Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23182
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dc.contributor.authorOcchino, Filippoen_US
dc.date.accessioned2009-01-29T15:49:17Z-
dc.date.available2009-01-29T15:49:17Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/23182-
dc.description.abstractFollowing a contractionary monetary policy shock, the aggregate output decreasesover time for six to eight quarters, while the real interest rate increases immediately andremains high for three quarters. Full participation models can hardly replicate the jointresponse of the aggregate output and the real interest rate, while limited participationmodels can do so only in the impact period. This paper adopts a segmented marketsframework where some households are permanently excluded from financial markets.The monetary authority controls the short-term nominal interest rate, and lets the money supply be determined by the bond market. The aggregate output and thenominal interest rate are modeled as exogenous autoregressive processes, while the real interest rate is determined endogenously. When markets are segmented enough, the model is able to account for both the persistent decreasing path of the aggregate output and the persistent increase in the real interest rate which follow an unanticipated increase in the nominal interest rate. The sign, the size and the persistence of the responses of the real interest rate and the money growth rate are close to those in the data.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aWorking papers / Rutgers University, Department of Economics |x2004,03en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordlimited participationen_US
dc.subject.keywordmarket segmentationen_US
dc.subject.keywordmonetary policy shocksen_US
dc.subject.keywordreal interest rateen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwSchocken_US
dc.subject.stwGesamtwirtschaftliche Produktionen_US
dc.subject.stwMarktsegmentierungen_US
dc.subject.stwRealzinsen_US
dc.subject.stwTheorieen_US
dc.titleMarket Segmentation and the Response of the Real Interest Rate to Monetary Policy Shocksen_US
dc.typeWorking Paperen_US
dc.identifier.ppn377971685en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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