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Title: Time-frequency response analysis of monetary policy transmission Authors:  Lubos Hanus - UTIA AV CR, v.v.i (Czech Republic) [presenting]
Lukas Vacha - Institute of Information Theory and Automation of the CAS (Czech Republic)
Abstract: A new approach is considered to look at the effects of economic shocks to dynamics of economic systems. 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 a shock transferred to different economic cycles. Considering both the time-variation of the system and frequency analysis, we can quantify the local dynamics of shocks at given time and over frequencies, and reveal broader policy implications the system can provide. While studying the monetary policy transmission of the U.S., the empirical evidence shows that low-frequency cycles are prevalent, yet, their amplitudes vary significantly in time.