A Fine Time for Monetary Policy?

 Public
Creator Series Issue number
  • Vol. 19, No. 1
Date created
  • 1995 Winter
Abstract

  • Recent research in evaluating the effects of monetary policy is potentially tainted by the problem of time aggregation: that is, effects may be incorrectly estimated using quarterly data if the effects of policy occur rapidly. This study evaluates whether time aggregation is a serious problem in a simple vector autoregression. It shows time aggregation has little impact on evaluating the effect of monetary policy in a simple vector autoregression including total reserves, nonborrowed reserves, and the federal funds rate. This finding suggests that time aggregation is unlikely to be important in evaluating the effects of monetary policy in models including a goal variable, such as GDP growth.

Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department
Publisher
  • Federal Reserve Bank of Minneapolis
Resource type DOI
In Collection:

Downloadable Content

Download PDF
Cite EndNote

Zipped Files

Download a zip file that contains all the files in this work.

Thumbnail Title Date Uploaded Visibility Actions
file details qr1912.pdf 2019-12-11 Public Download