Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152993
Authors: 
Mojon, Benoît
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 559
Abstract: 
An important stylized fact to emerge from the VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump shaped effect on inflation. I argue that this empirical pattern is fragile. In particular it disappears when one corrects for the effects of large shifts (breaks) in average inflation or examines periods without such shifts (such as the 1984-2004 period). An important consequence is that the hump shaped VAR estimated response of inflation is not appropriate to fit stylised models of the response of inflation around a stable steady state inflation level.
Subjects: 
Inflation Dynamics
Monetary policy transmission
VARs
JEL: 
E52
Document Type: 
Working Paper

Files in This Item:
File
Size
796.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.