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

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 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 Time variation in an optimal asymmetric preference monetary policy model

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Steven P. Cassou ◽  
Jesús Vázquez
Keyword(s):  
Monetary Policy ◽  
Empirical Evidence ◽  
Time Variation ◽  
Time Varying ◽  
Policy Model ◽  
Time Varying Parameter

AbstractThis paper considers a time varying parameter extension of the Ruge-Murcia’s (Ruge-Murcia, F. J. 2003. “Does the Barro-Gordon Model Explain the Behavior of us Inflation? A Reexamination of the Empirical Evidence.”

A NOTE ON TIME VARIATION IN A FORWARD-LOOKING MONETARY POLICY RULE: EVIDENCE FROM EUROPEAN COUNTRIES

2012 ◽  
Vol 16 (S3) ◽  
pp. 422-437 ◽  
Author(s):  
N. Kundan Kishor
Keyword(s):  
Monetary Policy ◽  
Time Variation ◽  
Monetary Economics ◽  
Time Varying ◽  
Reaction Functions ◽  
The United Kingdom ◽  
Expected Inflation ◽  
Time Varying Parameter ◽  
Monetary Policy Reaction Functions ◽  
Forward Looking

This paper estimates time-varying forward-looking monetary policy reaction functions for the central banks of France, Germany, Italy, and the United Kingdom. We utilize the framework developed by Kim [Economics Letters91 (2006) 21–26] and Kim and Nelson [Journal of Monetary Economics(2006) 1949–1966] to deal with the issue of endogeneity in a time varying–parameter model. Our results find substantial time variation in the conduct of monetary policy in these four countries, which cannot be adequately captured by the conventional fixed-coefficient approach. Our findings suggest that there was a significant decline in the Bank of France's and the Bank of Italy's response to the German interest rate in 1992, and it coincided with the breakdown of the exchange rate management system in Europe. Our results suggest that the Bank of England was slower than the Bundesbank to increase its response to expected inflation, as its response to inflation became more than one-for-one only in the early 1980s.

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