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Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle

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Author Info
Oleg Korenok (Rutgers University)
Stanislav Radchenko (University of North Carolina at Charlotte)

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Abstract

The paper analyzes two questions: (i) the effect of a monetary policy shock on the business cycle and (ii) the extent to which a shift in a monetary policy affects the dynamics of business cycle. Unlike previous literature, to answer these questions, we measure cycle movements by calculating an index from a number of aggregate macroeconomic series via a dynamic factor model. We find that monetary policy shocks have a small but significant impact on persistent and transitory parts of the cycle. A systematic shift of monetary policy has a modest effect.

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File URL: http://129.3.20.41/eps/mac/papers/0409/0409015.pdf
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Publisher Info
Paper provided by EconWPA in its series Macroeconomics with number 0409015.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 45 pages
Date of creation: 18 Sep 2004
Date of revision: 20 Sep 2004
Handle: RePEc:wpa:wuwpma:0409015

Note: Type of Document - pdf; pages: 45
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Web page: http://129.3.20.41

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Related research
Keywords: monetary policy; business cycle; dynamic factor model; index of coincident economic indicators.;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation

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This page was last updated on 2009-11-30.

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