Publication detail

Time-Frequency Response Analysis of Monetary Policy Transmission

Author(s): Mgr. Luboš Hanus ,
Mgr. Lukáš Vácha Ph.D.,
Type: IES Working Papers
Year: 2018
Number: 30
ISSN / ISBN:
Published in: IES Working Papers 30/2018
Publishing place: Prague
Keywords: cyclicality, frequency, economic systems, monetary policy
JEL codes:
Suggested Citation: Hanus L. and Vacha L. (2018): "Time-Frequency Response Analysis of Monetary Policy Transmission". IES Working Papers 30/2018, IES FSV, Charles University.
Abstract: In our study, we consider a new approach to quantify the effects of economic shocks on monetary transmission. We analyse the widely known phenomenon of price puzzle in a time-varying environment using the frequency decomposition. We use the frequency response function to measure the power of shocks transferred to different economic cycles. Considering both time and frequency domains, we quantify the dynamics of shocks implied by monetary policy within an economic system. While studying the monetary policy transmission of the U.S., the empirical evidence shows that low-frequency cycles of output are prevalent and have positive transfers. Examination of the inflation reveals that the frequency responses vary significantly in time and alter the direction of transmission for all cyclical lengths.
Downloadable: wp_2018_30_hanus

Partners

Deloitte
McKinsey & Company
Moneta Money Bank

Sponsors

CRIF
ČSOB