Home > Research > Publications & Outputs > The changing transmission mechanism of US monet...

Research

Links

Text available via DOI:

Keywords

View graph of relations

The changing transmission mechanism of US monetary policy

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

The changing transmission mechanism of US monetary policy. / Endut, Norhana; Morley, James; Tien, Pao-Lin.
In: Empirical Economics, Vol. 54, No. 3, 05.2018, p. 959-987.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Endut, N, Morley, J & Tien, P-L 2018, 'The changing transmission mechanism of US monetary policy', Empirical Economics, vol. 54, no. 3, pp. 959-987. https://doi.org/10.1007/s00181-017-1240-7

APA

Endut, N., Morley, J., & Tien, P-L. (2018). The changing transmission mechanism of US monetary policy. Empirical Economics, 54(3), 959-987. https://doi.org/10.1007/s00181-017-1240-7

Vancouver

Endut N, Morley J, Tien P-L. The changing transmission mechanism of US monetary policy. Empirical Economics. 2018 May;54(3):959-987. Epub 2017 Apr 6. doi: 10.1007/s00181-017-1240-7

Author

Endut, Norhana ; Morley, James ; Tien, Pao-Lin. / The changing transmission mechanism of US monetary policy. In: Empirical Economics. 2018 ; Vol. 54, No. 3. pp. 959-987.

Bibtex

@article{9714fd5b18d84b39a86aa54952ebb296,
title = "The changing transmission mechanism of US monetary policy",
abstract = "We examine the relative importance of the interest rate, exchange rate, and bank-lending channels for the transmission mechanism of monetary policy in the United States over the past fifty years. Our analysis is based on a structural vector autoregressive model that includes bank loans and uses sign restrictions to identify monetary policy shocks. Given these identified policy shocks, we quantify the relative importance of different transmission channels via counterfactual analysis. Our results suggest a nontrivial role for the bank-lending channel at the aggregate level, but its importance has been greatly diminished since the early 1980s. Despite the timing, we find no support for a link between this change in the transmission mechanism and the concurrent reduction in output volatility associated with the Great Moderation. There is, however, some evidence of a link to the reduction in inflation volatility occurring at the same time. ",
keywords = "Bank-Lending Channel, Sign Restrictions, Monetary Policy Shock, Great Moderation",
author = "Norhana Endut and James Morley and Pao-Lin Tien",
year = "2018",
month = may,
doi = "10.1007/s00181-017-1240-7",
language = "English",
volume = "54",
pages = "959--987",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Springer-Verlag",
number = "3",

}

RIS

TY - JOUR

T1 - The changing transmission mechanism of US monetary policy

AU - Endut, Norhana

AU - Morley, James

AU - Tien, Pao-Lin

PY - 2018/5

Y1 - 2018/5

N2 - We examine the relative importance of the interest rate, exchange rate, and bank-lending channels for the transmission mechanism of monetary policy in the United States over the past fifty years. Our analysis is based on a structural vector autoregressive model that includes bank loans and uses sign restrictions to identify monetary policy shocks. Given these identified policy shocks, we quantify the relative importance of different transmission channels via counterfactual analysis. Our results suggest a nontrivial role for the bank-lending channel at the aggregate level, but its importance has been greatly diminished since the early 1980s. Despite the timing, we find no support for a link between this change in the transmission mechanism and the concurrent reduction in output volatility associated with the Great Moderation. There is, however, some evidence of a link to the reduction in inflation volatility occurring at the same time.

AB - We examine the relative importance of the interest rate, exchange rate, and bank-lending channels for the transmission mechanism of monetary policy in the United States over the past fifty years. Our analysis is based on a structural vector autoregressive model that includes bank loans and uses sign restrictions to identify monetary policy shocks. Given these identified policy shocks, we quantify the relative importance of different transmission channels via counterfactual analysis. Our results suggest a nontrivial role for the bank-lending channel at the aggregate level, but its importance has been greatly diminished since the early 1980s. Despite the timing, we find no support for a link between this change in the transmission mechanism and the concurrent reduction in output volatility associated with the Great Moderation. There is, however, some evidence of a link to the reduction in inflation volatility occurring at the same time.

KW - Bank-Lending Channel

KW - Sign Restrictions

KW - Monetary Policy Shock

KW - Great Moderation

U2 - 10.1007/s00181-017-1240-7

DO - 10.1007/s00181-017-1240-7

M3 - Journal article

VL - 54

SP - 959

EP - 987

JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

IS - 3

ER -