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    The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes

    Aksoy, Yunus and Morita, Rubens and Psaradakis, Z. (2019) The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We investigate regime-dependent Granger causality between real output, in ation and monetary indicators and map with U.S. Fed Chairperson's tenure since 1965. While all monetary indicators have causal predictive content in certain time periods, we report that the Federal Funds rate (FFR) and Domestic Money (DM) are substitutes in their role as lead or feedback variables to explain variations in real output and in ation. We provide a comprehensive account of evolution of causal relationships associated with all US Fed Chairpersons we consider.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BCAM Working Paper Series 1910. ISSN 1745-8587
    Keyword(s) / Subject(s): Causality Regimes, Domestic Money, Federal Reserve Chairperson, Markov Switching, Policy Instrument, Vector Autoregression.
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for, Innovation Management Research, Birkbeck Centre for
    Depositing User: Administrator
    Date Deposited: 22 Jan 2020 15:56
    Last Modified: 23 Jan 2020 13:30
    URI: http://eprints.bbk.ac.uk/id/eprint/30658

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