This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Habit Formation and the Persistence of Monetary Shocks Author info | Abstract | Publisher info | Download info | Related research | Statistics Hafedh Bouakez
Emanuela Cardia
Francisco J. Ruge-Murcia
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Bank of Canada in its series Working Papers with number
02-27.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 45 pages Abstract: This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. The paper constructs and estimates a general-equilibrium model with price rigidities, habit formation, and costly capital adjustment. The model is estimated by the maximum-likelihood method using U.S. data on output, the real money stock, and the nominal interest rate. Econometric results indicate that habit formation and adjustment costs to capital play an important role in explaining the output effects of monetary policy. In particular, impulse-response analysis indicates that the model generates persistent, hump-shaped output responses to monetary shocks.
Date of creation: 2002Date of revision:
Handle: RePEc:bca:bocawp:02-27Contact details of provider: Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada Phone: 613 782-8899 Fax: 613 782-8874 Web page: http://www.bank-banque-canada.ca/
Order Information: Postal: Publications Distribution, Bank of Canada, 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada Email: Web: http://www.bank-banque-canada.ca/en/publication/pub_res.html
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: Business fluctuations and cycles ; Transmission of monetary policy ; Other versions of this item:
Article Paper BOUAKEZ, Hafedh & CARDIA, Emanuela & RUGE-MURCIA, Francisco J., 2002.
"Habit Formation and the Persistence of Monetary Shocks ,"
Cahiers de recherche
2002-08, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] hafedh bouakez & emanuela cardia, 2003.
"Habit Formation and the Persistence of Monetary Shocks ,"
Computing in Economics and Finance 2003
72, Society for Computational Economics.
Bouakez, H. & Cardia, E. & Ruge-Murcia, F.J., 2002.
"Habit Formation and the Persistence of Monetary Shocks ,"
Cahiers de recherche
08-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] Find related papers by JEL classification: E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
This paper has been announced in the following NEP Reports :
This item is featured on the following reading lists :
Canadian Macro Study Group
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2000.
"Sticky Price Models of the Business Cycle: Can the Contract Multiplier Solve the Persistence Problem? ,"
Econometrica ,
Econometric Society, vol. 68(5), pages 1151-1180, September.
Other versions: Taylor, John B., 1999.
"Staggered price and wage setting in macroeconomics ,"
Handbook of Macroeconomics ,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 15, pages 1009-1050
Elsevier.
[Downloadable!] (restricted)
Other versions: Christopher D. Carroll & Jody Overland & David N. Weil, 2000.
"Saving and Growth with Habit Formation ,"
American Economic Review ,
American Economic Association, vol. 90(3), pages 341-355, June.
[Downloadable!] (restricted)
Other versions: Jordi Gali & Mark Gertler, 2000.
"Inflation Dynamics: A Structural Econometric Analysis ,"
NBER Working Papers
7551, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Jordi Galí & Mark Gertler, 1998.
"Inflation Dynamics: A Structural Econometric Analysis ,"
Economics Working Papers
341, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!] Gali, Jordi & Gertler, Mark, 1999.
"Inflation dynamics: A structural econometric analysis ,"
Journal of Monetary Economics ,
Elsevier, vol. 44(2), pages 195-222, October.
[Downloadable!] (restricted) Abel, A.B., 1990.
"Asset Prices Under Habit Formation And Catching Up With The Joneses ,"
Weiss Center Working Papers
1-90, Wharton School - Weiss Center for International Financial Research.
Other versions:
Andrew B. Abel, .
"Asset Prices Under Habit Formation and Catching Up With the Jones ,"
Rodney L. White Center for Financial Research Working Papers
1-90, Wharton School Rodney L. White Center for Financial Research.
Andrew B. Abel, .
"Asset Prices Under Habit Formation and Catching Up With the Jones ,"
Rodney L. White Center for Financial Research Working Papers
01-90, Wharton School Rodney L. White Center for Financial Research.
Andrew B. Abel, 1991.
"Asset Prices under Habit Formation and Catching up with the Joneses ,"
NBER Working Papers
3279, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Abel, Andrew B, 1990.
"Asset Prices under Habit Formation and Catching Up with the Joneses ,"
American Economic Review ,
American Economic Association, vol. 80(2), pages 38-42, May.
[Downloadable!] (restricted) Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998.
"Monetary Policy Shocks: What Have We Learned and to What End? ,"
NBER Working Papers
6400, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997.
"Monetary policy shocks: what have we learned and to what end? ,"
Working Paper Series, Macroeconomic Issues
WP-97-18, Federal Reserve Bank of Chicago.
Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end? ,"
Handbook of Macroeconomics ,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148
Elsevier.
[Downloadable!] (restricted) Peter N. Ireland, 2000.
"Sticky-Price Models of the Business Cycle: Specification and Stability ,"
NBER Working Papers
7511, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Peter N. Ireland, 1999.
"Sticky-Price Models of the Business Cycle: Specification and Stability ,"
Boston College Working Papers in Economics
426, Boston College Department of Economics.
[Downloadable!] Ireland, Peter N., 2001.
"Sticky-price models of the business cycle: Specification and stability ,"
Journal of Monetary Economics ,
Elsevier, vol. 47(1), pages 3-18, February.
[Downloadable!] (restricted) Baxter, Marianne & Crucini, Mario J, 1993.
"Explaining Saving-Investment Correlations ,"
American Economic Review ,
American Economic Association, vol. 83(3), pages 416-36, June.
[Downloadable!] (restricted)
Other versions: Michael Woodford, 1996.
"Control of the Public Debt: A Requirement for Price Stability? ,"
NBER Working Papers
5684, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper Series
WP-01-08, Federal Reserve Bank of Chicago.
[Downloadable!]
Other versions:
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
NBER Working Papers
8403, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper
0107, Federal Reserve Bank of Cleveland.
[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 113(1), pages 1-45, February.
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Jun.
[Downloadable!] Blanchard, Olivier Jean & Kahn, Charles M, 1980.
"The Solution of Linear Difference Models under Rational Expectations ,"
Econometrica ,
Econometric Society, vol. 48(5), pages 1305-11, July.
[Downloadable!] (restricted)
Michael Dotsey & Robert G. King, 2001.
"Pricing, Production and Persistence ,"
NBER Working Papers
8407, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Michael Dotsey & Robert G. King, 2005.
"Pricing, production, and persistence ,"
Working Papers
05-4, Federal Reserve Bank of Philadelphia.
[Downloadable!] Michael Dotsey & Robert G. King, 2006.
"Pricing, Production, and Persistence ,"
Journal of the European Economic Association ,
MIT Press, vol. 4(5), pages 893-928, 09.
[Downloadable!] (restricted) Kim, Jinill, 2000.
"Constructing and estimating a realistic optimizing model of monetary policy ,"
Journal of Monetary Economics ,
Elsevier, vol. 45(2), pages 329-359, April.
[Downloadable!] (restricted)
Hall, George J., 1996.
"Overtime, effort, and the propagation of business cycle shocks ,"
Journal of Monetary Economics ,
Elsevier, vol. 38(1), pages 139-160, August.
[Downloadable!] (restricted)
Other versions: McGrattan, Ellen R & Rogerson, Richard & Wright, Randall, 1997.
"An Equilibrium Model of the Business Cycle with Household Production and Fiscal Policy ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 267-90, May.
Other versions: Basu, S.: Fernald, J.G., 1993.
"Constant Returns and Small Markups in U.S. Manufacturing ,"
Papers
93-19, Michigan - Center for Research on Economic & Social Theory.
Other versions: Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000.
"Habit persistence, asset returns and the business cycle ,"
Staff Report
280, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions:
Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1999.
"Habit persistence, asset returns and the business cycles ,"
Working Paper Series
WP-99-14, Federal Reserve Bank of Chicago.
Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2001.
"Habit Persistence, Asset Returns, and the Business Cycle ,"
American Economic Review ,
American Economic Association, vol. 91(1), pages 149-166, March.
[Downloadable!] (restricted) Bergin, Paul R. & Feenstra, Robert C., 2000.
"Staggered price setting, translog preferences, and endogenous persistence ,"
Journal of Monetary Economics ,
Elsevier, vol. 45(3), pages 657-680, June.
[Downloadable!] (restricted)
Rotemberg, Julio J, 1982.
"Sticky Prices in the United States ,"
Journal of Political Economy ,
University of Chicago Press, vol. 90(6), pages 1187-1211, December.
[Downloadable!] (restricted)
John Y. Campbell & John H. Cochrane, 1994.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior ,"
CRSP working papers
412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
[Downloadable!]
Other versions: Cecchetti, Stephen G., 1986.
"The frequency of price adjustment : A study of the newsstand prices of magazines ,"
Journal of Econometrics ,
Elsevier, vol. 31(3), pages 255-274, April.
[Downloadable!] (restricted)
Ben S. Bernanke & Ilian Mihov, 1998.
"Measuring Monetary Policy ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 113(3), pages 869-902, August.
