Changes in US Monetary Policy and Its Transmission over the Last Century

2019 ◽  
Vol 20 (4) ◽  
pp. 447-470 ◽  
Author(s):  
Sebastian Breitfuß ◽  
Florian Huber ◽  
Martin Feldkircher
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Bank Lending ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Short And Long Term ◽  
Monetary Policy Shock ◽  
The Interest Rate ◽  
Shrinkage Priors ◽  
Us Monetary Policy

Abstract 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 modern 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 different economic environments may account for that.

scholarly journals Spillovers from US Monetary Policy: Evidence from a Time-varying Parameter GVAR Model

2018 ◽  
Author(s):  
Jesus Crespo Cuaresma ◽  
Gernot Doppelhofer ◽  
Martin Feldkircher ◽  
Florian Huber
Keyword(s):  
Monetary Policy ◽  
Time Varying ◽  
Time Varying Parameter ◽  
Us Monetary Policy

Monetary Policy Pass-through, Ownership and Crisis: How Robust is the Indian Evidence?

2021 ◽  
Vol 15 (4) ◽  
pp. 456-483
Author(s):  
Jugnu Ansari ◽  
Saibal Ghosh
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Bank Lending ◽  
Loan Pricing ◽  
Lending Channel ◽  
Private Banks ◽  
Monetary Policy Shock ◽  
Pass Through ◽  
The Interest Rate ◽  
The Impact

Employing disaggregated data for 2001–2016, this study investigates the lending and loan pricing behaviour of state-owned and domestic private banks in response to monetary policy. Three major findings emerge. First, although both the interest rate and the bank lending channels are relevant for monetary pass-through, there is a trade-off: the impact of the former is much higher than the latter, although it occurs with a significant lag. Second, domestic private banks have a far greater response to a monetary policy shock under the interest rate channel, whereas state-owned banks display a greater response under the bank-lending channel. And finally, state-owned banks cut back lending during periods of crises, although no such response is manifest in domestic private banks. JEL Codes: C23, D4, E43, E52, G21, L10

THE EFFECTS OF UNCONVENTIONAL MONETARY POLICY IN JAPAN: NEW EVIDENCE FROM TIME-VARYING PARAMETER VAR ANALYSIS

2019 ◽  
pp. 1-20 ◽  
Author(s):  
KANSHO PIOTR OTSUBO
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Foreign Capital ◽  
Quantitative Easing ◽  
Time Varying ◽  
Unconventional Monetary Policy ◽  
Impulse Responses ◽  
Domestic Capital ◽  
Time Varying Parameter ◽  
Monetary Policy Shock

This paper investigates the macroeconomic effects of unconventional monetary policies by estimating a time-varying parameter structural vector auto-regression (TVP-VAR) using Japanese monthly data beginning with the implementation of quantitative easing in 2001. The results of the empirical study can be summarized in four points. First, the impulse responses of output to a positive monetary policy shock rose during the period of quantitative easing (March 2001–July 2006) but declined after the comprehensive monetary easing began (October 2010–July 2015). Second, the impulse responses of inflation to a positive monetary policy shock became stably positive after the introduction of inflation targeting in January 2013. Third, the impulse responses of stock prices to positive monetary policy shocks rose each time an unconventional monetary policy was adopted. Finally, the recovery of the credit transmission channel might be attributed to the level of non-performing loans remaining low. The third result implies that increased stock prices from a monetary policy shock are primarily affected by foreign capital because foreign capital responds more strongly than domestic capital to unconventional monetary policy.

scholarly journals Monetary Conditions Index: A Composite Measure of Monetary Policy in Pakistan

2002 ◽  
Vol 41 (4II) ◽  
pp. 551-566 ◽  
Author(s):  
Abdul Qayyum
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Open Economy ◽  
Bank Lending ◽  
Open Market ◽  
Short Term ◽  
Rate Effects ◽  
The Interest Rate

Accurate measures of the size and direction of changes in monetary policy are very important. A number of variables/indicators have been used as a measure of the stance of monetary policy the world over. These include growth rates of monetary aggregates and credit aggregates, short-term interest rate as used by Sims (1992), index of minutes of Federal Open Market Committee (FOMC), as suggested by Friedman and Schwartz (1963) and reintroduced by Romer and Romer (1989), monetary policy index constructed by employing Vector Autoregression (VAR) estimation technique with prior information from Central Bank such as Bernanke and Blinder (1992) and Bernanke and Mihov (1998), and Monetary Conditions Index (MCI)—which is the focus of this paper—constructed by and used by Bank of Canada [Freedman (1995)], taking into consideration the interest rate and exchange rate channel of monetary policy transmission mechanism in a small open economy. In case of open economy it is assumed that the monetary policy affects the economy and the prime objective of monetary policy, rate of inflation, through two important transmission mechanisms. These transmission channels are; interest rate channel and exchange rate channel. The working of the first channel is that the interest rate influences the level of expenditures, investment and subsequently domestic demand. The change in official interest rate effects the market rates of interest both short term as well as long term interest rates. This change in market rates of interest is transmitted to the bank lending rates and saving rates. The change in saving rate effects the spending behaviour of individuals (consumption) whereas the change in bank lending rate effects the investment behaviour of firms (investment). The change in aggregate consumption and investment has direct link to the gross domestic product (GDP).

scholarly journals The Time-Varying Effects of Monetary Policy on House Prices in China: An Application of TVP-VAR Model with Stochastic Volatility

2018 ◽  
Vol 13 (4) ◽  
pp. 149 ◽  
Author(s):  
Weina Cai ◽  
Sen Wang
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
House Prices ◽  
Var Model ◽  
Time Varying ◽  
Credit Channel ◽  
Monetary Policy Shocks ◽  
Time Varying Parameter ◽  
Policy Shocks ◽  
Interest Rate Channel

The boom of housing market in China in recent years has attracted great concerns from all over the world. How monetary policy affects house prices in China becomes an essential topic. This paper studies the time-varying effects of monetary policy on house prices in China during 2005.7-2017.10, by using a time-varying parameter VAR model. This paper obtains three interesting results. First, there are time-varying features of the responses of house prices to monetary policy shocks half-year and 1-year ahead, no matter through interest rate channel or through credit channel. Second, interest rate channel and credit channel have been enhanced since financial crisis in 2008. Third, the responses of nominal house prices to monetary policy in China are mainly driven by the responses of real house prices, instead of inflation. Finally, this paper gives proper suggestions for each finding respectively to central bank in China.

scholarly journals Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

2018 ◽  
Vol 10 (2) ◽  
pp. 14 ◽  
Author(s):  
Shigeki Ono
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Federal Funds Rate ◽  
Monetary Policies ◽  
Endogenous Variables ◽  
Policy Shocks ◽  
Monetary Policy Shock

This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

scholarly journals Transmission mechanisms in Japan’s quantitative easing policy (2001–2006)

2017 ◽  
Vol 6 (2) ◽  
pp. 35 ◽  
Author(s):  
Hiroyuki Ijiri
Keyword(s):  
Bank Lending ◽  
Var Model ◽  
Quantitative Easing ◽  
Time Varying ◽  
Transmission Channel ◽  
Bank Lending Channel ◽  
Monthly Data ◽  
Lending Channel ◽  
Transmission Mechanisms ◽  
Time Varying Parameter

This study investigates exchange rates and bank lending as the transmission channels for Japan’s Quantitative Easing Policy (QEP) during 2001–2006. Using a Time Varying Parameter-VAR model and monthly data to analyze the dynamism of the QEP, this study is the first to show that the exchange rate channel was the effective QEP transmission channel after around 2005, while the bank lending channel was inactive.

Sign in / Sign up

Export Citation Format

Share Document