Solvay Brussels School - Economics & Management

The Solvay Brussels School of Economics and Management, the Departement of Applied Economics (DULBEA) and the Centre Emile Bernheim (CEB) proudly present
 

Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression

by Albrecht Ritschl (UK, London School of Economics), co-written with Pooyan Amir-Ahmadi    

Abstract: This paper revisits the monetary hypothesis on the Great Depression. We adopt a Bayesian FAVAR technique, employing a large set of disaggregate contemporary data to represent the information set of policy makers. We find marked output effects of monetary policy shocks between Britain’s departure from gold in 1931 and the US departure from gold in 1933 but only moderate effects before and thereafter. We also examine possible non-neutralities of systematic policy, evaluating the effects of policy history on conditional forecasts of output. Results partly confirm the Friedman/Schwartz view but suggest only moderate effects, especially for the onset of Great Depression. Even a non-monetary FAVAR predicts output correctly for two years into the Depression, although the forecasts are imprecise.   

When & where:

Thursday February 23, 2012, from 12.15 to 1.45pm, Seminar Room R42.2.110

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