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Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries

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  • Alessandro Gobbi

    (Politecnico di Milano)

  • Tim Willems

    (University of Amsterdam)

Abstract

Since dollarized countries import US monetary policy, identifying US monetary shocks through sign restrictions on US variables only, does not use all available information. In this paper we therefore include dollarized countries,which enable us to restrict more variables and leave the responses of US output and prices unrestricted (to allow for the working capital view of monetary shocks). We find only little evidence for the latter in the US, as prices fall immediately after most contractionary shocks that we identify. Furthermore, monetary shocks do not seem to have a clear effect on real GDP.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 11-145/2.

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Date of creation: 10 Oct 2011
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Handle: RePEc:dgr:uvatin:20110145

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Related research

Keywords: Monetary policy effects; Price puzzle; Structural VARs; Identification;

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References

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  1. 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.
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Cited by:
  1. Tim Willems, 2011. "Using Dollarized Countries to Analyze the Effects of US Monetary Policy Shocks," 2011 Meeting Papers 200, Society for Economic Dynamics.

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