Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/185060 
Year of Publication: 
2018
Series/Report no.: 
cege Discussion Papers No. 358
Publisher: 
University of Göttingen, Center for European, Governance and Economic Development Research (cege), Göttingen
Abstract: 
We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU with reduced monetary policy effectiveness. We find that the real effects of monetary policy shocks are markedly dampened conditional on high IU. This can be traced back to, inter alia, real-option and precautionary savings effects which distort the traditional interest rate channel. Moreover, policy transmission through the external finance premium and the term structure of interest rates appears strongly dependent on inflation uncertainty and contributes to the reduced policy effectiveness.
Subjects: 
inflation uncertainty
SVAR
monetary policy
sign restrictions
asset prices
smoothtransition
JEL: 
C32
E44
E52
Document Type: 
Working Paper

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