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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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  • Vasco J. Gabriel & Luis F. Martins, 2010. "The cost channel reconsidered: a comment using an identification-robust approach," NIPE Working Papers 30/2010, NIPE - Universidade do Minho.
  • Handle: RePEc:nip:nipewp:30/2010
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    Cited by:

    1. 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.
    2. Jochen Michaelis & Jakob Palek, 2014. "Optimal Monetary Policy in a Currency Union: Implications of a Country-specific Cost Channel," MAGKS Papers on Economics 201444, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. 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).
    4. Meixing Dai & Qiao Zhang, 2017. "Central bank transparency under the cost channel," International Finance, Wiley Blackwell, vol. 20(2), pages 189-209, June.

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    More about this item

    Keywords

    Cost channel; Phillips curve; GMM; Generalized Empirical Likelihood; Weak Identification.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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