A comparative analysis of the monetary policy transmission channels in the U.S: a wavelet-based approach

Luigi Oddo; Mile Bosnjak

doi:10.1080/00036846.2021.1904113

A comparative analysis of the monetary policy transmission channels in the U.S: a wavelet-based approach

Luigi Oddo, Mile Bosnjak

History, Archeology, Arts, Philosophy and Ethics

Onderzoeksoutput: Article › peer review

1 Citaat (Scopus)

Samenvatting

This paper evaluates competing approaches to assess the effectiveness of transmission channels
for the U.S. monetary policy from 1°Q 1995 to 3°Q 2019. While evaluating the competing
approaches, the paper follows wavelet coherence approach providing results in time and frequency domain. The results show how money and credit channels work quite well during low
volatile periods generally, whereas they suggest that these channels are less effective during
periods of financial turmoil and very low interest rate. However, investment-based channels and
the bank-lending channel revisited version show some effects also during periods of instability. In
more detail, investment-based channels and the bank-lending channel revisited appear to be the
most effective monetary policy transmission mechanisms, while the traditional banking-lending
channel seems effective only in low volatile periods. Finally, the results for consumption-based
channels and international trade-based channels show the least effectiveness.

Originele taal-2	English
Pagina's (van-tot)	4448-4463
Aantal pagina's	16
Tijdschrift	Applied Economics
Volume	53
Nummer van het tijdschrift	38
DOI's	https://doi.org/10.1080/00036846.2021.1904113
Status	Published - 29 mrt 2021

Bibliografische nota

Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.

Toegang tot document

10.1080/00036846.2021.1904113

Citeer dit

@article{b9824000d8c2422eac245fb3707c809e,

title = "A comparative analysis of the monetary policy transmission channels in the U.S: a wavelet-based approach",

abstract = "This paper evaluates competing approaches to assess the effectiveness of transmission channelsfor the U.S. monetary policy from 1°Q 1995 to 3°Q 2019. While evaluating the competingapproaches, the paper follows wavelet coherence approach providing results in time and frequency domain. The results show how money and credit channels work quite well during lowvolatile periods generally, whereas they suggest that these channels are less effective duringperiods of financial turmoil and very low interest rate. However, investment-based channels andthe bank-lending channel revisited version show some effects also during periods of instability. Inmore detail, investment-based channels and the bank-lending channel revisited appear to be themost effective monetary policy transmission mechanisms, while the traditional banking-lendingchannel seems effective only in low volatile periods. Finally, the results for consumption-basedchannels and international trade-based channels show the least effectiveness.",

author = "Luigi Oddo and Mile Bosnjak",

note = "Funding Information: As often happens, research work is not a purely individual result, but rather a network of knowledge. With this awareness, we would like to thank prof. Giovanni Battista Pittaluga of the University of Genoa, for sharing his experience on monetary policy and banking subject to improve the paper. A particular thanks to our friend and colleague Simone Lombardini of the University of Genoa for his useful comments. Thanks also to the anonymous referee for providing comments which were very useful for improving the document. Last but not least, a heartfelt thanks to the University of Zagreb that had made possible the collaboration between the authors. Publisher Copyright: {\textcopyright} 2021 Informa UK Limited, trading as Taylor & Francis Group.",

year = "2021",

month = mar,

day = "29",

doi = "10.1080/00036846.2021.1904113",

language = "English",

volume = "53",

pages = "4448--4463",

journal = "Applied Economics",

issn = "0003-6846",

publisher = "Routledge",

number = "38",

}

TY - JOUR

T1 - A comparative analysis of the monetary policy transmission channels in the U.S: a wavelet-based approach

AU - Oddo, Luigi

AU - Bosnjak, Mile

N1 - Funding Information: As often happens, research work is not a purely individual result, but rather a network of knowledge. With this awareness, we would like to thank prof. Giovanni Battista Pittaluga of the University of Genoa, for sharing his experience on monetary policy and banking subject to improve the paper. A particular thanks to our friend and colleague Simone Lombardini of the University of Genoa for his useful comments. Thanks also to the anonymous referee for providing comments which were very useful for improving the document. Last but not least, a heartfelt thanks to the University of Zagreb that had made possible the collaboration between the authors. Publisher Copyright: © 2021 Informa UK Limited, trading as Taylor & Francis Group.

PY - 2021/3/29

Y1 - 2021/3/29

N2 - This paper evaluates competing approaches to assess the effectiveness of transmission channelsfor the U.S. monetary policy from 1°Q 1995 to 3°Q 2019. While evaluating the competingapproaches, the paper follows wavelet coherence approach providing results in time and frequency domain. The results show how money and credit channels work quite well during lowvolatile periods generally, whereas they suggest that these channels are less effective duringperiods of financial turmoil and very low interest rate. However, investment-based channels andthe bank-lending channel revisited version show some effects also during periods of instability. Inmore detail, investment-based channels and the bank-lending channel revisited appear to be themost effective monetary policy transmission mechanisms, while the traditional banking-lendingchannel seems effective only in low volatile periods. Finally, the results for consumption-basedchannels and international trade-based channels show the least effectiveness.

AB - This paper evaluates competing approaches to assess the effectiveness of transmission channelsfor the U.S. monetary policy from 1°Q 1995 to 3°Q 2019. While evaluating the competingapproaches, the paper follows wavelet coherence approach providing results in time and frequency domain. The results show how money and credit channels work quite well during lowvolatile periods generally, whereas they suggest that these channels are less effective duringperiods of financial turmoil and very low interest rate. However, investment-based channels andthe bank-lending channel revisited version show some effects also during periods of instability. Inmore detail, investment-based channels and the bank-lending channel revisited appear to be themost effective monetary policy transmission mechanisms, while the traditional banking-lendingchannel seems effective only in low volatile periods. Finally, the results for consumption-basedchannels and international trade-based channels show the least effectiveness.

U2 - 10.1080/00036846.2021.1904113

DO - 10.1080/00036846.2021.1904113

M3 - Article

VL - 53

SP - 4448

EP - 4463

JO - Applied Economics

JF - Applied Economics

SN - 0003-6846

IS - 38

ER -