Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/183356
Authors: 
Jaccard, Ivan
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2174
Abstract: 
This paper studies the effects of money supply shocks in a general equilibrium model that reproduces a term premium of the magnitude observed in the data. In an environment where financial frictions are the main source of monetary non-neutrality, I find that money supply shocks are less effective at stimulating inflation in recessions than in expansions. In terms of quantitative magnitude, the impact effect on inflation of a money supply shock is about half as large during recessions than during booms. This state dependence is essentially due to the time-variation in stochastic discounting that is needed to match the data.
Subjects: 
Bond premium puzzle
financial frictions
time-varying risk aversion
euro zone economy
JEL: 
JEL: E31
E44
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3279-0
Document Type: 
Working Paper
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