Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle
AbstractWe assess the time-varying money's role in the post-WWII U.S. business cycle by estimating a new-Keynesian framework featuring nonseparability in real balances and consumption, portfolio adjustment costs, and a systematic reaction of policymakers to money growth. Rolling-window Bayesian estimations a la Canova (2009) are contrasted to a full sample fixed-coefficient investigation. Our results suggest that the assumption of stable parameters is unwarranted. The omission of money may induce biased assessments on the impact of structural shocks to the U.S. macroeconomic aggregates, especially during the great inflation period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0103.
Length: 31 pages
Date of creation: Nov 2009
Date of revision:
Other versions of this item:
- Efrem Castelnuovo, 2012. "Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 23-52, 02.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-CBA-2009-12-19 (Central Banking)
- NEP-HIS-2009-12-19 (Business, Economic & Financial History)
- NEP-MAC-2009-12-19 (Macroeconomics)
- NEP-MON-2009-12-19 (Monetary Economics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Caporale, Guglielmo Maria & Costantini, Mauro & Paradiso, Antonio, 2013.
"Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 26(C), pages 215-225.
- Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012. "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," CESifo Working Paper Series 3897, CESifo Group Munich.
- Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012. "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," Discussion Papers of DIW Berlin 1232, DIW Berlin, German Institute for Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fabio Maria Manenti).
If references are entirely missing, you can add them using this form.