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Autoren: 
Mumtaz, Haroon
Theodoridis, Konstantinos
Datum: 
2017
Reihe/Nr.: 
Working Paper 820
Zusammenfassung: 
This paper identifies shocks to the Federal Reserve's inflation target as VAR innovations that make the largest contribution to future movements in long-horizon inflation expectations. The effectiveness of this scheme is documented via Monte-Carlo experiments. The estimated impulse responses indicate that a positive shock to the target is associated with a large increase in inflation, GDP growth and long-term interest rates. Target shocks are estimated to be a vital factor behind the increase in inflation during the pre-1980 period and are an important driver of the decline in long-term interest rates over the last two decades.
Schlagwörter: 
SVAR
DSGE model
inflation target
JEL: 
C5
E1
E5
E6
Dokumentart: 
Working Paper
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