Changing Effects of Monetary Policy in the U.S. - Evidence from a Time-Varying Coefficient VAR

Christian Melzer (1) , Florian Hoeppner (2) , Thorsten Neumann (3)

1 Rheinische Friedrich-Wilhelms-Universität Bonn
2 BMF
3 Union Investment

We estimate a time-varying coefficient VAR model for the U.S. economy to analyse (i) if the effect of monetary policy on output has been changing systematically over time, and (ii) if monetary policy has asymmetric effects over the business cycle. We find that the impact of monetary policy shocks has been gradually declining over the sample period (1962-2002), as some theories of the monetary transmission mechanism imply. In addition, our results indicate that the effects of monetary policy are greater in a recession than in a boom.

Mots clés: Social Sciences & Humanities

Christian Melzer, Florian Hoeppner, Thorsten Neumann. Changing Effects of Monetary Policy in the U.S. - Evidence from a Time-Varying Coefficient VAR. Applied Economics, 2008, 40 (18), pp.2353-2360. ⟨10.1080/00036840600970112⟩. ⟨hal-00581954⟩