Munich Personal RePEc Archive

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?

[img]
Preview
PDF
MPRA_paper_107200.pdf

Download (4MB) | Preview

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.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.