What does a monetary policy shock do? An international analysis with multiple filters
AbstractWhat does a monetary policy shock do? We answer this question by estimating a new-Keynesian monetary policy DSGE model for a number of economies with a variety of empirical proxies of the business cycle. The effects of two different policy shocks, an unexpected interest rate hike conditional on a constant inflation target and an unpredicted drift in the inflation target, are scrutinized. Filter-specific Bayesian impulse responses are contrasted with those obtained by combining multiple business cycle indicators. Our results document the substantial uncertainty surrounding the estimated effects of these two policy shocks across a number of countries.
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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0145.
Length: 44 pages
Date of creation: May 2012
Date of revision:
Multiple filtering; business cycle proxies; new-Keynesian business cycle model; trend inflation; monetary policy shocks.;
Other versions of this item:
- Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-29 (All new papers)
- NEP-CBA-2012-05-29 (Central Banking)
- NEP-DGE-2012-05-29 (Dynamic General Equilibrium)
- NEP-MON-2012-05-29 (Monetary Economics)
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