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When did unsystematic monetary policy have an effect on inflation?

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  • Mojon, Benoît

Abstract

An important stylized fact to emerge from VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump-shaped effect on inflation. I argue that this empirical pattern is fragile. In particular, it disappears when one examines periods without large shifts in the level of inflation (such as 1984-2005). An important consequence is that the hump-shaped VAR estimated response of inflation is not appropriate to fit stylized models of the response of inflation around a stable steady state inflation level.

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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 52 (2008)
Issue (Month): 3 (April)
Pages: 487-497

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Handle: RePEc:eee:eecrev:v:52:y:2008:i:3:p:487-497

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Citations

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Cited by:
  1. Mandler, Martin, 2010. "Regime-dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," MPRA Paper 21215, University Library of Munich, Germany.
  2. Mandler, Martin, 2010. "Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions," MPRA Paper 21887, University Library of Munich, Germany.
  3. Eric Monnet, 2012. "Monetary policy without interest rates. Evidence from France’s Golden Age (1948-1973) using a narrative approach," Working Papers 0032, European Historical Economics Society (EHES).
  4. Mandler, Martin, 2012. "Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," Economics Letters, Elsevier, vol. 116(3), pages 422-425.

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