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The cost channel reconsidered: a comment using an identification-robust approach

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We re-examine the empirical relevance of the cost channel of monetary policy (e.g. Ravenna and Walsh, 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using US data, our results suggest that the cost channel effect is poorly identified and we are thus unable to corroborate the previous results in the literature.

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File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2010/NIPE_WP_30_2010.pdf
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Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 30/2010.

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Date of creation: 2010
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Handle: RePEc:nip:nipewp:30/2010

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Postal: Núcleo de Investigação em Políticas Económicas, Escola de Economia e Gestão, Universidade do Minho, P-4710-057 Braga, Portugal
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Keywords: Cost channel; Phillips curve; GMM; Generalized Empirical Likelihood; Weak Identification.;

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Cited by:
  1. Jochen Michaelis, 2012. "Optimal Monetary Policy in a Currency Union: The Role of the Cost Channel," MAGKS Papers on Economics 201203, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  2. Meixing Dai & Qiao Zhang, 2013. "Central bank transparency with the cost channel," Working Papers of BETA 2013-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

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