastian, Feldkircher, Martin, Huber, Florian. 2018. Changes in US Monetary Policy and its Transmission over the Last Century. German Economic Review, ,




In this paper, we investigate US monetary policy and its time-varying effects over more than 130 years. For that purpose, we use a Bayesian time-varying parameter vector autoregression that features mo dern shrinkage priors and stochastic volatility. Our results can be summarized as follows: First, we find that monetary policy transmits jointly through the interest rate, credit/bank lending and wealth channels. Second, we find evidence for changes of both responses to a monetary policy shock and volatility characterizing the macroeconomic environment. Effects on the macroeconomy are significantly lower in the period from 1960 to 2013 than in the early part of our sample, whereas responses of short- and long-term interest rates are nearly unaltered throughout the sample. Changes in the way the Fed conducts monetary policy and dif- ferent economic environments may account for that


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal German Economic Review
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-D, WH-B
Language English
Title Changes in US Monetary Policy and its Transmission over the Last Century
Year 2018
Reviewed? Y
DOI http://dx.doi.org/10.1111/geer.12154
Open Access N


Huber, Florian (Former researcher)
Breitfuß, Sebastian ( , Austria)
Feldkircher, Martin (Oesterreichische Nationalbank, Austria)
Department of Economics (Crespo Cuaresma) (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1145 Time series analysis (Details)
5300 Economics (Details)
5323 Econometrics (Details)
5371 Macroeconomics (Details)
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