[Downloadable!] (restricted)
Other versions:
Bernanke, Ben S. & Mihov, Ilian, 1995.
"Measuring Monetary Policy ,"
Economics Series
10, Institute for Advanced Studies.
[Downloadable!] Ben S. Bernanke & Ilian Mihov, 1995.
"Measuring Monetary Policy ,"
NBER Working Papers
5145, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Ben S. Bernanke & Ilian Mihov, 1995.
"Measuring monetary policy ,"
Working Papers in Applied Economic Theory
95-09, Federal Reserve Bank of San Francisco.
Jeffrey C. Fuhrer, 2000.
"Habit Formation in Consumption and Its Implications for Monetary-Policy Models ,"
American Economic Review ,
American Economic Association, vol. 90(3), pages 367-390, June.
[Downloadable!] (restricted)
McGrattan, Ellen R., 1994.
"The macroeconomic effects of distortionary taxation ,"
Journal of Monetary Economics ,
Elsevier, vol. 33(3), pages 573-601, June.
[Downloadable!] (restricted)
Other versions: Ali Dib & Louis Phaneuf, 2001.
"An Econometric U.S. Business Cycle Model with Nominal and Real Rigidities ,"
Cahiers de recherche CREFE / CREFE Working Papers
137, CREFE, Université du Québec à Montréal.
[Downloadable!]
Heaton, John, 1995.
"An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications ,"
Econometrica ,
Econometric Society, vol. 63(3), pages 681-717, May.
[Downloadable!] (restricted)
Jordi Gali, 1999.
"Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? ,"
American Economic Review ,
American Economic Association, vol. 89(1), pages 249-271, March.
[Downloadable!] (restricted)
Other versions:
Jordi Gali, 1996.
"Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations ,"
NBER Working Papers
5721, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Gali, J., 1996.
"Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? ,"
Working Papers
96-28, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Galí, Jordi, 1996.
"Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? ,"
CEPR Discussion Papers
1499, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lars Peter Hansen & Thomas J. Sargent, 1990.
"Recursive Linear Models of Dynamic Economies ,"
NBER Working Papers
3479, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Bencivenga, Valerie R, 1992.
"An Econometric Study of Hours and Output Variation with Preference Shocks ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 449-71, May.
[Downloadable!] (restricted)
Mark Bils & Peter J. Klenow, 2002.
"Some Evidence on the Importance of Sticky Prices ,"
NBER Working Papers
9069, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Kashyap, Anil K, 1995.
"Sticky Prices: New Evidence from Retail Catalogs ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 110(1), pages 245-74, February.
[Downloadable!] (restricted)
Other versions:
Anil K Kashyap, 1994.
"Sticky Prices: New Evidence from Retail Catalogs ,"
NBER Working Papers
4855, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Anil K. Kashyap, 1990.
"Sticky prices: new evidence from retail catalogs ,"
Finance and Economics Discussion Series
112, Board of Governors of the Federal Reserve System (U.S.).
Anil K. Kashyap, 1991.
"Sticky prices: new evidence from retail catalogs ,"
Working Paper Series, Macroeconomic Issues
91-26, Federal Reserve Bank of Chicago.
John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior ,"
Journal of Political Economy ,
University of Chicago Press, vol. 107(2), pages 205-251, April.
[Downloadable!] (restricted)
Ingram, Beth Fisher & Kocherlakota, Narayana R. & Savin, N. E., 1994.
"Explaining business cycles: A multiple-shock approach ,"
Journal of Monetary Economics ,
Elsevier, vol. 34(3), pages 415-428, December.
[Downloadable!] (restricted)
Other versions: Altug, Sumru, 1989.
"Time-to-Build and Aggregate Fluctuations: Some New Evidence ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(4), pages 889-920, November.
[Downloadable!] (restricted)
Other versions: Christiano, Lawrence J., 1988.
"Why does inventory investment fluctuate so much? ,"
Journal of Monetary Economics ,
Elsevier, vol. 21(2-3), pages 247-280.
[Downloadable!] (restricted)
Constantinides, George M, 1990.
"Habit Formation: A Resolution of the Equity Premium Puzzle ,"
Journal of Political Economy ,
University of Chicago Press, vol. 98(3), pages 519-43, June.
[Downloadable!] (restricted)
White, Halbert, 1982.
"Maximum Likelihood Estimation of Misspecified Models ,"
Econometrica ,
Econometric Society, vol. 50(1), pages 1-25, January.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.) This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page .
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by editing a NEP report.
This page was last updated on 2009-11-16.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .