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The Transmission of Monetary Policy Shocks

Listed author(s):
  • Miranda-Agrippino, Silvia

    (Bank of England and CFM)

  • Ricco, Giovanni

    (University of Warwick and OFCE - Science Po)

Despite years of research, there is still uncertainty around the effects of monetary policy shocks. We reassess the empirical evidence by combining a new identi cation that accounts for informational rigidities, with a flexible econometric method robust to misspecifications that bridges between VARs and Local Projections.We show that most of the lack of robustness of the results in the extant literature is due to compounding unrealistic assumptions of full information with the use of severely misspecified models. Using our novel methodology, we find that a monetary tightening is unequivocally contractionary, with no evidence of either price or output puzzles.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2017/twerp_1136_ricco.pdf
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Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 1136.

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Date of creation: 2017
Handle: RePEc:wrk:warwec:1136
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