How much have the dynamics of US time series and in the particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are "A lot." and "Probably less than you think.", respectively. We use vector...

How much have the dynamics of U.S. time series and in particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are "a lot" and "probably less than you think," respectively. We use vector...

This paper estimates variants of a small-scale New Keynesian model using observations on inflation, inflation expectations and nominal interest rates. We ask whether those variables alone can tell us something about the time series properties of real marginal costs.

We estimate the effects of monetary policy shocks in a Bayesian factor-augmented vector autoregression (BFAVAR). We propose a novel identication strategy of imposing sign restrictions directly on the impulse responses of large sets of variables. The novel feature and key strength of our approach...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz (1963). This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz (1963). This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

This paper proposes to estimate the dynamic effects of monetary policy in a data rich environment by combining a \textit{Bayesian factor augmented vector autoregression} (BFAVAR) with the agnostic identification method introduced by Uhlig (2005), imposing sign restrictions on the shape of...