Briefing
Monetary Policy across Space and Time
Abstract: Many major macroeconomic events have occurred across multiple countries. This Economic Brief looks at similarities and differences among the euro area, the United Kingdom, and the United States and finds that macroeconomic variables tend to become more interconnected during periods of financial distress. Movements in monetary policy are highly correlated across all three regions. In addition, inflation and unemployment become less responsive to monetary policy shocks over time.
Keywords: macroeconomics; financial distress; monetary policy; VAR; vector autoregressions; TVP-VAR;
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https://www.richmondfed.org/publications/research/economic_brief/2019/eb_19-08
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Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Richmond Fed Economic Brief
Publication Date: 2019
Issue: August