Has Monetary Policy Become More Aggressive, But Less Effective Over Time?

Phan, Tuan (2016): Has Monetary Policy Become More Aggressive, But Less Effective Over Time?

Abstract

This paper examines the changes in monetary policy and monetary transmission over time in four developed countries (the United States, the United Kingdom, Canada, and Australia) using time-varying vector autoregression (TVP-VAR) models. The results suggest some comovements in the monetary policy reactions to unemployment across countries before the recent Global Financial Crisis (GFC). The policy rate seems to react more aggressively against unemployment in more recent years. However, the effects of monetary policy shocks on unemployment and inflation appear to have weakened over time.

• Item Type: MPRA Paper
• Language: English
• Keywords: monetary policy, monetary transmission, Time-Varying VAR
• Subjects: E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance; J - Labor and Demographic Economics > J6 - Mobility, Unemployment, Vacancies, and Immigrant Workers > J64 - Unemployment: Models, Duration, Incidence, and Job Search

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