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Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle

  • Efrem Castelnuovo

    ()

    (University of Padua)

We 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.

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File URL: http://economia.unipd.it/sites/decon.unipd.it/files/20090103.pdf
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Paper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0103.

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Length: 31 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:pad:wpaper:0103
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