Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23182 
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dc.contributor.authorOcchino, Filippoen
dc.date.accessioned2009-01-29T15:49:17Z-
dc.date.available2009-01-29T15:49:17Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2004-03en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordlimited participationen
dc.subject.keywordmarket segmentationen
dc.subject.keywordmonetary policy shocksen
dc.subject.keywordreal interest rateen
dc.subject.stwGeldpolitiken
dc.subject.stwSchocken
dc.subject.stwGesamtwirtschaftliche Produktionen
dc.subject.stwMarktsegmentierungen
dc.subject.stwRealzinsen
dc.subject.stwTheorieen
dc.titleMarket Segmentation and the Response of the Real Interest Rate to Monetary Policy Shocks-
dc.typeWorking Paperen
dc.identifier.ppn377971685en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:200403en

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