Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/86942 
Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 10-099/2
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
Traditional ways of analyzing the effects of monetary policy shocks via structural vector autoregressions require the use of unrealistic identifying assumptions: they either do not allow for a response of output and prices on impact of the shock, or they exclude contemporaneous values of these variables from the monetary authority's information set. This paper relaxes these incredible restrictions by exploiting a convenient natural setting, namely the fact that we can use data from dollarized countries. The fact that non-monetary US shocks do not seem to be transmitted to these countries, has the additional advantage that it makes the exercise less vulnerable to potential misidentification of the US monetary policy shock. The results obtained in this way suggest that prices fall quite rapidly after a monetary contraction. Consistent with this finding, the effects of monetary policy shocks on output seem to be small.
Schlagwörter: 
Monetary policy effects
Price puzzle
Structural VARs
Identification
Block exogeneity
JEL: 
E52
E31
C32
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
265.42 kB





Publikationen in EconStor sind urheberrechtlich geschützt.