Abstract In this paper, we investigate US monetary policy and its time-varying effects over more than 130 years. For that purpose, we use a Bayesian time-varying parameter vector autoregression that features modern shrinkage priors and stochastic volatility. Our results can be summarized as follows: First, we find that monetary policy transmits jointly through the interest rate, credit/bank lending and wealth channels. Second, we find evidence for changes of both responses to a monetary policy shock and volatility characterizing the macroeconomic environment. Effects on the macroeconomy are significantly lower in the period from 1960 to 2013 than in the early part of our sample, whereas responses of short- and long-term interest rates are nearly unaltered throughout the sample. Changes in the way the Fed conducts monetary policy and different economic environments may account for that.

中文翻译：

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上个世纪美国货币政策的变化及其传导

摘要在本文中，我们研究了130多年来美国的货币政策及其时变效应。为此，我们使用具有现代收缩先验和随机波动性的贝叶斯时变参数矢量自回归。我们的结果可以归纳如下：首先，我们发现货币政策通过利率，信贷/银行贷款和财富渠道共同传递。其次，我们发现有证据表明，对货币政策冲击和宏观经济环境特征的波动性的反应都发生了变化。在1960年至2013年期间，对宏观经济的影响显着低于我们样本的早期，而在整个样本中，短期和长期利率的响应几乎没有改变。